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Is the Fractal Market Hypothesis Valid in Borsa Istanbul?

Year 2024, Volume: 16 Issue: 31, 402 - 412, 28.11.2024

Fatih Konak , Diler Türkoğlu

https://doi.org/10.20990/kilisiibfakademik.1507973

Abstract

Purpose: This study aims to test the validity of the Fractal Market Hypothesis in Borsa Istanbul.
Design/Methodology: In this study, the daily returns of the top 10 firms with the highest trading volumes and the top 10 firms with the lowest trading volumes in the BIST All Index for the last 10 years are tested by obtaining Hurst Exponents through Rescaled range (R/S) analysis..
Findings: As a result of the analyzes, it was determined that the H exponentials are in the range of 0.5 Limitations: In the study, the data set is limited to the closing prices of the firms operating in the BIST All Index between 01.01.2014 and 24.01.2024.
Originality/Value: In addition to the relationship between stock return and trading volume, understanding the behavior of trading volume is thought to be of unique value in predicting the market and minimizing risk, in other words, in determining whether the index has a fractal structure, in other words, whether stocks have a long memory.

Keywords

Efficient Market Hypothesis Fractal Market Hypothesis Borsa Istanbul Hurst Exponent

References

  • Awad, I., & Daraghma, Z. (2009). Testing the weak-form efficiency of the Palestinian securities market. https://dspace.alquds.edu/handle/20.500.12213/895.
  • Aygören, H. (2008). Istanbul menkul kiymetler borsasinin fractal analizi. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi, 23(1), 125-134. https://dergipark.org.tr/en/pub/deuiibfd/issue/22743/242747
  • Aygören, H., & Uyar, U. Portfolio selection and fractal market hypothesis: Evidence from the London stock exchange Portföy seçimi ve fraktal piyaslar: Londra borsasından kanıtlar. doi: 10.5505/pajes.2022.57267
  • Bariviera, A. F. (2011). The influence of liquidity on informational efficiency: The case of the Thai Stock Market. Physica A: Statistical Mechanics and its Applications, 390(23-24), 4426-4432. https://doi:10.1016/j.physa.2011.07.032
  • Blackledge, J., & Lamphiere, M. (2021). A review of the fractal market hypothesis for trading and market price prediction. Mathematics, 10(1), https://doi.org/10.3390/math10010117
  • Blume, L., Easley, D., & O'hara, M. (1994). Market statistics and technical analysis: The role of volume. The journal of finance, 49(1), 153-181. https://doi.org/10.1111/j.1540-6261.1994.tb04424.x
  • Bostancı, F. (2003). Davranışçı Finans. İstanbul: Sermaye Piyasası Kurulu Denetleme Dairesi. https://spk.gov.tr/data/61e48fc71b41c60d1404d68a/82c580bf7800e8553eee6a11143a1cf2.pdf
  • Brătian, V., Acu, A. M., Oprean-Stan, C., Dinga, E., & Ionescu, G. M. (2021). Efficient or Fractal market hypothesis? A stock ındexes modelling using geometric brownian motion and geometric fractional brownian motion. Mathematics, 9(22), 2983. https://doi.org/10.3390/math9222983
  • Fama, E. F. (1970). Efficient capital markets: a review of theory and empirical work. The Journal of Finance, 25(2), 383-417. http://gesd.free.fr/fama1970.pdf
  • Günay, S. (2015). BİST100 Endeksi fiyat ve işlem hacminin fraktallık analizi. Doğuş Üniversitesi Dergisi, 16(1), 35-50. https://dergipark.org.tr/en/pub/doujournal/issue/66672/1043086
  • Hurst, H. E (1951). Long-term storage capacity of reservoirs. Trans. Amer. Soc. Giv. Engrs, Vol. 116. https://ascelibrary.org/doi/abs/10.1061/TACEAT.0006518
  • Kahneman, D., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econemetrica, 47(2), 263-291. https://doi.org/10.1142/9789814417358_0006
  • Kale, M. D., & Butar, F. B. (2005). Fractal analysis of time series and distribution properties of Hurst exponent (Doctoral dissertation, Sam Houston State University). http://w.msme.us/2011-1-2.pdf.
  • Liu, G., Yu, C. P., Shiu, S. N., & Shih, I. T. (2022). The Efficient Market Hypothesis and the Fractal Market Hypothesis: interfluves, fusions, and evolutions. Sage Open, 12(1), https://doi.org/10.1177/21582440221082137.
  • Moralı, T., & Umut, U. (2018). Kıymetli metaller piyasasının fraktal analizi. Hitit Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 11(3), 2203-2218. https://doi.org/10.17218/hititsosbil.441151.
  • Mulligan, R. F. (2004). Fractal analysis of highly volatile markets: an application to technology equities. The quarterly review of economics and finance, 44(1), 155-179. https://doi.org/10.1016/S1062-9769(03)00028-0.
  • Müller, U., Dacorogna, M., Dav, R., Pictet, O., Olsen, R., & Ward, J. (1993). Fractals and Intrinsic Time qA Challenge to Econometricians. 4.International AEA Conference on Real Time Econometrics, 14 15October 1993. http://finance.martinsewell.com/stylized-facts/scaling/Muller-etal1993.pdf
  • Palma, A., & Sartoris, A. (2016). Weak-Form Market Efficiency of the Brazilian Exchange Rate: Evidence from an Artificial Neural Network Model. Latin American Business Review, 17(2), 163-176. https://doi.org/10.1080/10978526.2016.1171720
  • Peters, E. E. (1994). Fractal market analysis: applying chaos theory to investment and economics (Vol. 24). John Wiley & Sons. https://books.google.com.tr/books?hl=tr&lr=&id=_bkoySKyc_cC&oi=fnd&pg=PA39&dq=Fractal+market+analysis:+applying+chaos+theory+to+investment+and+economics+&ots=sQvfttY4DH&sig=stlIIuXPbzJTfBSdfcR0nI3caRM&redir_esc=y#v=one page&q=Fractal%20market%20analysis%3A%20applying%20chaos%20theory%20to%20investment%20and%20economics&f=false.
  • Rachev, S. T., Weron, A., & Weron, R. (1999). CED model for asset returns and fractal market hypothesis. Mathematical and computer modelling, 29(10-12), 23-36. https://doi.org/10.1016/S0895-7177(99)00090-4
  • Türkoğlu, D., & Konak, F. (2021). Pazartesi anomalisine farklı bir bakış: ABD ve Avrupa Borsaları üzerine bir uygulama. Kırklareli Üniversitesi Sosyal Bilimler Dergisi, 5(2), 1-20. https://doi.org/10.47140/kusbder.865306
  • Yilanci, V., & Bozoklu, Ş. (2014). Türk sermaye piyasasında fiyat ve işlem hacmi ilişkisi: Zamanla Değişen Asimetrik Nedensellik Analizi. Ege Academic Review, 14(2). https://eds.p.ebscohost.com/eds/pdfviewer/pdfviewer?vid=0&sid=41cd3c29-17ef-44c9-a57a-7dbd4d491237%40redis

Fraktal Piyasa Hipotezi Borsa İstanbul’da Geçerli mi?

Year 2024, Volume: 16 Issue: 31, 402 - 412, 28.11.2024

Fatih Konak , Diler Türkoğlu

https://doi.org/10.20990/kilisiibfakademik.1507973

Abstract

Amaç: Bu çalışmada Fraktal Piyasa Hipotezi’nin Borsa İstanbul’da geçerliliğinin test edilmesi amaçlanmaktadır.
Tasarım/Yöntem: Çalışmada BİST Tüm Endeksi’nde faaliyet gösteren firmalardan işlem hacimleri yüksek ilk 10 firma ile işlem hacimleri en düşük ilk 10 firmanın son 10 yıl içerisindeki günlük getirileri Dönüştürülmüş Genişlik (Rescaled range, R/S) analizi aracılığıyla Hurst Üstelleri elde edilerek test edilmektedir.
Bulgular: Yapılan analizler neticesinde elde edilen bulguların tüm firmalarda H üstellerinin 0,5 Sınırlılıklar: Çalışmada veri seti BİST Tüm Endeksi’nde faaliyet gösteren firmaların 01.01.2014 ile 24.01.2024 tarihleri arasındaki kapanış fiyatlarıyla sınırlandırılmıştır.
Özgünlük/Değer: Hisse senedi getirisi ve işlem hacminin arasındaki ilişkisinin yanı sıra işlem hacminin davranışını anlamanın piyasanın tahminlenmesi ve riskin minimize edilmesi hususunda söz konusu Endeksin Fraktal yapıya bir başka ifadeyle hisse senetlerinin uzun hafızaya sahip olup olmadığının test edilmesi konusunda özgün değer taşıdığı düşünülmektedir.

Keywords

Etkin Piyasa Hipotezi Fraktal Piyasa Hipotezi Borsa İstanbul Hurst Üsteli.

References

  • Awad, I., & Daraghma, Z. (2009). Testing the weak-form efficiency of the Palestinian securities market. https://dspace.alquds.edu/handle/20.500.12213/895.
  • Aygören, H. (2008). Istanbul menkul kiymetler borsasinin fractal analizi. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi, 23(1), 125-134. https://dergipark.org.tr/en/pub/deuiibfd/issue/22743/242747
  • Aygören, H., & Uyar, U. Portfolio selection and fractal market hypothesis: Evidence from the London stock exchange Portföy seçimi ve fraktal piyaslar: Londra borsasından kanıtlar. doi: 10.5505/pajes.2022.57267
  • Bariviera, A. F. (2011). The influence of liquidity on informational efficiency: The case of the Thai Stock Market. Physica A: Statistical Mechanics and its Applications, 390(23-24), 4426-4432. https://doi:10.1016/j.physa.2011.07.032
  • Blackledge, J., & Lamphiere, M. (2021). A review of the fractal market hypothesis for trading and market price prediction. Mathematics, 10(1), https://doi.org/10.3390/math10010117
  • Blume, L., Easley, D., & O'hara, M. (1994). Market statistics and technical analysis: The role of volume. The journal of finance, 49(1), 153-181. https://doi.org/10.1111/j.1540-6261.1994.tb04424.x
  • Bostancı, F. (2003). Davranışçı Finans. İstanbul: Sermaye Piyasası Kurulu Denetleme Dairesi. https://spk.gov.tr/data/61e48fc71b41c60d1404d68a/82c580bf7800e8553eee6a11143a1cf2.pdf
  • Brătian, V., Acu, A. M., Oprean-Stan, C., Dinga, E., & Ionescu, G. M. (2021). Efficient or Fractal market hypothesis? A stock ındexes modelling using geometric brownian motion and geometric fractional brownian motion. Mathematics, 9(22), 2983. https://doi.org/10.3390/math9222983
  • Fama, E. F. (1970). Efficient capital markets: a review of theory and empirical work. The Journal of Finance, 25(2), 383-417. http://gesd.free.fr/fama1970.pdf
  • Günay, S. (2015). BİST100 Endeksi fiyat ve işlem hacminin fraktallık analizi. Doğuş Üniversitesi Dergisi, 16(1), 35-50. https://dergipark.org.tr/en/pub/doujournal/issue/66672/1043086
  • Hurst, H. E (1951). Long-term storage capacity of reservoirs. Trans. Amer. Soc. Giv. Engrs, Vol. 116. https://ascelibrary.org/doi/abs/10.1061/TACEAT.0006518
  • Kahneman, D., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econemetrica, 47(2), 263-291. https://doi.org/10.1142/9789814417358_0006
  • Kale, M. D., & Butar, F. B. (2005). Fractal analysis of time series and distribution properties of Hurst exponent (Doctoral dissertation, Sam Houston State University). http://w.msme.us/2011-1-2.pdf.
  • Liu, G., Yu, C. P., Shiu, S. N., & Shih, I. T. (2022). The Efficient Market Hypothesis and the Fractal Market Hypothesis: interfluves, fusions, and evolutions. Sage Open, 12(1), https://doi.org/10.1177/21582440221082137.
  • Moralı, T., & Umut, U. (2018). Kıymetli metaller piyasasının fraktal analizi. Hitit Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 11(3), 2203-2218. https://doi.org/10.17218/hititsosbil.441151.
  • Mulligan, R. F. (2004). Fractal analysis of highly volatile markets: an application to technology equities. The quarterly review of economics and finance, 44(1), 155-179. https://doi.org/10.1016/S1062-9769(03)00028-0.
  • Müller, U., Dacorogna, M., Dav, R., Pictet, O., Olsen, R., & Ward, J. (1993). Fractals and Intrinsic Time qA Challenge to Econometricians. 4.International AEA Conference on Real Time Econometrics, 14 15October 1993. http://finance.martinsewell.com/stylized-facts/scaling/Muller-etal1993.pdf
  • Palma, A., & Sartoris, A. (2016). Weak-Form Market Efficiency of the Brazilian Exchange Rate: Evidence from an Artificial Neural Network Model. Latin American Business Review, 17(2), 163-176. https://doi.org/10.1080/10978526.2016.1171720
  • Peters, E. E. (1994). Fractal market analysis: applying chaos theory to investment and economics (Vol. 24). John Wiley & Sons. https://books.google.com.tr/books?hl=tr&lr=&id=_bkoySKyc_cC&oi=fnd&pg=PA39&dq=Fractal+market+analysis:+applying+chaos+theory+to+investment+and+economics+&ots=sQvfttY4DH&sig=stlIIuXPbzJTfBSdfcR0nI3caRM&redir_esc=y#v=one page&q=Fractal%20market%20analysis%3A%20applying%20chaos%20theory%20to%20investment%20and%20economics&f=false.
  • Rachev, S. T., Weron, A., & Weron, R. (1999). CED model for asset returns and fractal market hypothesis. Mathematical and computer modelling, 29(10-12), 23-36. https://doi.org/10.1016/S0895-7177(99)00090-4
  • Türkoğlu, D., & Konak, F. (2021). Pazartesi anomalisine farklı bir bakış: ABD ve Avrupa Borsaları üzerine bir uygulama. Kırklareli Üniversitesi Sosyal Bilimler Dergisi, 5(2), 1-20. https://doi.org/10.47140/kusbder.865306
  • Yilanci, V., & Bozoklu, Ş. (2014). Türk sermaye piyasasında fiyat ve işlem hacmi ilişkisi: Zamanla Değişen Asimetrik Nedensellik Analizi. Ege Academic Review, 14(2). https://eds.p.ebscohost.com/eds/pdfviewer/pdfviewer?vid=0&sid=41cd3c29-17ef-44c9-a57a-7dbd4d491237%40redis
There are 22 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section RESEARCH PAPERS
Authors

Fatih Konak 0000-0002-6917-5082

Diler Türkoğlu 0000-0001-5247-1590

Publication Date November 28, 2024
Submission Date July 1, 2024
Acceptance Date October 2, 2024
Published in Issue Year 2024 Volume: 16 Issue: 31

Cite

APA Konak, F., & Türkoğlu, D. (2024). Fraktal Piyasa Hipotezi Borsa İstanbul’da Geçerli mi?. Akademik Araştırmalar Ve Çalışmalar Dergisi (AKAD), 16(31), 402-412. https://doi.org/10.20990/kilisiibfakademik.1507973
AMA Konak F, Türkoğlu D. Fraktal Piyasa Hipotezi Borsa İstanbul’da Geçerli mi?. Akademik Araştırmalar ve Çalışmalar Dergisi (AKAD). November 2024;16(31):402-412. doi:10.20990/kilisiibfakademik.1507973
Chicago Konak, Fatih, and Diler Türkoğlu. “Fraktal Piyasa Hipotezi Borsa İstanbul’da Geçerli Mi?”. Akademik Araştırmalar Ve Çalışmalar Dergisi (AKAD) 16, no. 31 (November 2024): 402-12. https://doi.org/10.20990/kilisiibfakademik.1507973.
EndNote Konak F, Türkoğlu D (November 1, 2024) Fraktal Piyasa Hipotezi Borsa İstanbul’da Geçerli mi?. Akademik Araştırmalar ve Çalışmalar Dergisi (AKAD) 16 31 402–412.
IEEE F. Konak and D. Türkoğlu, “Fraktal Piyasa Hipotezi Borsa İstanbul’da Geçerli mi?”, Akademik Araştırmalar ve Çalışmalar Dergisi (AKAD), vol. 16, no. 31, pp. 402–412, 2024, doi: 10.20990/kilisiibfakademik.1507973.
ISNAD Konak, Fatih - Türkoğlu, Diler. “Fraktal Piyasa Hipotezi Borsa İstanbul’da Geçerli Mi?”. Akademik Araştırmalar ve Çalışmalar Dergisi (AKAD) 16/31 (November 2024), 402-412. https://doi.org/10.20990/kilisiibfakademik.1507973.
JAMA Konak F, Türkoğlu D. Fraktal Piyasa Hipotezi Borsa İstanbul’da Geçerli mi?. Akademik Araştırmalar ve Çalışmalar Dergisi (AKAD). 2024;16:402–412.
MLA Konak, Fatih and Diler Türkoğlu. “Fraktal Piyasa Hipotezi Borsa İstanbul’da Geçerli Mi?”. Akademik Araştırmalar Ve Çalışmalar Dergisi (AKAD), vol. 16, no. 31, 2024, pp. 402-1, doi:10.20990/kilisiibfakademik.1507973.
Vancouver Konak F, Türkoğlu D. Fraktal Piyasa Hipotezi Borsa İstanbul’da Geçerli mi?. Akademik Araştırmalar ve Çalışmalar Dergisi (AKAD). 2024;16(31):402-1.
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