Redirecting to http://dergipark.org.tr/_fragment?_hash=1zyXl-fEOx0lbFfwydUVqQajArzQ5ZWwnJPAS_0wMOQ&_path=id%3D1600181%26_format%3Dhtml%26_locale%3Dtr%26_controller%3DApp%255CController%255CSite%255CArticleController%253A%253AesiArticleStats.
Araştırma Makalesi
BibTex RIS Kaynak Göster

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

Yıl 2025, Cilt: 26 Sayı: 2, 421 - 441, 30.04.2025

Cengizhan Karaca

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

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

Adaptif Piyasa Hipotezi BRICS – T ülkeleri Varyans Oran Testleri KRLS Makine Öğrenimi

Etik Beyan

Bu çalışmanın hazırlanma sürecinde bilimsel ve etik ilkelere uyulduğu ve yararlanılan tüm çalışmaların kaynakçada belirtildiği beyan olunur.

Destekleyen Kurum

Bu araştırmayı desteklemek için dış fon kullanılmamıştır.

Teşekkür

Yazar(lar), bu makalenin kalitesini önemli ölçüde artıran değerli zamanları, derinlemesine geri bildirimleri ve yapıcı önerileri için editör kuruluna ve hakemlere içtenlikle teşekkür eder.

Kaynakça

  • Adnan, M., Rasheed, M. H., Maqbool, Z., & Tariq, S. (2023). Adaptive Vs Efficient: A Comparative Analysis of Stock and Foreign Exchange Markets in Pakistan. Journal of Asian Development Studies, 12(3), Article 3. https://poverty.com.pk/index.php/Journal/article/view/156
  • Akbar, M., Ullah, I., Ali, S., & Rehman, N. (2024). Adaptive market hypothesis: A comparison of Islamic and conventional stock indices. International Review of Economics & Finance, 89, 460-477. https://doi.org/10.1016/j.iref.2023.06.020
  • Aleknevičienė, V., Klasauskaitė, V., & Aleknevičiūtė, E. (2022). Behavior of calendar anomalies and the adaptive market hypothesis: Evidence from the Baltic stock markets. Journal of Baltic Studies, 53(2), 187-210. https://doi.org/10.1080/01629778.2021.1990094
  • Ayteki̇n, S., & Doğan, S. (2023). Testing the Adaptive Market Hypothesis in Equity Markets in Global Financial Crisis Periods: An Application on Borsa Istanbul Indices. İktisadi İdari ve Siyasal Araştırmalar Dergisi, 8(21), 377-402. https://doi.org/10.25204/iktisad.1208721
  • Bhuyan, B., Patra, S., & Bhuian, R. K. (2020). Market Adaptability and Evolving Predictability of Stock Returns: An Evidence from India. Asia-Pacific Financial Markets, 27(4), 605-619. https://doi.org/10.1007/s10690-020-09308-2
  • Box, G. E. P., & Pierce, D. A. (1970). Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models. Journal of the American Statistical Association, 65(332), 1509-1526. https://doi.org/10.1080/01621459.1970.10481180
  • Burhan, H. A., & Acar, E. (2021). Adaptive Market Hypothesis and Return Predictability: A Hidden Markov Model Application in Borsa Istanbul. Sosyoekonomi, 29(48), Article 48. https://doi.org/10.17233/sosyoekonomi.2021.02.02
  • Caldara, D., & Iacoviello, M. (2022). Measuring Geopolitical Risk. American Economic Review, 112(4), 1194-1225. https://doi.org/10.1257/aer.20191823
  • Charles, A., Darné, O., & Fouilloux, J. (2011). Testing the martingale difference hypothesis in CO2 emission allowances. Economic Modelling, 28(1), 27-35. https://doi.org/10.1016/j.econmod.2010.10.003
  • Charles, A., Darné, O., & Kim, J. H. (2017). Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices. International Economics, 151, 100-112. https://doi.org/10.1016/j.inteco.2017.05.002
  • Choi, I. (1999). Testing the random walk hypothesis for real exchange rates. Journal of Applied Econometrics, 14(3), 293-308. https://doi.org/10.1002/(SICI)1099-1255(199905/06)14:3<293::AID-JAE503>3.0.CO;2-5
  • Choi, Y., & Lee, S. (2020). The impact of urban physical environments on cooling rates in summer: Focusing on interaction effects with a kernel-based regularized least squares (KRLS) model. Renewable Energy, 149, 523-534. https://doi.org/10.1016/j.renene.2019.12.021
  • Chu, J., Zhang, Y., & Chan, S. (2019). The adaptive market hypothesis in the high frequency cryptocurrency market. International Review of Financial Analysis, 64, 221-231. https://doi.org/10.1016/j.irfa.2019.05.008
  • Ertaş, F. C., & Özkan, O. (2018). Piyasa Etkinliği Açısından Adaptif Piyasa Hipotezi’nin Test Edilmesi: Türkiye ve ABD Hisse Senedi Piyasaları Örneği. Finans Politik ve Ekonomik Yorumlar, 642, Article 642. https://dergipark.org.tr/en/pub/fpeyd/issue/47980/607030
  • Escanciano, J. C., & Lobato, I. N. (2009). An automatic Portmanteau test for serial correlation. Journal of Econometrics, 151(2), 140-149. https://doi.org/10.1016/j.jeconom.2009.03.001
  • Escanciano, J. C., & Velasco, C. (2006). Generalized spectral tests for the martingale difference hypothesis. Journal of Econometrics, 134(1), 151-185. https://doi.org/10.1016/j.jeconom.2005.06.019
  • Eyüboğlu, K., & Eyüboğlu, S. (2020). Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi. Yaşar Üniversitesi E-Dergisi, 15(59), Article 59. https://doi.org/10.19168/jyasar.633351
  • Fama, E. F. (1980). Agency Problems and the Theory of the Firm. Journal of Political Economy, 88(2), 288-307. https://doi.org/10.1086/260866
  • Fama, E. F. (1991). Efficient Capital Markets: II. The Journal of Finance, 46(5), 1575-1617. https://doi.org/10.1111/j.1540-6261.1991.tb04636.x
  • Ghazani, M. M., & Ebrahimi, S. B. (2019). Testing the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the crude oil prices. Finance Research Letters, 30, 60-68. https://doi.org/10.1016/j.frl.2019.03.032
  • Görgel, B., & Ege, İ. (2024). E7 Ülkeleri Pay Piyasaları Üzerine Etkin Piyasa Hipotezi ile Adaptif Piyasa Hipotezinin Araştırılması. Fiscaoeconomia, 8(3), Article 3. https://doi.org/10.25295/fsecon.1448436
  • Hainmueller, J., & Hazlett, C. (2014). Kernel Regularized Least Squares: Reducing Misspecification Bias with a Flexible and Interpretable Machine Learning Approach. Political Analysis, 22(2), 143-168. https://doi.org/10.1093/pan/mpt019
  • Hiremath, G. S., & Kumari, J. (2014). Stock returns predictability and the adaptive market hypothesis in emerging markets: Evidence from India. SpringerPlus, 3(1), 428. https://doi.org/10.1186/2193-1801-3-428
  • Hiremath, G. S., & Narayan, S. (2016). Testing the adaptive market hypothesis and its determinants for the Indian stock markets. Finance Research Letters, 19, 173-180. https://doi.org/10.1016/j.frl.2016.07.009
  • İçigen, F. K., & Kayali, M. M. (2022). Adaptif Piyasa Hipotezi Kapsamında Getiri Öngörülebilirliği ile Piyasa Koşulları Arasındaki İlişkinin İncelenmesi: Bist 100 Endeksi Örneği. Finans Politik & Ekonomik Yorumlar, 659, 135-160. https://www.ekonomikyorumlar.com.tr/files/articles/1648651990.pdf
  • Karaömer, Y., & Kakilli Acaravci, S. (2023). Adaptive Market Hypothesis: Evidence From the Cryptocurrency Market. Interdisciplinary Journal of Management Studies (Formerly Known as Iranian Journal of Management Studies), 16(1), 125-138. https://doi.org/10.22059/ijms.2022.336833.674889
  • Kartal, M. T., Pata, U. K., Kılıç Depren, S., & Depren, Ö. (2023). Effects of possible changes in natural gas, nuclear, and coal energy consumption on CO2 emissions: Evidence from France under Russia’s gas supply cuts by dynamic ARDL simulations approach. Applied Energy, 339, 120983. https://doi.org/10.1016/j.apenergy.2023.120983
  • Khuntia, S., & Pattanayak, J. K. (2018). Adaptive market hypothesis and evolving predictability of bitcoin. Economics Letters, 167, 26-28. https://doi.org/10.1016/j.econlet.2018.03.005
  • Kılıç, Y. (2020). Adaptive Market Hypothesis: Evidence from the Turkey Stock Market. Journal of Applied Economics and Business Research.
  • Kim, J. H. (2009). Automatic variance ratio test under conditional heteroskedasticity. Finance Research Letters, 6(3), 179-185. https://doi.org/10.1016/j.frl.2009.04.003
  • Kyei, C. B., Cantah, W. G., & Junior Owusu, P. (2023). Effect of commodity prices on financial soundness; insight from adaptive market hypothesis in the Ghanaian setting. Resources Policy, 86, 104076. https://doi.org/10.1016/j.resourpol.2023.104076
  • Lekhal, M., & Oubani, A. E. (2020). Does the Adaptive Market Hypothesis explain the evolution of emerging markets efficiency? Evidence from the Moroccan financial market. Heliyon, 6(7). https://doi.org/10.1016/j.heliyon.2020.e04429
  • Lo, A. W. (2004). The Adaptive Markets Hypothesis. The Journal of Portfolio Management, 30(5), 15-29. https://doi.org/10.3905/jpm.2004.442611
  • Lo, A. W., & MacKinlay, A. C. (1988). Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test. The Review of Financial Studies, 1(1), 41-66. https://doi.org/10.1093/rfs/1.1.41
  • López-Martín, C. (2023). Dynamic analysis of calendar anomalies in cryptocurrency markets: Evidences of adaptive market hypothesis. Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad, 52(4), 559-592. https://doi.org/10.1080/02102412.2022.2131239
  • Malkiel, B. G., & Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383-417. https://doi.org/10.1111/j.1540-6261.1970.tb00518.x
  • Mammen, E. (1993). Bootstrap and Wild Bootstrap for High Dimensional Linear Models. The Annals of Statistics, 21(1), 255-285. https://doi.org/10.1214/aos/1176349025
  • Mandacı, P. E., Taskın, F. D., & Ergun, Z. C. (2019). Adaptive Market Hypothesis. International Journal of Economics and Business Administration, VII(4), 84-101. https://ijeba.com/journal/333
  • Ndubuisi, P., & Okere, K. (2018). Stock Returns Predictability and the Adaptive Market Hypothesis in Emerging Markets: Evidence from the Nigerian Capital Market. (1986-2016). Asian Journal of Economic Modelling, 6(2), 147-156. https://doi.org/10.18488/journal.8.2018.62.147.156
  • Noreen, U., Shafique, A., Ayub, U., & Saeed, S. K. (2022). Does the Adaptive Market Hypothesis Reconcile the Behavioral Finance and the Efficient Market Hypothesis? Risks, 10(9), Article 9. https://doi.org/10.3390/risks10090168
  • Obalade, A. A., & Muzindutsi, P.-F. (2020). Validating the adaptive market hypothesis in the Tunisian stock market. International Journal of Trade and Global Markets. https://www.inderscienceonline.com/doi/10.1504/IJTGM.2020.104906
  • Okorie, D. I., & Lin, B. (2021). Adaptive market hypothesis: The story of the stock markets and COVID-19 pandemic. The North American Journal of Economics and Finance, 57, 101397. https://doi.org/10.1016/j.najef.2021.101397
  • Özkan, O. (2020a). Hangi Sektörlerde Getiri Öngörülebilirliği İçin Tarihsel Fiyatlar Kullanılabilir Otomatik Portmanteau Testi ile Borsa İstanbul Üzerine Ampirik Bir Çalışma. Business and Economics Research Journal, 11(3), 703-712. https://doi.org/10.20409/berj.2020.278
  • Özkan, O. (2020b). Time-varying return predictability and adaptive markets hypothesis: Evidence on MIST countries from a novel wild bootstrap likelihood ratio approach. Bogazici Journal, 34(2), 101-113. https://doi.org/10.21773/boun.34.2.1
  • Özkan, O. (2020c). Weak-Form Market Efficiency Comparison of Stock Markets on Global Scale: An Empirical Study on G-20 Members. Manisa Celal Bayar Üniversitesi Sosyal Bilimler Dergisi, 18(2), Article 2. https://doi.org/10.18026/cbayarsos.695125
  • Özkan, O. (2020d). Zayıf Form Piyasa Etkinliği Kapsamında Türkiye Döviz Piyasası Üzerine Ampirik Bir Çalışma. Ekonomi Politika ve Finans Araştırmaları Dergisi, 5(2), Article 2. https://doi.org/10.30784/epfad.689506
  • Özkan, O. (2021a). Döviz Piyasalarının Davranışlarını Açıklamada Etkin Piyasalar Hipotezi ile Adaptif Piyasalar Hipotezinin Karşılaştırılması: BRICS-T Ülkeleri Üzerine Ampirik Bir Çalışma. The Journal of Accounting and Finance, 89, Article 89. https://doi.org/10.25095/mufad.852162
  • Özkan, O. (2021b). Impact of COVID-19 on stock market efficiency: Evidence from developed countries. Research in International Business and Finance, 58, 101445. https://doi.org/10.1016/j.ribaf.2021.101445
  • Phillips, P. C. B., Shi, S., & Yu, J. (2015). Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&p 500. International Economic Review, 56(4), 1043-1078. https://doi.org/10.1111/iere.12132
  • Saha, K., Madhavan, V., & Chandrashekhar, G. R. (2021). Relative efficiency of equity ETFs: An adaptive market hypothesis perspective. Applied Economics Letters, 28(14), 1202-1207. https://doi.org/10.1080/13504851.2020.1804045
  • Santos, M. A. dos, Fávero, L. P. L., Brugni, T. V., & Serra, R. G. (2023). Adaptive markets hypothesis and economic-institutional environment: A cross-country analysis. Revista de Gestão, 31(2), 215-236. https://doi.org/10.1108/REGE-06-2022-0095
  • Sarkodie, S. A., Ackom, E., Bekun, F. V., & Owusu, P. A. (2020). Energy–Climate–Economy–Population Nexus: An Empirical Analysis in Kenya, Senegal, and Eswatini. Sustainability, 12(15), Article 15. https://doi.org/10.3390/su12156202
  • Shahid, M. N., Jehanzeb, M., Abbas, A., Zubair, A., & Akbar, M. A. H. (2020). Predictability of precious metals and adaptive market hypothesis. International Journal of Emerging Markets, 15(5), 1011-1027. https://doi.org/10.1108/IJOEM-07-2018-0404
  • Tiwari, A. K., Jena, S. K., Abakah, E. J. A., & Yoon, S.-M. (2024). Does the dynamics between government bond and equity markets validate the adaptive market hypothesis? Evidence from transfer entropy. Applied Economics, 56(2), 186-201. https://doi.org/10.1080/00036846.2023.2166896
  • Tweneboah, G., Asamoah, M. E., & Owusu Junior, P. (2022). On Exchange Rate Predictability and Adaptive Market Hypothesis in South Africa. Journal of African Business, 23(4), 984-1008. https://doi.org/10.1080/15228916.2021.1975488
  • Xiong, X., Meng, Y., Li, X., & Shen, D. (2019). An empirical analysis of the Adaptive Market Hypothesis with calendar effects:Evidence from China. Finance Research Letters, 31. https://doi.org/10.1016/j.frl.2018.11.020
  • Yaman, S., & Topaloğlu, E. E. (2023). Pay Piyasalarında Finansal Balonlar Adaptif Mi? Borsa İstanbul’dan Kanıtlar. İşletme Araştırmaları Dergisi, 15(3), 1586-1604. https://www.ceeol.com/search/article-detail?id=1203677
  • Zhang, Y., Chan, S., Chu, J., & Shih, S. (2023). The adaptive market hypothesis of Decentralized finance (DeFi). Applied Economics, 55(42), 4975-4989. https://doi.org/10.1080/00036846.2022.2133895

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

Yıl 2025, Cilt: 26 Sayı: 2, 421 - 441, 30.04.2025

Cengizhan Karaca

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

Öz

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.

Anahtar Kelimeler

Adaptive Market Hypothesis BRICS – T Countries Variance-Ratio Tests KRLS Machine Learning

Etik Beyan

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

Destekleyen Kurum

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

Teşekkür

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.

Kaynakça

  • Adnan, M., Rasheed, M. H., Maqbool, Z., & Tariq, S. (2023). Adaptive Vs Efficient: A Comparative Analysis of Stock and Foreign Exchange Markets in Pakistan. Journal of Asian Development Studies, 12(3), Article 3. https://poverty.com.pk/index.php/Journal/article/view/156
  • Akbar, M., Ullah, I., Ali, S., & Rehman, N. (2024). Adaptive market hypothesis: A comparison of Islamic and conventional stock indices. International Review of Economics & Finance, 89, 460-477. https://doi.org/10.1016/j.iref.2023.06.020
  • Aleknevičienė, V., Klasauskaitė, V., & Aleknevičiūtė, E. (2022). Behavior of calendar anomalies and the adaptive market hypothesis: Evidence from the Baltic stock markets. Journal of Baltic Studies, 53(2), 187-210. https://doi.org/10.1080/01629778.2021.1990094
  • Ayteki̇n, S., & Doğan, S. (2023). Testing the Adaptive Market Hypothesis in Equity Markets in Global Financial Crisis Periods: An Application on Borsa Istanbul Indices. İktisadi İdari ve Siyasal Araştırmalar Dergisi, 8(21), 377-402. https://doi.org/10.25204/iktisad.1208721
  • Bhuyan, B., Patra, S., & Bhuian, R. K. (2020). Market Adaptability and Evolving Predictability of Stock Returns: An Evidence from India. Asia-Pacific Financial Markets, 27(4), 605-619. https://doi.org/10.1007/s10690-020-09308-2
  • Box, G. E. P., & Pierce, D. A. (1970). Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models. Journal of the American Statistical Association, 65(332), 1509-1526. https://doi.org/10.1080/01621459.1970.10481180
  • Burhan, H. A., & Acar, E. (2021). Adaptive Market Hypothesis and Return Predictability: A Hidden Markov Model Application in Borsa Istanbul. Sosyoekonomi, 29(48), Article 48. https://doi.org/10.17233/sosyoekonomi.2021.02.02
  • Caldara, D., & Iacoviello, M. (2022). Measuring Geopolitical Risk. American Economic Review, 112(4), 1194-1225. https://doi.org/10.1257/aer.20191823
  • Charles, A., Darné, O., & Fouilloux, J. (2011). Testing the martingale difference hypothesis in CO2 emission allowances. Economic Modelling, 28(1), 27-35. https://doi.org/10.1016/j.econmod.2010.10.003
  • Charles, A., Darné, O., & Kim, J. H. (2017). Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices. International Economics, 151, 100-112. https://doi.org/10.1016/j.inteco.2017.05.002
  • Choi, I. (1999). Testing the random walk hypothesis for real exchange rates. Journal of Applied Econometrics, 14(3), 293-308. https://doi.org/10.1002/(SICI)1099-1255(199905/06)14:3<293::AID-JAE503>3.0.CO;2-5
  • Choi, Y., & Lee, S. (2020). The impact of urban physical environments on cooling rates in summer: Focusing on interaction effects with a kernel-based regularized least squares (KRLS) model. Renewable Energy, 149, 523-534. https://doi.org/10.1016/j.renene.2019.12.021
  • Chu, J., Zhang, Y., & Chan, S. (2019). The adaptive market hypothesis in the high frequency cryptocurrency market. International Review of Financial Analysis, 64, 221-231. https://doi.org/10.1016/j.irfa.2019.05.008
  • Ertaş, F. C., & Özkan, O. (2018). Piyasa Etkinliği Açısından Adaptif Piyasa Hipotezi’nin Test Edilmesi: Türkiye ve ABD Hisse Senedi Piyasaları Örneği. Finans Politik ve Ekonomik Yorumlar, 642, Article 642. https://dergipark.org.tr/en/pub/fpeyd/issue/47980/607030
  • Escanciano, J. C., & Lobato, I. N. (2009). An automatic Portmanteau test for serial correlation. Journal of Econometrics, 151(2), 140-149. https://doi.org/10.1016/j.jeconom.2009.03.001
  • Escanciano, J. C., & Velasco, C. (2006). Generalized spectral tests for the martingale difference hypothesis. Journal of Econometrics, 134(1), 151-185. https://doi.org/10.1016/j.jeconom.2005.06.019
  • Eyüboğlu, K., & Eyüboğlu, S. (2020). Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi. Yaşar Üniversitesi E-Dergisi, 15(59), Article 59. https://doi.org/10.19168/jyasar.633351
  • Fama, E. F. (1980). Agency Problems and the Theory of the Firm. Journal of Political Economy, 88(2), 288-307. https://doi.org/10.1086/260866
  • Fama, E. F. (1991). Efficient Capital Markets: II. The Journal of Finance, 46(5), 1575-1617. https://doi.org/10.1111/j.1540-6261.1991.tb04636.x
  • Ghazani, M. M., & Ebrahimi, S. B. (2019). Testing the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the crude oil prices. Finance Research Letters, 30, 60-68. https://doi.org/10.1016/j.frl.2019.03.032
  • Görgel, B., & Ege, İ. (2024). E7 Ülkeleri Pay Piyasaları Üzerine Etkin Piyasa Hipotezi ile Adaptif Piyasa Hipotezinin Araştırılması. Fiscaoeconomia, 8(3), Article 3. https://doi.org/10.25295/fsecon.1448436
  • Hainmueller, J., & Hazlett, C. (2014). Kernel Regularized Least Squares: Reducing Misspecification Bias with a Flexible and Interpretable Machine Learning Approach. Political Analysis, 22(2), 143-168. https://doi.org/10.1093/pan/mpt019
  • Hiremath, G. S., & Kumari, J. (2014). Stock returns predictability and the adaptive market hypothesis in emerging markets: Evidence from India. SpringerPlus, 3(1), 428. https://doi.org/10.1186/2193-1801-3-428
  • Hiremath, G. S., & Narayan, S. (2016). Testing the adaptive market hypothesis and its determinants for the Indian stock markets. Finance Research Letters, 19, 173-180. https://doi.org/10.1016/j.frl.2016.07.009
  • İçigen, F. K., & Kayali, M. M. (2022). Adaptif Piyasa Hipotezi Kapsamında Getiri Öngörülebilirliği ile Piyasa Koşulları Arasındaki İlişkinin İncelenmesi: Bist 100 Endeksi Örneği. Finans Politik & Ekonomik Yorumlar, 659, 135-160. https://www.ekonomikyorumlar.com.tr/files/articles/1648651990.pdf
  • Karaömer, Y., & Kakilli Acaravci, S. (2023). Adaptive Market Hypothesis: Evidence From the Cryptocurrency Market. Interdisciplinary Journal of Management Studies (Formerly Known as Iranian Journal of Management Studies), 16(1), 125-138. https://doi.org/10.22059/ijms.2022.336833.674889
  • Kartal, M. T., Pata, U. K., Kılıç Depren, S., & Depren, Ö. (2023). Effects of possible changes in natural gas, nuclear, and coal energy consumption on CO2 emissions: Evidence from France under Russia’s gas supply cuts by dynamic ARDL simulations approach. Applied Energy, 339, 120983. https://doi.org/10.1016/j.apenergy.2023.120983
  • Khuntia, S., & Pattanayak, J. K. (2018). Adaptive market hypothesis and evolving predictability of bitcoin. Economics Letters, 167, 26-28. https://doi.org/10.1016/j.econlet.2018.03.005
  • Kılıç, Y. (2020). Adaptive Market Hypothesis: Evidence from the Turkey Stock Market. Journal of Applied Economics and Business Research.
  • Kim, J. H. (2009). Automatic variance ratio test under conditional heteroskedasticity. Finance Research Letters, 6(3), 179-185. https://doi.org/10.1016/j.frl.2009.04.003
  • Kyei, C. B., Cantah, W. G., & Junior Owusu, P. (2023). Effect of commodity prices on financial soundness; insight from adaptive market hypothesis in the Ghanaian setting. Resources Policy, 86, 104076. https://doi.org/10.1016/j.resourpol.2023.104076
  • Lekhal, M., & Oubani, A. E. (2020). Does the Adaptive Market Hypothesis explain the evolution of emerging markets efficiency? Evidence from the Moroccan financial market. Heliyon, 6(7). https://doi.org/10.1016/j.heliyon.2020.e04429
  • Lo, A. W. (2004). The Adaptive Markets Hypothesis. The Journal of Portfolio Management, 30(5), 15-29. https://doi.org/10.3905/jpm.2004.442611
  • Lo, A. W., & MacKinlay, A. C. (1988). Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test. The Review of Financial Studies, 1(1), 41-66. https://doi.org/10.1093/rfs/1.1.41
  • López-Martín, C. (2023). Dynamic analysis of calendar anomalies in cryptocurrency markets: Evidences of adaptive market hypothesis. Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad, 52(4), 559-592. https://doi.org/10.1080/02102412.2022.2131239
  • Malkiel, B. G., & Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383-417. https://doi.org/10.1111/j.1540-6261.1970.tb00518.x
  • Mammen, E. (1993). Bootstrap and Wild Bootstrap for High Dimensional Linear Models. The Annals of Statistics, 21(1), 255-285. https://doi.org/10.1214/aos/1176349025
  • Mandacı, P. E., Taskın, F. D., & Ergun, Z. C. (2019). Adaptive Market Hypothesis. International Journal of Economics and Business Administration, VII(4), 84-101. https://ijeba.com/journal/333
  • Ndubuisi, P., & Okere, K. (2018). Stock Returns Predictability and the Adaptive Market Hypothesis in Emerging Markets: Evidence from the Nigerian Capital Market. (1986-2016). Asian Journal of Economic Modelling, 6(2), 147-156. https://doi.org/10.18488/journal.8.2018.62.147.156
  • Noreen, U., Shafique, A., Ayub, U., & Saeed, S. K. (2022). Does the Adaptive Market Hypothesis Reconcile the Behavioral Finance and the Efficient Market Hypothesis? Risks, 10(9), Article 9. https://doi.org/10.3390/risks10090168
  • Obalade, A. A., & Muzindutsi, P.-F. (2020). Validating the adaptive market hypothesis in the Tunisian stock market. International Journal of Trade and Global Markets. https://www.inderscienceonline.com/doi/10.1504/IJTGM.2020.104906
  • Okorie, D. I., & Lin, B. (2021). Adaptive market hypothesis: The story of the stock markets and COVID-19 pandemic. The North American Journal of Economics and Finance, 57, 101397. https://doi.org/10.1016/j.najef.2021.101397
  • Özkan, O. (2020a). Hangi Sektörlerde Getiri Öngörülebilirliği İçin Tarihsel Fiyatlar Kullanılabilir Otomatik Portmanteau Testi ile Borsa İstanbul Üzerine Ampirik Bir Çalışma. Business and Economics Research Journal, 11(3), 703-712. https://doi.org/10.20409/berj.2020.278
  • Özkan, O. (2020b). Time-varying return predictability and adaptive markets hypothesis: Evidence on MIST countries from a novel wild bootstrap likelihood ratio approach. Bogazici Journal, 34(2), 101-113. https://doi.org/10.21773/boun.34.2.1
  • Özkan, O. (2020c). Weak-Form Market Efficiency Comparison of Stock Markets on Global Scale: An Empirical Study on G-20 Members. Manisa Celal Bayar Üniversitesi Sosyal Bilimler Dergisi, 18(2), Article 2. https://doi.org/10.18026/cbayarsos.695125
  • Özkan, O. (2020d). Zayıf Form Piyasa Etkinliği Kapsamında Türkiye Döviz Piyasası Üzerine Ampirik Bir Çalışma. Ekonomi Politika ve Finans Araştırmaları Dergisi, 5(2), Article 2. https://doi.org/10.30784/epfad.689506
  • Özkan, O. (2021a). Döviz Piyasalarının Davranışlarını Açıklamada Etkin Piyasalar Hipotezi ile Adaptif Piyasalar Hipotezinin Karşılaştırılması: BRICS-T Ülkeleri Üzerine Ampirik Bir Çalışma. The Journal of Accounting and Finance, 89, Article 89. https://doi.org/10.25095/mufad.852162
  • Özkan, O. (2021b). Impact of COVID-19 on stock market efficiency: Evidence from developed countries. Research in International Business and Finance, 58, 101445. https://doi.org/10.1016/j.ribaf.2021.101445
  • Phillips, P. C. B., Shi, S., & Yu, J. (2015). Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&p 500. International Economic Review, 56(4), 1043-1078. https://doi.org/10.1111/iere.12132
  • Saha, K., Madhavan, V., & Chandrashekhar, G. R. (2021). Relative efficiency of equity ETFs: An adaptive market hypothesis perspective. Applied Economics Letters, 28(14), 1202-1207. https://doi.org/10.1080/13504851.2020.1804045
  • Santos, M. A. dos, Fávero, L. P. L., Brugni, T. V., & Serra, R. G. (2023). Adaptive markets hypothesis and economic-institutional environment: A cross-country analysis. Revista de Gestão, 31(2), 215-236. https://doi.org/10.1108/REGE-06-2022-0095
  • Sarkodie, S. A., Ackom, E., Bekun, F. V., & Owusu, P. A. (2020). Energy–Climate–Economy–Population Nexus: An Empirical Analysis in Kenya, Senegal, and Eswatini. Sustainability, 12(15), Article 15. https://doi.org/10.3390/su12156202
  • Shahid, M. N., Jehanzeb, M., Abbas, A., Zubair, A., & Akbar, M. A. H. (2020). Predictability of precious metals and adaptive market hypothesis. International Journal of Emerging Markets, 15(5), 1011-1027. https://doi.org/10.1108/IJOEM-07-2018-0404
  • Tiwari, A. K., Jena, S. K., Abakah, E. J. A., & Yoon, S.-M. (2024). Does the dynamics between government bond and equity markets validate the adaptive market hypothesis? Evidence from transfer entropy. Applied Economics, 56(2), 186-201. https://doi.org/10.1080/00036846.2023.2166896
  • Tweneboah, G., Asamoah, M. E., & Owusu Junior, P. (2022). On Exchange Rate Predictability and Adaptive Market Hypothesis in South Africa. Journal of African Business, 23(4), 984-1008. https://doi.org/10.1080/15228916.2021.1975488
  • Xiong, X., Meng, Y., Li, X., & Shen, D. (2019). An empirical analysis of the Adaptive Market Hypothesis with calendar effects:Evidence from China. Finance Research Letters, 31. https://doi.org/10.1016/j.frl.2018.11.020
  • Yaman, S., & Topaloğlu, E. E. (2023). Pay Piyasalarında Finansal Balonlar Adaptif Mi? Borsa İstanbul’dan Kanıtlar. İşletme Araştırmaları Dergisi, 15(3), 1586-1604. https://www.ceeol.com/search/article-detail?id=1203677
  • Zhang, Y., Chan, S., Chu, J., & Shih, S. (2023). The adaptive market hypothesis of Decentralized finance (DeFi). Applied Economics, 55(42), 4975-4989. https://doi.org/10.1080/00036846.2022.2133895
Toplam 58 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Finans, Finans ve Yatırım (Diğer)
Bölüm Makaleler
Yazarlar

Cengizhan Karaca 0000-0002-8121-7142

Yayımlanma Tarihi 30 Nisan 2025
Gönderilme Tarihi 12 Aralık 2024
Kabul Tarihi 2 Şubat 2025
Yayımlandığı Sayı Yıl 2025 Cilt: 26 Sayı: 2

Kaynak Göster

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
 Kapak Resmi İndir

Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi Creative Commons Atıf-GayriTicari 4.0 Uluslararası Lisansı (CC BY NC) ile lisanslanmıştır.