DoctorateOpen Access

Testing adaptive markets hypothesis in Turkish financial markets in terms of market efficiency

2020
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Advisor: Prof. Dr. Fatih Coşkun Ertaş

Abstract (EN)

The main purpose of this study is to evaluate the effectiveness of Turkish financial markets and to investigate whether the findings are compatible with the Adaptive Markets Hypothesis. For this purpose, analyzes were made by using daily data of BIST 100 index for stock market, benchmark interest rate for bond market, gold and silver for commodity market, Dollar, Euro, Pound, Yen and Yuan for foreign exchange market. The analyzes were performed with Automatic Portmanteau developed by Escanciano and Lobato (2009) and Wild Bootstrap Automatic Variance Ratio tests developed by Kim (2009). As a result of the analyzes performed, it was understood that the effectiveness of Turkish financial markets changed over time and this situation coincided with the Adaptive Markets Hypothesis. The differences between the effectiveness of Turkish financial markets were also examined, and the knowledge of the stock and bond markets are generally more effective than the commodity and currency markets in Turkey was reached. These results show that Adaptive Markets Hypothesis is more successful in explaining the effectiveness of Turkish financial markets than Efficient Markets Hypothesis and Behavioral Finance.

Author

Dr. Oktay Özkan

How to Cite

Oktay Özkan (Doctorate thesis). Testing adaptive markets hypothesis in Turkish financial markets in terms of market efficiency, 2020, Tokat Gaziosmanpaşa Üniversity.

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