BRICS-T Ülkelerinde Adaptif Piyasa Hipotezi: Jeopolitik Risklerin Dinamik Etkileri ve Piyasa Tahmin Edilebilirliği

Cengizhan Karaca

doi:10.37880/cumuiibf.1600181

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BRICS-T Ülkelerinde Adaptif Piyasa Hipotezi: Jeopolitik Risklerin Dinamik Etkileri ve Piyasa Tahmin Edilebilirliği

Öz

Bu çalışma, BRICS-T ülkelerinin (Brezilya, Rusya, Hindistan, Çin, Güney Afrika ve Türkiye) finansal piyasalarını, Adaptif Piyasa Hipotezi (APH) çerçevesinde analiz ederek piyasa etkinliğinin zamanla değişen dinamiklerini ortaya koymayı amaçlamaktadır. Kasım 1997 - Kasım 2024 dönemine ait aylık borsa endeksi verileri kullanılarak APH, Genelleştirilmiş Spektral (GS) testi, Otomatik Portmanteau (AQ) testi ve Wild-Bootstrap Otomatik Varyans Oranı (WBAVR) testi ile sınanmıştır. Zamana bağlı adaptif davranışları incelemek için kayan pencereler tekniği uygulanmış ve APH’nin farklı dönemlerdeki adaptif piyasa özelliği sergileyip sergilemediği test edilmiştir. Ayrıca, jeopolitik risklerin piyasaların tahmin edilebilirliği üzerindeki etkileri doğrusal olmayan modelleme yapabilen ve makine öğrenimine dayalı bir yöntem olan KRLS (Kernel Regularized Least Squares) ile analiz edilmiştir. Elde edilen bulgulara göre, tüm dönemler baz alındığında hiçbir ülkenin adaptif piyasa özelliği göstermediği tespit edilmiştir. Ancak, kayan pancereler yöntemiyle ele alındığında brezilya ve Rusya 2008-2011 arasında güçlü, Hindistan 2006’da çok sınırlı, Çin 2014 ve 2015’te güçlü, Türkiye 2003,2007,2011’de çok sınırlı; 2023 ve 2024’te güçlü adaptif piyasa özelliği sergilemiştir. Güney Afrika’nın hiçbir dönemde adaptif piyasa özelliği sergilemediği görülmektedir. Ayrıca, KRLS dinamik olmayan sonuçları, Jeopolitik risklerin brezilya borsa tahmin edilebilirliğini artırdığını, diğer tüm ülkelerin borsa tahmin edilebilirliğini azalttığını ortaya çıkarmaktadır. Çalışmada, KRLS dinamik sonuçları ile jeopolitik risklerin marjinal etkilerinin ülke borsaları üzerindeki etkisi ortaya çıkarılmakta ve bu sonuçlara göre politika önerileri sunulmaktadır.

Anahtar Kelimeler

Adaptive Market Hypothesis in BRICS-T Countries: Dynamic Effects of Geopolitical Risks and Market Predictability

Abstract

This study aims to reveal the time-varying dynamics of market efficiency by analyzing the financial markets of BRICS-T countries (Brazil, Russia, India, China, South Africa, and Turkey) within the framework of the Adaptive Market Hypothesis (AMH). Using monthly stock market index data for the period November 1997 - November 2024, the APH is tested with the Generalized Spectral (GS) test, Automatic Portmanteau (AQ) test, and Wild-Bootstrap Automatic Variance Ratio (WBAVR) test. To examine time-dependent adaptive behavior, we apply the sliding windows technique and test whether APH exhibits adaptive market characteristics in different periods. Moreover, the effects of geopolitical risks on the predictability of markets are analyzed with KRLS (Kernel Regularized Least Squares), a machine learning-based method that can perform nonlinear modeling. According to the findings, no country is found to exhibit adaptive market characteristics across all periods. However, using the rolling window method, Brazil and Russia exhibited strong adaptive market characteristics between 2008 and 2011; India is very limited in 2006, China is strong in 2014 and 2015, and Turkey is very limited in 2003, 2007, and 2011 and is strong in 2023 and 2024. South Africa does not exhibit adaptive market characteristics in any period. Moreover, KRLS non-dynamic results reveal that geopolitical risks increase the predictability of Brazil’s stock market, while they decrease the predictability of all other countries' stock markets. In this study, the KRLS dynamic results and the marginal effects of geopolitical risks on the stock markets of countries are revealed, and policy recommendations are presented according to these results.

Keywords

Supporting Institution

The author(s) acknowledge that they received no external funding in support of this research.

Ethical Statement

It is declared that scientific and ethical principles have been followed while carrying out and writing this study and that all the sources used have been properly cited

Thanks

The author(s) sincerely thank the editorial board and reviewers for their valuable time, insightful feedback, and constructive suggestions, which have significantly contributed to enhancing the quality of this manuscript.

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Details

Primary Language

Turkish

Subjects

Finance , Finance and Investment (Other)

Journal Section

Research Article

Authors

Cengizhan Karaca ^*
0000-0002-8121-7142
Türkiye

Publication Date

April 30, 2025

Submission Date

December 12, 2024

Acceptance Date

February 2, 2025

Published in Issue

Year 2025 Volume: 26 Number: 2

DOI

https://doi.org/10.37880/cumuiibf.1600181

IZ

https://izlik.org/JA38KD95WP

Cite

RIS / Bibtex

APA

Karaca, C. (2025). BRICS-T Ülkelerinde Adaptif Piyasa Hipotezi: Jeopolitik Risklerin Dinamik Etkileri ve Piyasa Tahmin Edilebilirliği. Cumhuriyet Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 26(2), 421-441. https://doi.org/10.37880/cumuiibf.1600181