|  ISSN: 2757-6558   |  e-ISSN: 2757-6558

Orjinal Araştırma Makalesi | Düzce İktisat Dergisi 2021, Cil. 2(1) 49-62

Hisse Senedi Fiyatlarının Ortalamaya Dönüşü: Kesirli Frekanslı Fourier ADF Birim Kök Testi

Ayşegül HAN

ss. 49 - 62   |  Makale No: dİd.2021.004

Yayın tarihi: Nisan 23, 2021  |   Okunma Sayısı: 85  |  İndirilme Sayısı: 274


Özet

Bu çalışmada Türkiye için hisse senedi fiyatlarının ortalamaya dönüşü araştırılmaktadır. Bu amaçla OECD resmi veri tabanından elde edilen 1988:01-2021:01 aylık değişkenlere Christopoulos ve Leon-Ledesma (2011) tarafından literatüre kazandırılan kesirli frekanslı Fourier birim kök testi uygulanmıştır. Yapılan analiz neticesinde uygun frekans değeri 0.5 bulunmuş ve modele dâhil edilen trigonometrik terimlerinin anlamlı olduğu bulgusu elde edilmiştir. Elde edilen test istatistiğine göre Türkiye’nin hisse senedi fiyatlarının sabitli model için anlamlılık %5 düzeyinde, sabitli ve trendli model için ise %1 anlamlılık düzeyinde durağan olduğu görülmektedir. Bu da hisse senesi fiyatlarının ortalamaya geri döneceği anlamına gelmektedir. Yani şokların hisse senedi fiyatları üzerinde geçici etkilerinin olacaktır. Bu sonuç da geçmişteki fiyat hareketleri incelenerek gelecekteki hareketlerin ön görülebileceği ve böylece yatırımcıların anormal getiri elde etmek için farklı ticaret stratejileri geliştirebileceği anlamına gelmektedir.

Anahtar Kelimeler: Hisse Senedi Fiyatları, Durağanlık, Kesirli Frekanslı Fourier Birim Kök


Bu makaleye nasıl atıf yapılır?

APA 6th edition
HAN, A. (2021). Hisse Senedi Fiyatlarının Ortalamaya Dönüşü: Kesirli Frekanslı Fourier ADF Birim Kök Testi . Düzce İktisat Dergisi, 2(1), 49-62.

Harvard
HAN, A. (2021). Hisse Senedi Fiyatlarının Ortalamaya Dönüşü: Kesirli Frekanslı Fourier ADF Birim Kök Testi . Düzce İktisat Dergisi, 2(1), pp. 49-62.

Chicago 16th edition
HAN, Aysegul (2021). "Hisse Senedi Fiyatlarının Ortalamaya Dönüşü: Kesirli Frekanslı Fourier ADF Birim Kök Testi ". Düzce İktisat Dergisi 2 (1):49-62.

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