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HİSSE SENEDİ GETİRİLERİNDE DOĞRUSAL OLMAYAN DİNAMİKLER: TÜRKİYE'DEN KANITLAR

Year 2018, 18. EYI Special Issue, 473 - 484, 18.01.2018
https://doi.org/10.18092/ulikidince.349846

Abstract

Bu çalışmada Borsa İstanbul ana sektör endeksleri
getirilerindeki doğrusal olmayan dinamiklerin varlığı doğrusal olmama ve kaos
testleri yardımıyla araştırılmaktadır. Bu amaçla 1997-2016 dönemleri arasında
Borsa İstanbul Hizmet Endeksi, Borsa İstanbul Mali Endeksi, Borsa İstanbul
Sinai Endeksi ve Borsa İstanbul Teknoloji Endeksi günlük kapanış fiyat
getirilerinden oluşan veri seti kullanılmıştır. Öncelikle, BDS (1996) testi
kullanılarak endeks getirilerindeki doğrusal olmama test edilmiş ve doğrusal
olmayan yapının varlığına yönelik kanıt elde edilmiştir. Daha sonra, endekslerin
fraktal yapıya sahip olduğu dönüştürülmüş genişlik analizi ile tespit
edilmiştir. Son olarak, korelasyon boyutu analizi kullanılarak günlük
getirilerin başlangıç durumlarına hassas bağlılık özelliği gösterdikleri
görülmüştür. Tüm bulgular bir arada değerlendirildiğinde Borsa İstanbul ana
sektör endeksleri günlük getirilerinin kaotik dinamikler tarafından karakterize
edildiği ve etkin piyasa hipotezinin geçerli olmadığı tespit edilmiştir.
Çalışmadaki tüm ampirik bulgular getiri serileri için kısa dönemde öngörü
yapılabileceğini, ancak uzun dönemli öngörü yapmanın zor olduğu sonucuna işaret
etmektedir.

References

  • Alpar, O. ve Eren, Ö. (2016). IMKB100 Endeks Değişim Değerlerinde Lyapunov Üsteli Metoduyla Kaosun İncelenmesi. İstanbul Aydın Üniversitesi Dergisi, 30(8), 151-174.
  • Aygören, H. (2008). İstanbul Menkul Kıymetler Borsasının Fractal Analizi. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 23(1), 125-134.
  • Basu, S. (1977). Investment Performance of Common Stocks in Relation to Their Price Earnings Ratios: A Test of The Efficient Market Hypothesis. The Journal of Finance, 32(3), 663-682.
  • Birgili, E., Üçay, K. ve Esen, Ö. (2015). BIST 100 (XU100) Endeksinde Doğrusal Dışı Yapılar. Bilgi Ekonomisi ve Yönetimi Dergisi, 10(2), 143-167.
  • Borges, M.R. (2010). Efficient Market Hypothesis in European Stock Markets. The European Journal of Finance, 16(7), 711-726.
  • Brock, W. A., Dechert, W.D., Scheinkman, J. ve LeBaron, B. (1996). A Test For Independence Based On Correlation Dimension. Econometric Reviews, 15(3), 197-235.
  • Brockett, P.L., Hinich, M.J. ve Patterson, D. (1988). Bispectral Based Tests for the Detection of Gaussianity and Linearity in Time Series. Journal of American Statistical Association, 83(403), 657-664.
  • Çinko, M. (2006). İstanbul Menkul Kıymetler Borsası 100 Endeksinin Doğrusallık Testi. İstanbul Üniversitesi İktisat Fakültesi Ekonometri ve İstatistik Dergisi, 3, 23-31.
  • Diaz, J.F.T. (2013). Evidence of Noisy Chaotic Dynamics in the Returns of Four Dow Jones Stock Indices. Annual Review of Chaos Theory, Bifurcations and Dynamical Systems, 4, 1-15.
  • Diks, C. (1999). Nonlinear Time Series Analysis Methods and Applications (1. Edition). London: World Scientific.
  • Enders, W. (2010). Applied Econometric Time Series (3. Edition). New Jersey: Wiley.
  • Eser, R. (2013). Finansal Piyasalarda Kompleksite, Kaos ve Düzenleme. Mülkiyeliler Birliği Yayını, 11(1), 281-304.
  • Fama, E.F. (1965). The Behavior of Stock Market Prices. The Journal of Business, 38(1), 34-105.
  • Fama, E.F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383-417.
  • Fama, E.F. (1991). Efficient Capital Markets: II. The Journal of Finance, 45(5), 1575-1617.
  • Grassberger, P. ve Procaccia, I. (1983). Measuring the Strangeness of Strange Attractors. Physica, 9, 189-208.
  • Gujarati, D. N. ve Porter, D.C. (2010). Essentials of Econometrics (5th ed.). New York: McGraw-Hill/Irwin.
  • Günay, S. (2015). BIST100 Endeksi Fiyat ve İşlem Hacminin Fraktallık Analizi. Doğuş Üniversitesi Dergisi, 16(1), 35-50.
  • Günay, S. (2015). Chaotic Structure of the BRIC Countries and Turkey's Stock Market. International Journal of Economics and Financial Issues, 5(2), 515-522.
  • Hsieh, D.A. (1991). Chaos and Nonlinear Dynamics: Application to Financial Markets. The Journal of Finance, 46(5), 1839-1877.
  • Hurst, H.E. (1951). Long Term Storage Capacity of Resevoirs. Transactions of the American Society of Civil Engineers, 116(1), 770-799.
  • İşeri, M., Çağlar, H. ve Çağlar, N. (2008). A Model Proposal for the Chaotic Structure of Istanbul Stock Exchange. Chaos, Solitons and Fractals, 36, 1392-1398.
  • İşi, A. ve Çemrek, F. (2015). Kaotik Zaman Serileri Analizi: BIST100 Endeksi. Uluslararası 9. İstatistik Kongresi, 169-170, Antalya.
  • Laffont, J.J. ve Maskin, E.S. (1990). The Efficient Market Hypothesis and Insider Trading on the Stock Market. The Journal of Political Economy, 98(1), 70-93.
  • Mandelbrot, B.B. (1963). The Variation of Certain Speculative Prices. The Journal of Business, 36(4), 394-419.
  • Mandelbrot, B.B. ve Wallis, J.R. (1969). Robustness of the Rescaled Range R/S in the Measurement of Noncyclic Long-Run Statistical Dependence. Water Resources Research, 5(5), 1583-1594.
  • Mobarek, A. ve Fiorante, A. (2014). The Prospects of BRIC Countries: Testing Weak Form Market Efficiency. Research in International Business and Finance, 30, 217-232.
  • Özdemir, S.D. ve Akgül, I. (2014). Hisse Senedi Piyasalarının Kaotik Yapısı ve Yapay Sinir Ağları ile Öngörüsü: İMKB-100 Örneği. İktisat, İşletme ve Finans, 29(336), 31-58.
  • Özer, G. ve Ertokatlı, C. (2010). Chaotic Processes of Common Stock Index Returns: An Empirical Examination on Istanbul Stock Exchange (ISE) Market. African Journal of Business Management, 4(6), 1140-1148.
  • Peters, E.E. (1994). Fractal Market Analysis: Applying Chaos Theory to Investment and Economics (1st ed.). New York: Wiley.
  • Scheinkman, J.A. ve LeBaron, B. (1989). Nonlinear Dynamics and Stock Returns. The Journal of Business, 62(3), 311-337.
  • Timmermann, A. ve Granger, C.W.J. (2004). Efficient Market Hypothesis and Forecasting. International Journal of Forecasting,20(1), 15-27.
  • Ural, M. ve Demireli, E. (2009). Hurst Üstel Katsayısı Aracılığıyla Fraktal Yapı Analizi ve İMKB'de Bir Uygulama. Atatürk Üniversitesi İktisadi ve İdari Bilimler Fakültesi, 23(2), 243-255.
  • Urquhart, A. ve McGroarty, F. (2016). Are Stock Markets Really Efficient? Evidence of The Adaptive Market Hypothesis. International Review of Financial Analysis, 47, 39-49.
  • Westerlund, J. ve Narayan, P. (2013). Testing The Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets. The Journal of Futures Markets, 33(11), 1024-1045.
  • Yavuz, N.Ç. (2014). Finansal Ekonometri (1. Baskı). İstanbul: Der Kitabevi.

NONLINEAR DYNAMICS IN STOCK RETURNS: EVIDENCE FROM TURKEY

Year 2018, 18. EYI Special Issue, 473 - 484, 18.01.2018
https://doi.org/10.18092/ulikidince.349846

Abstract

In this study, we investigate the nonlinear dynamics in the returns of
Borsa Istanbul indices, based on three tests of nonlinearity and chaos. We use
the daily data of Borsa Istanbul Services Index, Borsa Istanbul Financial
Index, Borsa Istanbul Industrials Index and Borsa Istanbul Technology Index for
the period of 1997-2016. Firstly, the nonlinearity of the series is tested by
employing the BDS (1996) test that shows the evidences for the existence of the
nonlinear structure. Afterwards, the fractality of the indices is proved as a
result of the rescaled range analysis. Lastly, we found that daily returns have
sensitivity to initial conditions by using the correlation dimension analysis.
These findings show that the daily returns of Borsa Istanbul indices can be
characterized by chaotic dynamics and the efficient market hypothesis does not
hold. Hence, we can conclude that short-term forecasts can be made but it is
difficult to make long-term forecasts for daily returns.

References

  • Alpar, O. ve Eren, Ö. (2016). IMKB100 Endeks Değişim Değerlerinde Lyapunov Üsteli Metoduyla Kaosun İncelenmesi. İstanbul Aydın Üniversitesi Dergisi, 30(8), 151-174.
  • Aygören, H. (2008). İstanbul Menkul Kıymetler Borsasının Fractal Analizi. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 23(1), 125-134.
  • Basu, S. (1977). Investment Performance of Common Stocks in Relation to Their Price Earnings Ratios: A Test of The Efficient Market Hypothesis. The Journal of Finance, 32(3), 663-682.
  • Birgili, E., Üçay, K. ve Esen, Ö. (2015). BIST 100 (XU100) Endeksinde Doğrusal Dışı Yapılar. Bilgi Ekonomisi ve Yönetimi Dergisi, 10(2), 143-167.
  • Borges, M.R. (2010). Efficient Market Hypothesis in European Stock Markets. The European Journal of Finance, 16(7), 711-726.
  • Brock, W. A., Dechert, W.D., Scheinkman, J. ve LeBaron, B. (1996). A Test For Independence Based On Correlation Dimension. Econometric Reviews, 15(3), 197-235.
  • Brockett, P.L., Hinich, M.J. ve Patterson, D. (1988). Bispectral Based Tests for the Detection of Gaussianity and Linearity in Time Series. Journal of American Statistical Association, 83(403), 657-664.
  • Çinko, M. (2006). İstanbul Menkul Kıymetler Borsası 100 Endeksinin Doğrusallık Testi. İstanbul Üniversitesi İktisat Fakültesi Ekonometri ve İstatistik Dergisi, 3, 23-31.
  • Diaz, J.F.T. (2013). Evidence of Noisy Chaotic Dynamics in the Returns of Four Dow Jones Stock Indices. Annual Review of Chaos Theory, Bifurcations and Dynamical Systems, 4, 1-15.
  • Diks, C. (1999). Nonlinear Time Series Analysis Methods and Applications (1. Edition). London: World Scientific.
  • Enders, W. (2010). Applied Econometric Time Series (3. Edition). New Jersey: Wiley.
  • Eser, R. (2013). Finansal Piyasalarda Kompleksite, Kaos ve Düzenleme. Mülkiyeliler Birliği Yayını, 11(1), 281-304.
  • Fama, E.F. (1965). The Behavior of Stock Market Prices. The Journal of Business, 38(1), 34-105.
  • Fama, E.F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383-417.
  • Fama, E.F. (1991). Efficient Capital Markets: II. The Journal of Finance, 45(5), 1575-1617.
  • Grassberger, P. ve Procaccia, I. (1983). Measuring the Strangeness of Strange Attractors. Physica, 9, 189-208.
  • Gujarati, D. N. ve Porter, D.C. (2010). Essentials of Econometrics (5th ed.). New York: McGraw-Hill/Irwin.
  • Günay, S. (2015). BIST100 Endeksi Fiyat ve İşlem Hacminin Fraktallık Analizi. Doğuş Üniversitesi Dergisi, 16(1), 35-50.
  • Günay, S. (2015). Chaotic Structure of the BRIC Countries and Turkey's Stock Market. International Journal of Economics and Financial Issues, 5(2), 515-522.
  • Hsieh, D.A. (1991). Chaos and Nonlinear Dynamics: Application to Financial Markets. The Journal of Finance, 46(5), 1839-1877.
  • Hurst, H.E. (1951). Long Term Storage Capacity of Resevoirs. Transactions of the American Society of Civil Engineers, 116(1), 770-799.
  • İşeri, M., Çağlar, H. ve Çağlar, N. (2008). A Model Proposal for the Chaotic Structure of Istanbul Stock Exchange. Chaos, Solitons and Fractals, 36, 1392-1398.
  • İşi, A. ve Çemrek, F. (2015). Kaotik Zaman Serileri Analizi: BIST100 Endeksi. Uluslararası 9. İstatistik Kongresi, 169-170, Antalya.
  • Laffont, J.J. ve Maskin, E.S. (1990). The Efficient Market Hypothesis and Insider Trading on the Stock Market. The Journal of Political Economy, 98(1), 70-93.
  • Mandelbrot, B.B. (1963). The Variation of Certain Speculative Prices. The Journal of Business, 36(4), 394-419.
  • Mandelbrot, B.B. ve Wallis, J.R. (1969). Robustness of the Rescaled Range R/S in the Measurement of Noncyclic Long-Run Statistical Dependence. Water Resources Research, 5(5), 1583-1594.
  • Mobarek, A. ve Fiorante, A. (2014). The Prospects of BRIC Countries: Testing Weak Form Market Efficiency. Research in International Business and Finance, 30, 217-232.
  • Özdemir, S.D. ve Akgül, I. (2014). Hisse Senedi Piyasalarının Kaotik Yapısı ve Yapay Sinir Ağları ile Öngörüsü: İMKB-100 Örneği. İktisat, İşletme ve Finans, 29(336), 31-58.
  • Özer, G. ve Ertokatlı, C. (2010). Chaotic Processes of Common Stock Index Returns: An Empirical Examination on Istanbul Stock Exchange (ISE) Market. African Journal of Business Management, 4(6), 1140-1148.
  • Peters, E.E. (1994). Fractal Market Analysis: Applying Chaos Theory to Investment and Economics (1st ed.). New York: Wiley.
  • Scheinkman, J.A. ve LeBaron, B. (1989). Nonlinear Dynamics and Stock Returns. The Journal of Business, 62(3), 311-337.
  • Timmermann, A. ve Granger, C.W.J. (2004). Efficient Market Hypothesis and Forecasting. International Journal of Forecasting,20(1), 15-27.
  • Ural, M. ve Demireli, E. (2009). Hurst Üstel Katsayısı Aracılığıyla Fraktal Yapı Analizi ve İMKB'de Bir Uygulama. Atatürk Üniversitesi İktisadi ve İdari Bilimler Fakültesi, 23(2), 243-255.
  • Urquhart, A. ve McGroarty, F. (2016). Are Stock Markets Really Efficient? Evidence of The Adaptive Market Hypothesis. International Review of Financial Analysis, 47, 39-49.
  • Westerlund, J. ve Narayan, P. (2013). Testing The Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets. The Journal of Futures Markets, 33(11), 1024-1045.
  • Yavuz, N.Ç. (2014). Finansal Ekonometri (1. Baskı). İstanbul: Der Kitabevi.
There are 36 citations in total.

Details

Journal Section Articles
Authors

Seher Nur Sülkü

Emre Ürkmez

Publication Date January 18, 2018
Published in Issue Year 2018 18. EYI Special Issue

Cite

APA Sülkü, S. N., & Ürkmez, E. (2018). HİSSE SENEDİ GETİRİLERİNDE DOĞRUSAL OLMAYAN DİNAMİKLER: TÜRKİYE’DEN KANITLAR. Uluslararası İktisadi Ve İdari İncelemeler Dergisi473-484. https://doi.org/10.18092/ulikidince.349846

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