Türkiye Pay Piyasası Etkinliğinin Çok Ölçekli Sample Entropi ile Analizi

Serkan Alkan
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Abstract

This study evaluates the market efficiency of the market index and five main sector indices in the Turkish stock market: BIST 100 (XU100), BIST Industrials (XUSIN), BIST Services (XUHIZ), BIST Transportation (XULAS), BIST Financials (XUMAL), and BIST Technology (XUTEK) for the pre-and post-COVID-19 pandemic, covering the period from January 2017 to July 2022. Market efficiency is calculated using a multiscale entropy-based method for the scales of 1 to 20 business days. Entropy can yield a relative degree of efficiency, by contrast with previous methods that dealt with the efficiency question in all-or-nothing form. On a daily scale, during the pre-COVID-19 pandemic period, the XUHIZ, XU100 and XULAS indices exhibit the highest efficiency. However, in the post-COVID-19 pandemic period, the XUMAL and XU100 indices demonstrate the highest efficiency. The findings suggest that the efficiency of all indices has declined due to the COVID-19 pandemic, with the XULAS index showing the most significant decrease in informational efficiency. A general tendency of reduced informational efficiency levels is found as the time scale increases in both periods. Therefore, the indices are partially efficient for certain time scales, indicating that they are not fully efficient.
本研究评估了2017年1月至2022年7月期间,市场指数和土耳其股票市场五个主要行业指数:BIST 100 (XU100)、BIST Industrials (XUSIN)、BIST Services (XUHIZ)、BIST Transportation (XULAS)、BIST financial (XUMAL)和BIST Technology (XUTEK)在2019冠状病毒病大流行前后的市场效率。市场效率的计算采用基于多尺度熵的方法,范围为1至20个工作日。与以前以全有或全无形式处理效率问题的方法相比,熵可以产生相对程度的效率。在日尺度上,在疫情前期,XUHIZ、XU100和XULAS指数的效率最高。在新冠肺炎大流行后,XUMAL和XU100指数的效率最高。结果表明,受新冠肺炎疫情影响,各指标的信息效率均有所下降,其中信息效率下降幅度最大的是XULAS指数。在这两个时期,随着时间尺度的增加,发现了信息效率水平降低的一般趋势。因此,指数在某些时间尺度上是部分有效的,表明它们不是完全有效的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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