Abstract
Bu çalışmanın iki temel amacı vardır. Birincisi, Türkiye’de döviz piyasalarında yaşanan fiyat hareketlerinin ölçülmesidir.
İkincisi, serbest piyasa koşullarında işlem gören döviz piyasaları için normalüstü getirinin olup olmadığının
belirlenmesidir. Yirmi altı yabancı para birimi için 2014-2016 yıllarını kapsayan araştırma döneminde
günlük veriler kullanılmıştır. Çalışma iki aşamadan oluşmaktadır. Birinci aşamada, tanımlayıcı istatistikler
vardır. İkinci aşamada, dört bileşenden elde edilen sonuçlar hesaplanmıştır. Sonuçlar karmadır. Bu nedenden,
döviz piyasalarının etkin veya etkin olmadığını söylemek zordur.
Keywords
References
- Burt, J.,Kaen, F. R., &Booth, G. G. (1977). Foreign exchange market efficiency under flexible exchange rates. The Journal of Finance, 32(4), 1325-1330. Cornell, W. B.,&Dietrich, J. K. (1978). The efficiency of the market for foreign exchange under floating exchange rates. The Review of Economics and Statistics, 111-120. Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance, 25(2), 383-417. Friedman, D., &Vandersteel, S. (1982). Short-run fluctuations in foreign exchange rates: Evidence from the data 1973–1979. Journal of international Economics, 13(1-2), 171-186. Friedman, M. (1966). Flexible Exchange Rates. Essays in positiveeconomics. Froot, K. A.,&Thaler, R. H. (1990). Anomalies: foreignexchange. TheJournal of EconomicPerspectives, 4(3), 179-192. Geweke, J.,&Feige, E. (1979). Somejointtests of theefficiency of marketsforforwardforeignexchange. TheReview of EconomicsandStatistics, 334-341. Harvey, C. R.,&Huang, R. D. (1991). Volatility in theforeigncurrencyfutures market. Review of Financial Studies, 4(3), 543-569. Lee, C. I.,Pan, M. S., &Liu, Y. A. (2001). On market efficiency of Asianforeignexchangerates: evidencefrom a jointvarianceratio test andtechnicaltradingrules. Journal of International Financial Markets, Institutionsand Money, 11(2), 199-214. Mandelbrot, B. (1966). Forecasts of futureprices, unbiasedmarkets, and” martingale” models. TheJournal of Business, 39(1), 242-255. Sayfa | 103 AKSARAY ÜNİVERSİTESİ İİBF DERGİSİ | Mayıs 2017 - Cilt 9 - Sayı 2 Meese, R. A.,&Rogoff, K. (1983). Empirical exchange rate models of theseventies: Do they fit out of sample?. Journal of internationaleconomics, 14(1-2), 3-24. Neely, C. J. (1997). Technical analysis in theforeignexchange market: a layman’sguide. Review, 79. Nurkse, R. (1944). International currencyexperience: lessons of theinterwarperiod (No. 4). League of Nations. Oh, G., Kim, S., &Eom, C. (2007). Market efficiency in foreign exchange markets. Physica A: Statistical Mechanic sandits Applications, 382(1), 209-212. Poole, W. (1967). Speculativeprices as randomwalks: an analysis of ten time series of flexibleex changerates. Southern Economic Journal, 468-478. Samuelson, P. A. (1965). Proof that properly anticipated prices fluctuate randomly.
Abstract
This study has two main objectives. First is to being measured the experiment of price movements in Turkey
currency markets. Secondis to determine whether or not there is an abnormal return, or in another word,
anomaly, in the trading free market for currency markets. We used the daily data’sfor 26foreign currencies
which is cover research periods between 2014 and 2016 years.Study consists of two stages. In the first stage,
there are descriptive statistics. In the second stage which is consists of four components were calculated. The
results are mixed. For this reason, it is difficult to say the currency markets are efficient or inefficient.
Keywords
References
- Burt, J.,Kaen, F. R., &Booth, G. G. (1977). Foreign exchange market efficiency under flexible exchange rates. The Journal of Finance, 32(4), 1325-1330. Cornell, W. B.,&Dietrich, J. K. (1978). The efficiency of the market for foreign exchange under floating exchange rates. The Review of Economics and Statistics, 111-120. Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance, 25(2), 383-417. Friedman, D., &Vandersteel, S. (1982). Short-run fluctuations in foreign exchange rates: Evidence from the data 1973–1979. Journal of international Economics, 13(1-2), 171-186. Friedman, M. (1966). Flexible Exchange Rates. Essays in positiveeconomics. Froot, K. A.,&Thaler, R. H. (1990). Anomalies: foreignexchange. TheJournal of EconomicPerspectives, 4(3), 179-192. Geweke, J.,&Feige, E. (1979). Somejointtests of theefficiency of marketsforforwardforeignexchange. TheReview of EconomicsandStatistics, 334-341. Harvey, C. R.,&Huang, R. D. (1991). Volatility in theforeigncurrencyfutures market. Review of Financial Studies, 4(3), 543-569. Lee, C. I.,Pan, M. S., &Liu, Y. A. (2001). On market efficiency of Asianforeignexchangerates: evidencefrom a jointvarianceratio test andtechnicaltradingrules. Journal of International Financial Markets, Institutionsand Money, 11(2), 199-214. Mandelbrot, B. (1966). Forecasts of futureprices, unbiasedmarkets, and” martingale” models. TheJournal of Business, 39(1), 242-255. Sayfa | 103 AKSARAY ÜNİVERSİTESİ İİBF DERGİSİ | Mayıs 2017 - Cilt 9 - Sayı 2 Meese, R. A.,&Rogoff, K. (1983). Empirical exchange rate models of theseventies: Do they fit out of sample?. Journal of internationaleconomics, 14(1-2), 3-24. Neely, C. J. (1997). Technical analysis in theforeignexchange market: a layman’sguide. Review, 79. Nurkse, R. (1944). International currencyexperience: lessons of theinterwarperiod (No. 4). League of Nations. Oh, G., Kim, S., &Eom, C. (2007). Market efficiency in foreign exchange markets. Physica A: Statistical Mechanic sandits Applications, 382(1), 209-212. Poole, W. (1967). Speculativeprices as randomwalks: an analysis of ten time series of flexibleex changerates. Southern Economic Journal, 468-478. Samuelson, P. A. (1965). Proof that properly anticipated prices fluctuate randomly.
Details
| Primary Language | Turkish |
|---|---|
| Subjects | Business Administration |
| Journal Section | Review Article |
| Authors | |
| Publication Date | April 30, 2017 |
| Published in Issue | Year 2017Volume: 9 Issue: 2 |
