Cilt 8 Sayı 4 (2020): Business & Management Studies: An International Journal
Makaleler

MSCI ETF ENDEKSLERİNDE ZAYIF FORMDA PİYASA ETKİNLİĞİ: GELİŞMİŞ VE GELİŞMEKTE OLAN ÜLKELER ÜZERİNE GELENEKSEL VE FOURIER BİRİM KÖK TESTİ

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  • Sümeyra GAZEL
Sümeyra GAZEL
Doç. Dr., Yozgat Bozok Üniversitesi, İ.İ.B.F.
DOI: https://doi.org/10.15295/bmij.v8i4.1722

Yayınlanmış 2020-12-10

Anahtar Kelimeler

  • MSCI, Borsa Yatırım Fonu, ETF, Fourier, Zayıf Formda Etkinlik
  • MSCI, Exchange Traded Funds, ETF, Fourier, Weak Form Efficiency

Nasıl Atıf Yapılır

GAZEL, S. (2020). MSCI ETF ENDEKSLERİNDE ZAYIF FORMDA PİYASA ETKİNLİĞİ: GELİŞMİŞ VE GELİŞMEKTE OLAN ÜLKELER ÜZERİNE GELENEKSEL VE FOURIER BİRİM KÖK TESTİ. Business & Management Studies: An International Journal, 8(4), 409–423. https://doi.org/10.15295/bmij.v8i4.1722
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Özet

Bu çalışmada ABD’de Morgan Stanley Stanley Capital International (MSCI) Endeksinde yer alan gelişmiş ve gelişmekte olan ülkelerin Borsa Yatırım Fonlarının (ETF) zayıf formda piyasa etkinliğinin varlığı sınanmıştır. Hem geleneksel hem de yapısal kırılma tarihi, sayısı ve formu açısından tahmin gücünü kaybetmeyen Fourier Birim Kök testi günlük verilere uygulanmıştır. Analiz sonuçlarına göre bazı ülkeler için her iki birim kök testi de ortak bulgulara işaret etmektedir. Ancak Fourier birim kök testi sonuçlarının gelişmiş olan ülkelerin gelişmekte olan ülkelere göre daha etkin olabileceği varsayımını görece daha fazla destekler nitelikte olduğu tespit edilmiştir.

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