{"id":2095,"date":"2012-10-19T23:25:27","date_gmt":"2012-10-19T20:25:27","guid":{"rendered":"http:\/\/www.berjournal.com\/?p=2095"},"modified":"2012-10-20T00:22:00","modified_gmt":"2012-10-19T21:22:00","slug":"imkb30-imkb100-dolar-ve-avro-futures-piyasalarinin-etkinliginin-testi","status":"publish","type":"post","link":"https:\/\/www.berjournal.com\/tr\/imkb30-imkb100-dolar-ve-avro-futures-piyasalarinin-etkinliginin-testi","title":{"rendered":"\u0130MKB30, IMKB100, DOLAR ve AVRO Futures Piyasalar\u0131n\u0131n Etkinli\u011finin Testi"},"content":{"rendered":"\n\n<\/colgroup>\n\n\n\n\n\n\n\n
Makale Bilgileri<\/strong><\/span><\/span><\/td>\n<\/tr>\n
Dergi:<\/strong><\/span><\/span>\u0130\u015fletme ve Ekonomi Ara\u015ft\u0131rmalar\u0131 Dergisi
\n<\/span>Makalenin Ba\u015fl\u0131\u011f\u0131:<\/strong><\/span><\/span>\u0130MKB30, IMKB100, DOLAR ve AVRO Futures Piyasalar\u0131n\u0131n Etkinli\u011finin Testi
\n<\/span>Yazar(lar):<\/strong><\/span><\/span>Mustafa Akal, Erhan Birgili, Sedat Durmuskaya
\n<\/span>Cilt:<\/strong><\/span><\/span>3
\n<\/span>Say\u0131:<\/strong><\/span><\/span>4
\n<\/span>Y\u0131l:<\/strong><\/span><\/span>2012
\n<\/span>Sayfa:<\/strong><\/span><\/span>1-20
\n<\/span>ISSN:<\/strong><\/span><\/span>1309-2448<\/span><\/td>\n<\/tr>\n
\u00d6zet<\/strong><\/span><\/span><\/td>\n<\/tr>\n
\n

Bu \u00e7al\u0131\u015fmada futures piyasalar\u0131n etkinli\u011fini test etmek i\u00e7in literat\u00fcrde s\u0131k\u00e7a ba\u015fvurulan testlerden biri olan ve tek seri \u00fczerinden yap\u0131lan birim k\u00f6k testine alternatif olarak spot ve futures fiyat serilerine dayal\u0131 testler ile Uyarlanm\u0131\u015f Sat\u0131n Alma G\u00fcc\u00fc Paritesi testi geli\u015ftirilmi\u015ftir. Gerek spot ve futures tekil fiyat serilerine, gerekse bu \u201cspot-futures\u201d farklar\u0131na dayand\u0131r\u0131larak ko\u015fulan otokorelasyon, ko\u015fu (run), normallik testleri ile sat\u0131n alma g\u00fcc\u00fc paritesinden uyarlama yap\u0131larak kurulan regresyon modeli ile \u0130zmir Vadeli \u0130\u015flem ve Opsiyon Borsas\u0131\u2019nda i\u015flem g\u00f6ren \u0130MKB30, \u0130MKB100, Amerikan Dolar\u0131 ve Avro d\u00f6viz piyasalar\u0131n\u0131n etkin olmad\u0131\u011f\u0131 bulunmu\u015ftur. Gerek tekil spot serisine uygulanan otokorelasyon, normal da\u011f\u0131l\u0131m, run testleri gerekse spot ve futures fiyat fark\u0131 serilerine uygulanan otokorelasyon, normal da\u011f\u0131l\u0131m; run testleri ile Uyarlanm\u0131\u015f Sat\u0131n Alma G\u00fcc\u00fc Paritesi Regresyon testleri bizi seride birim k\u00f6k\u00fcn varl\u0131\u011f\u0131nda \u201cpiyasalar\u0131n etkin oldu\u011fu\u201d hipotezinin kabul\u00fcn\u00fcn yeterli olmad\u0131\u011f\u0131 sonucuna ula\u015ft\u0131rm\u0131\u015ft\u0131r. Tekil spot serisi \u00fczerinden yap\u0131lan otokorelasyon, run ve normal da\u011f\u0131l\u0131m test sonu\u00e7lar\u0131, birim k\u00f6k\u00fcn varl\u0131\u011f\u0131nda etkin piyasalar hipotezinin kabul\u00fc desteklememi\u015ftir. Tek seri \u00fczerinden yap\u0131lan birim k\u00f6k testi \u201cetkin piyasa\u201d tan\u0131m\u0131na uygun bir test de\u011fildir. Etkinlik testlerinin spot ve futures fiyatlar\u0131na dayand\u0131r\u0131lmas\u0131; bu fiyatlar\u0131n farklar\u0131na dayand\u0131r\u0131lmas\u0131 veya Uyarlanm\u0131\u015f Sat\u0131n Alma G\u00fcc\u00fc paritesine dayand\u0131r\u0131lmas\u0131 \u00f6nerilir. Ayr\u0131ca piyasalar\u0131n etkinli\u011finin testinde hata kal\u0131nt\u0131lar\u0131n rassal da\u011f\u0131l\u0131m\u0131n\u0131n sa\u011flan\u0131p sa\u011flanmad\u0131\u011f\u0131na dikkat edilmelidir. <\/span><\/p>\n<\/td>\n<\/tr>\n

\n

Anahtar Kelimeler:<\/strong><\/span><\/span> Vadeli \u0130\u015flem Piyasalar\u0131, spot ve vade fiyatlar\u0131, alternatif etkinlik testleri; birim k\u00f6k, otokorelasyon, normal da\u011f\u0131l\u0131m, ko\u015fu, Uyarlanm\u0131\u015f SGP Testi, T\u00fcrkiye<\/span><\/p>\n<\/td>\n<\/tr>\n

JEL S\u0131n\u0131fland\u0131rmas\u0131:<\/strong><\/span><\/span> G14, C10, F31<\/span><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

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Makale Bilgileri Dergi:\u0130\u015fletme ve Ekonomi Ara\u015ft\u0131rmalar\u0131 Dergisi Makalenin Ba\u015fl\u0131\u011f\u0131:\u0130MKB30, IMKB100, DOLAR ve AVRO Futures Piyasalar\u0131n\u0131n Etkinli\u011finin Testi Yazar(lar):Mustafa Akal, Erhan Birgili, Sedat Durmuskaya Cilt:3 Say\u0131:4 Y\u0131l:2012 Sayfa:1-20 ISSN:1309-2448 \u00d6zet Bu \u00e7al\u0131\u015fmada futures piyasalar\u0131n etkinli\u011fini test etmek i\u00e7in literat\u00fcrde s\u0131k\u00e7a ba\u015fvurulan testlerden biri olan ve tek seri \u00fczerinden yap\u0131lan birim k\u00f6k testine alternatif olarak spot ve […]<\/p>\n

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