Yıl: 2014 Cilt: 14 Sayı: 4 Sayfa Aralığı: 621 - 636 Metin Dili: Türkçe İndeks Tarihi: 29-07-2022

Döviz Piyasasının Etkinliği: Türkiye için Bir Analiz

Öz:
Literatürde, döviz piyasasının etkinliği, döviz alım-satımı yapanlar ve politika yapıcılar için önemli bir kavram olup bir piyasada fiyat tüm bilgi setini yansıtıyor ise bu piyasanın etkin olduğu ifade edilmektedir. Bir diğer ifadeyle, Fama vd. (1969) etkin piyasa terimini yeni bilgiye hızlı biçimde intibak edenbir piyasa şeklinde tanımlamışlardır. Zayıf form etkinlikte, piyasada tüm fiyatlar, geçmiş fiyatlar veya getirilerde elde edilebilir tüm bilgiyi yansıtırken, yarı güçlü form etkinlikte ise döviz kurları sadece geçmiş döviz kurlarına ilişkin bilgiyi değil aynı zamanda diğer döviz kurları ve makroekonomik değişkenlere ilişkin bilgiyi de yansıtmaktadır. Bu çalışmanın temel amacı, Türkiyede 2006:04-2013:12 döneminde TL/$ ve TL/Euro döviz piyasalarının zayıf ve yarı güçlü formlarda etkin olup olmadığını yapısal kırılmalı birim kök ve eşbütünleşme yöntemleriyle analiz etmektir. Analiz sonuçları, Türk döviz piyasasının zayıf formda etkin olduğunu gösterirken, yarı güçlü formda etkin olmadığını ve forward kur yansızlık hipotezinin Türkiye için geçerli olmadığını ortaya koymaktadır.
Anahtar Kelime:

Konular: İşletme İktisat İşletme Finans

Efficiency of The Foreign Exchange Rate Market: An Analysis for Turkey

Öz:
In the literature, the effectiveness of the foreign exchange market is an important concept for traders and policy makers, if price reflects all information in the market, this market is said to be efficient. In other words, Fama et al. (1969) term of the efficient market were defined as a market whichadapt quickly to new information . At the weak form efficiency, in the market, all prices, past prices or returns can be reflected in all the information, on the other hand, at the semi-strong form efficiency, the exchange rates are not only reflect past information concerning exchange rates, but also they are reflect other currency exchange rates and information concerning macroeconomic variables. The main purpose of this study is whether TL / $ and TL / Euro exchange rate markets are efficient at the weak and semi-strong form or not is to analyze by using unit root and cointegration methods with structural breaks during the period 2006:04-2013:12 in Turkey. Analysis results show that the Turkish foreign exchange market is efficient at the weak form and not efficient at the semi-strong form and forward rate unbiasedness hypothesis is not valid for Turkey.
Anahtar Kelime:

Konular: İşletme İktisat İşletme Finans
Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA BERKE B, Ozcan B, DİZDARLAR H (2014). Döviz Piyasasının Etkinliği: Türkiye için Bir Analiz. , 621 - 636.
Chicago BERKE Burcu,Ozcan Burcu,DİZDARLAR HATİCE IŞIN Döviz Piyasasının Etkinliği: Türkiye için Bir Analiz. (2014): 621 - 636.
MLA BERKE Burcu,Ozcan Burcu,DİZDARLAR HATİCE IŞIN Döviz Piyasasının Etkinliği: Türkiye için Bir Analiz. , 2014, ss.621 - 636.
AMA BERKE B,Ozcan B,DİZDARLAR H Döviz Piyasasının Etkinliği: Türkiye için Bir Analiz. . 2014; 621 - 636.
Vancouver BERKE B,Ozcan B,DİZDARLAR H Döviz Piyasasının Etkinliği: Türkiye için Bir Analiz. . 2014; 621 - 636.
IEEE BERKE B,Ozcan B,DİZDARLAR H "Döviz Piyasasının Etkinliği: Türkiye için Bir Analiz." , ss.621 - 636, 2014.
ISNAD BERKE, Burcu vd. "Döviz Piyasasının Etkinliği: Türkiye için Bir Analiz". (2014), 621-636.
APA BERKE B, Ozcan B, DİZDARLAR H (2014). Döviz Piyasasının Etkinliği: Türkiye için Bir Analiz. Ege Akademik Bakış, 14(4), 621 - 636.
Chicago BERKE Burcu,Ozcan Burcu,DİZDARLAR HATİCE IŞIN Döviz Piyasasının Etkinliği: Türkiye için Bir Analiz. Ege Akademik Bakış 14, no.4 (2014): 621 - 636.
MLA BERKE Burcu,Ozcan Burcu,DİZDARLAR HATİCE IŞIN Döviz Piyasasının Etkinliği: Türkiye için Bir Analiz. Ege Akademik Bakış, vol.14, no.4, 2014, ss.621 - 636.
AMA BERKE B,Ozcan B,DİZDARLAR H Döviz Piyasasının Etkinliği: Türkiye için Bir Analiz. Ege Akademik Bakış. 2014; 14(4): 621 - 636.
Vancouver BERKE B,Ozcan B,DİZDARLAR H Döviz Piyasasının Etkinliği: Türkiye için Bir Analiz. Ege Akademik Bakış. 2014; 14(4): 621 - 636.
IEEE BERKE B,Ozcan B,DİZDARLAR H "Döviz Piyasasının Etkinliği: Türkiye için Bir Analiz." Ege Akademik Bakış, 14, ss.621 - 636, 2014.
ISNAD BERKE, Burcu vd. "Döviz Piyasasının Etkinliği: Türkiye için Bir Analiz". Ege Akademik Bakış 14/4 (2014), 621-636.