Sermaye piyasası etkinliği ve İMKB'de uygulaması
Capital market efficiency and a case study on the İstanbul Stock Exchange
- Tez No: 22008
- Danışmanlar: DOÇ. DR. NİYAZİ BERK
- Tez Türü: Yüksek Lisans
- Konular: İşletme, Business Administration
- Anahtar Kelimeler: Borsa, Sermaye piyasası, İMKB, Stock exchange, Capital market, İstanbul Stock Exchange
- Yıl: 1992
- Dil: Türkçe
- Üniversite: İstanbul Teknik Üniversitesi
- Enstitü: Fen Bilimleri Enstitüsü
- Ana Bilim Dalı: Belirtilmemiş.
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: Belirtilmemiş.
Özet
ÖZET Günümüz modern ekonomisinin temel taşı sermaye piyasalara olmak tadır. Gelişen ekonomik şartlar paralelinde finansal piyasalara ilişkin yaygın düşünce, sermaye birikimi ve yatırımının etkinliğinin sağlanmasıdır. Bu çalışmada, sermaye piyasası etkinliği incelenerek İstanbul Menkul Kıymetler Borsa 'sı (ÎMKB) için etkinlik testi yapılmıştır. Bölüm l'le konuya giriş yapıldıktan sonra; Bölüm 2' de, sermaye piyasası kavramsal ve yapısal olarak incelenerek ekonomide ki rolü açıklanmıştır. Gelişmekte olan sermaye piyasaları için oldukça büyük önem arzeden sermaye piyasası etkinliği Bölüm 3'te geniş olarak ele alınmıştır. Bu Bölüm 'de öncelikle piyasa etkinliği kararını, koşulları ; ve enformasyon etkinliği açıklanmıştır. Daha sonra etkinliğin matematiksel olarak ifadesi verilerek, uygulamada test edilen etkinlik görüşleri ve test yöntemleri güncel örneklerle anlatılmıştır. İMKB'nin etkinliğini belirlemek amacıyla yapılan bu tezin son Bölümünde kısaca ÎMKB tanıtılmış ve etkinlik uygulamasının amaç ve yöntemleri açıklanmıştır. Aynı Bölüm sonunda test sonuçları sayısal ve grafiksel olarak değerlendirilerek İMKB'nin etkinlik düzeyi belirlenmiştir. Sonuçlar ve Öneriler Bölümünde sermaye piyasası tanımı, koşulları ve görüşlerine göre elde edilen test sonuçları birlikte değerlendirilerek daha etkin bir İMKB oluşumu için önerilerde bulunulmuştur.
Özet (Çeviri)
CAPITAL MARKET EFFICIENCY AND A CASE STUDY ON THE ISTANBUL STOCK EXCHANGE SUMMARY There have been fundamental changes in financial markets for the last few years. The financial markets are composed of the money markets and the capital markets. Money markets are the markets for debt securities that pay off on a short term basis(usually less than one year). Capi tal markets, the subject of this dissertation, are the markets for long term debts and for equity shares. Five main elements form the structure of capital markets: i. Fund suppliers (for longer than one year) ii. Fund demanders iii. Stock exchanges iv. Equity shares and other capital market instruments v. Financial institutions. Capital markets can be classified further as primary and seconr dary markets. In primary markets, long term funds move directly from investors to firms. In other words, these markets provide new capital sources for firms. Secondary markets are those where debt and equity securities are traded after they have been originally sold. The most organized secondary markets are stock exchanges, such as The Istanbul Stock Exchange (IMKB). A capital market, operating under the principles of reliability, openness and intense competition, is not only useful for investors and firms but supports and encourages general economic and social improve^ ments as well. Market efficiency is a subject that has been analyzed by many researchers for years in countries with developed capital markets. vrCapital market efficiency may be perceived in two ways: i. Operational efficiency: Market operation without internal friction distorting prices. ii. Pricing efficiency: Immediate, accurate and balanced fixing of prices. According to the efficiency hypothesis, market efficiency means that stock prices accurately reflect all available information. In addition, it implies no amount of security analysis can consistently yield above normal returns, and stock prices adjust rapidly and appropriately to new information. Efficient market conditions may be grouped as follows: - Existence of opportunity equality, high participation and competition. - Continuity of operations unaffected by interventions. - Return expectation of the individual at an amount proportional to the risk involved and informatidn possessed; so any individual should not get returns above markek expectations. - Widespread information distribution. This should be available, quickly '.and cheaply to all market participants. - Individuals having equal opportunities to evaluate information. - Adjusting the stock prices to the new information rapidly and appropriately. Concerning the information efficieney, capital markets have cer tain features : - The Press and Exchange Sources : Informing the public (inves tor) rapidly as appropriate with the market efficiency definition. Informal and Inside Information : Providing of an individual abnormal returns by being informed before the market, opposing the definition öf efficiency. - Over The Counter Market : Role of this market while forming the efficient market. - Asymetrical Information Structure : Information conduction of the insider to market in a different way, right or wrong. Vll- Impacts of The Expectations and Behaviours;. Role of the changes in investor expectations in evaluation of the informa tion and at market efficiency. Mathematical expression of the market efficiency is based on the assumption of the fact that the informations other than market information would not lead any investor to an abnormal return. This expression is explained in Section 3.3.1. Information is divided into three categories in order to determine the effecting and change rate of it. i) Information set that includes past prices, ii) Publicly available information, iii) All information. According to the effects on the prices of the above in formation groups, market efficiency may be analyzed in three forms. 1. Weak-form efficiency 2. Semi-strong-form efficiency 3. Stoong-form efficiency If a market includes at least the past price movements, it is thought as weak-form efficient. If it is possiple to attain abnormal returns by making analysis standing on past prices (technical analysis), the market can't be thought ef ficient in mentioned form. Technical analysis used in appli cations has been determined as the following <s - Serial Correlation Tests - Filter Rule Test - Spectral Analysis - Graphical Analysis In the markets representing semi-strong form information efficiency, besides technical analysis, fundamental analysis' don't provide excess return. Effects of the publicly available vminformation (divioeqt announcement, capital increase and stock split, block trades, foreign capital inflow....) to the prices are determined so as to make a fundamental analysis. Expected market returns may be computed by the hejlp of two models : i- Capital Asset Pricing Model (CAPM) ii- Arbitrage Pricing Model (APM) In estimation the expected returns, while CAPM just considers the market factors, APM forms an equation systematically including the factors affecting the asset returns. Using CAPM and/or APM, the methoddtö be suggested to test market efficiency is one that determines the patterns of excess returns during the period that some certain information is released. Other than technical and fundamental analysis, Random-Walk '. Model is used in testing the market efficiency. In a market, in which abnormal returns can not be obtained by the use of technical and basic analysis, price movements will form in a random manner. If there is not a special information about a security and if this results in an impossibility of providing an ab-normal return, price randomness is noticed again. In this dissertation, after discussing capital market and its efficiency, the efficiency of the IMKB, which began its -operati ons at the beginning of 1986 and showed a great performance up to now, is tested as a case sfcudyiy Methods used to determine the efficiency level of the IMKB are : i. Serial Correlation Test : To determine the relationships between the market returns in different periods. ii. CAPM and Market Model Test : To test the pricing effi ciency during the internal of the stock issue as a result of ca pital increase. iii. APM : To estimate the balance sheet effects on expected stock returns, by using some financial ratios as the factors (in APM). iv. Market Model : To determine the relationship between the stock return and relevant informations for March, 1991. IXIn the last section, ^Conclusion and suggestions,' saving evaluated the test results with respect to the market efficiency definition, conditions and forms, important suggestions are included for more efficient IMKB.
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H. ÜNAL ÖZDEN
Yüksek Lisans
Türkçe
1994
İşletmeİstanbul ÜniversitesiYöneylem Araştırması Ana Bilim Dalı
DOÇ. DR. TÜRKEL MİNİBAŞ
