Sermaye piyasası etkinliği ve İMKB'de uygulaması

Abstract

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.

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. vr Capital 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.