Testing the Adaptive Market Hypothesis in Equity Markets in Global Financial Crisis Periods: An Application on Borsa Istanbul Indices

Authors : Sinan AYTEKİN, Sermet DOĞAN

Pages : 377-402

Doi:10.25204/iktisad.1208721

View : 155 | Download : 87

Publication Date : 2023-06-30

Article Type : Research Paper

Abstract :We aim in this study to investigate the existence of the Adaptive Market Hypothesis in the Turkish stock market during the global crisis periods. In other words, it has been investigated whether there are periods in the stock market in Turkey is both efficient and inefficient. For this purpose, Borsa Istanbul\`s main index insert ignore into journalissuearticles values(XU100); and selected sector indices insert ignore into journalissuearticles values(XBANK, XGIDA, XTEKS, XTRZM); were tested in the crisis environments, the Asian Financial Crisis, the American \`Dotcom\` crisis, the Mortgage crisis, the European debt crisis and finally the Covid-19 crisis. Automatic Portmanteau and Wild Bootstrap Automatic Variance Ratio tests were used in the research. According to the results obtained, findings compatible with the Adaptive Market Hypothesis were reached in all Borsa Istanbul indices within the scope of the research. It has been observed that there may be fluctuations in market efficiency at different frequencies and durations in relation to the nature of the crisis and the source of its output. It is thought that the study is original and will contribute to the literature for the following reasons; the Adaptive Market Hypothesis for the Turkish stock market has been tested for all crisis periods in the recent history and the effects of the crises on the sectors are also examined in terms of effectiveness.
Keywords : Etkin Piyasalar Hipotezi, Davranışsal Finans, Adaptif Piyasa Hipotezi, Otomatik Portmanteau Testi, Doğal Bootstrap Otomatik Varyans Rasyo Testi

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