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TÜRKİYE’DE DÖVİZ KURU PİYASASINDA ETKİN PİYASA HİPOTEZİNİN UZUN HAFIZA MODELLERİ İLE ANALİZİ

Year 2023, Volume: 1 Issue: 3 - İstanbul Ticaret University Journal of Foreign Trade, 13 - 21, 26.09.2023
https://doi.org/10.5281/zenodo.8376796

Abstract

Bu çalışmanın amacı, Türk lirası karşısında Amerikan doları, Euro, İngiliz sterlini ve Çin yuanı gibi döviz birimlerinin değerlerini içeren döviz kuru piyasasında etkin piyasa hipotezinin geçerliliğini araştırmaktır. İnceleme dönemi, günlük frekansta 03.01.2013 ile 01.02.2023 tarihleri arasındaki süreci kapsayacak şekilde belirlenmiştir. Bu çalışmada, döviz kuru piyasasında uzun hafızayı tespit etmek için Geweke ve Porter-Hudak (GPH) (1983) ve Gaussian Yarı Parametrik (GSP) (1999) olmak üzere iki farklı yöntem kullanılmıştır. Yapılan analiz sonucunda, döviz kuru getirilerinin uzun hafıza özelliği sergilediği tespit edilmiştir ve etkin piyasa hipotezinin mutlak doğruluğunu sorgulamıştır. Bu bulgu, döviz kuru piyasasında geçmiş fiyat hareketlerinin gelecekteki fiyatları tahmin etmede kullanılabileceğini ve dolayısıyla uzun hafızanın varlığını gösterdiğini desteklemektedir.

References

  • Alptekin, N.(2007). Long memory analysis of USD/TRL exchange rate. World Academy of Science, Engineering and Technology, 3, 298-300.
  • Arouri, M. E. H., Hammoudeh, S., Lahiani, A., & Nguyen, D. K. (2012). Long memory and structural breaks in modeling the return and volatility dynamics of precious metals. The quarterly review of economics and finance, 52(2), 207-218.
  • Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3).
  • Boubaker, H., & Sghaier, N. (2015). Semiparametric generalized long-memory modeling of some mena stock market returns: A wavelet approach. Economic Modelling, 50, 254-265.
  • Caporale, G. M., Gil-Alana, L. A., & Poza, C. (2020). High and low prices and the range in the European stock markets: A long-memory approach. Research in International Business and Finance, 52, 101126.
  • Cheah, E. T., Mishra, T., Parhi, M., & Zhang, Z. (2018). Long memory interdependency and inefficiency in Bitcoin markets. Economics Letters, 167, 18-25.
  • Erlat, H. (2003). The Nature of persistence in Turkish real exchange rates. Emerging Markets Finance And Trade, 39(2), 70-97.
  • Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.
  • Floros, C. (2008). Long memory in exchange rates: International evidence. The International Journal of Business and Finance Research, 2(1), 31-39.
  • Geweke J., & Porter-Hudak S. (1983). The estimation and application of long memory time series models. Journal of Time Series Analysis, (4), 221–238.
  • Granger, C. W., & Ding, Z. (1995). Some properties of absolute return: An alternative measure of risk. Annals of Economics and Finance, 1(1), 63-84.
  • Granger, C. W., & Joyeux, R. (1980). An introduction to long-memory time series models and fractional differencing. Journal of Time Series Analysis, 1(1), 15-29.
  • Güneş, H. (2022). Türkiye döviz piyasasinda etkin piyasa analizi. Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi, 23(1), 1-14.
  • Kutlu, S. & Yurttagüler, İ. M. (2014). Türkiye’de reel döviz kurlarının uzun hafıza özellikleri: kesirli bütünleşme analizi. Marmara Üniversitesi İ.İ.B. Dergisi, 36(1), 373-389.
  • Özdemir, A., Vergili, G. & Çelik, İ. (2018). Döviz piyasalarının etkinliği üzerinde uzun hafızanın rolü: Türk döviz piyasasında ampirik bir araştırma. BDDK Bankacılık ve Finansal Piyasalar, 12(1), 87-107.
  • Robinson, P. M., & Henry, M. (1999). Long and short memory conditional heteroskedasticity in estimating the memory parameter of levels. Econometric Theory, 15(03), 299-336.
  • Vats, A. (2011). Long memory in returns and volatility: evidence from foreign exchange market of Asian Countries. The International Journal of Applied Economics and Finance, 5(4), 245-256.
  • Yaşar, A. (2019). Döviz kuru ve uzun hafıza modelleri. XIII. IBANESS İktisat, İşletme ve Yönetim Bilimleri Kongreler Serisi, 87-94.

ANALYSIS OF THE EFFICIENT MARKET HYPOTHESIS IN THE EXCHANGE RATE MARKET IN TURKEY WITH LONG MEMORY MODELS

Year 2023, Volume: 1 Issue: 3 - İstanbul Ticaret University Journal of Foreign Trade, 13 - 21, 26.09.2023
https://doi.org/10.5281/zenodo.8376796

Abstract

The aim of this study is to investigate the validity of the efficient market hypothesis in the exchange rate market, which includes the values of currency units such as the US dollar, euro, British pound, and Chinese yuan against the Turkish lira. The review period has been determined to cover the period between 03.01.2013 and 01.02.2023 at daily frequency. In this study, two different methods, Geweke and Porter-Hudak (GPH) (1983) and Gaussian Semi-Parametric (GSP) (1999), are used to detect long memory in the exchange rate market. As a result of the analysis, it was determined that the exchange rate returns exhibit long memory characteristics and questioned the absolute accuracy of the efficient market hypothesis. This finding supports that past price movements in the exchange rate market can be used to predict future prices, thus indicating the existence of long memory.

References

  • Alptekin, N.(2007). Long memory analysis of USD/TRL exchange rate. World Academy of Science, Engineering and Technology, 3, 298-300.
  • Arouri, M. E. H., Hammoudeh, S., Lahiani, A., & Nguyen, D. K. (2012). Long memory and structural breaks in modeling the return and volatility dynamics of precious metals. The quarterly review of economics and finance, 52(2), 207-218.
  • Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3).
  • Boubaker, H., & Sghaier, N. (2015). Semiparametric generalized long-memory modeling of some mena stock market returns: A wavelet approach. Economic Modelling, 50, 254-265.
  • Caporale, G. M., Gil-Alana, L. A., & Poza, C. (2020). High and low prices and the range in the European stock markets: A long-memory approach. Research in International Business and Finance, 52, 101126.
  • Cheah, E. T., Mishra, T., Parhi, M., & Zhang, Z. (2018). Long memory interdependency and inefficiency in Bitcoin markets. Economics Letters, 167, 18-25.
  • Erlat, H. (2003). The Nature of persistence in Turkish real exchange rates. Emerging Markets Finance And Trade, 39(2), 70-97.
  • Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.
  • Floros, C. (2008). Long memory in exchange rates: International evidence. The International Journal of Business and Finance Research, 2(1), 31-39.
  • Geweke J., & Porter-Hudak S. (1983). The estimation and application of long memory time series models. Journal of Time Series Analysis, (4), 221–238.
  • Granger, C. W., & Ding, Z. (1995). Some properties of absolute return: An alternative measure of risk. Annals of Economics and Finance, 1(1), 63-84.
  • Granger, C. W., & Joyeux, R. (1980). An introduction to long-memory time series models and fractional differencing. Journal of Time Series Analysis, 1(1), 15-29.
  • Güneş, H. (2022). Türkiye döviz piyasasinda etkin piyasa analizi. Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi, 23(1), 1-14.
  • Kutlu, S. & Yurttagüler, İ. M. (2014). Türkiye’de reel döviz kurlarının uzun hafıza özellikleri: kesirli bütünleşme analizi. Marmara Üniversitesi İ.İ.B. Dergisi, 36(1), 373-389.
  • Özdemir, A., Vergili, G. & Çelik, İ. (2018). Döviz piyasalarının etkinliği üzerinde uzun hafızanın rolü: Türk döviz piyasasında ampirik bir araştırma. BDDK Bankacılık ve Finansal Piyasalar, 12(1), 87-107.
  • Robinson, P. M., & Henry, M. (1999). Long and short memory conditional heteroskedasticity in estimating the memory parameter of levels. Econometric Theory, 15(03), 299-336.
  • Vats, A. (2011). Long memory in returns and volatility: evidence from foreign exchange market of Asian Countries. The International Journal of Applied Economics and Finance, 5(4), 245-256.
  • Yaşar, A. (2019). Döviz kuru ve uzun hafıza modelleri. XIII. IBANESS İktisat, İşletme ve Yönetim Bilimleri Kongreler Serisi, 87-94.
There are 18 citations in total.

Details

Primary Language Turkish
Subjects Financial Economy
Journal Section Araştırma Makalesi
Authors

Yunus Karaömer 0000-0002-6377-1326

Early Pub Date September 26, 2023
Publication Date September 26, 2023
Published in Issue Year 2023 Volume: 1 Issue: 3 - İstanbul Ticaret University Journal of Foreign Trade

Cite

APA Karaömer, Y. (2023). TÜRKİYE’DE DÖVİZ KURU PİYASASINDA ETKİN PİYASA HİPOTEZİNİN UZUN HAFIZA MODELLERİ İLE ANALİZİ. İstanbul Ticaret Üniversitesi Dış Ticaret Dergisi, 1(3), 13-21. https://doi.org/10.5281/zenodo.8376796