Teória efektívnych trhov: evidencia z malej otvorenej ekonomiky (Efficient market hypothesis: evidence from a small open-economy)

ZEYNEL ABİDİN ÖZDEMİRZeynel Abidin Ozdemir z Gazi University v Ankare,v Turecku, sa vo svojej štúdii s názvom Efficient market hypothesis: evidence from a small open-economy rozhodol podrobiť skúmaniu Teóriu efektívnych trhov na istanbulskom akciovom parkete. Teória efektívnych trhov hovorí v skratke, že momentálna cena napr. akcie je najlepším odhadom jej budúcej hodnoty, pretože akákoľvek nová informácia je okamžite zakompnovaná do jej ceny. Nik na efektívnom trhu nedokáže dosiahnuť dlhodobo lepšie výnosy ako je trhový výnos, jedine ak vďaka náhode (podrobnejšie pozri tu a tu).

Ak je táto teória pravdivá, potom je zverovanie peňazí do rúk špekulantom, alebo manažérom bežne ponúkaných podielových fondov stratou peňazí.

Ozdemir vo svojej štúdii zistil, že istanbulský akciový index ISEN 100 predstavuje efektívny trh a jeho správanie je teda v súlade s teóriou efektívnych trhov. Z toho vyplýva, že špekulovanie s týmto indexom, či využitie aktívne spravovaných podielových fondov na investíciu do neho, je neoptimálnym riešením. Investícia do pasívne riadeného fondu s minimálnymi poplatkami, ktorí  ‘len’ nakúpi a drží akcie indexu ISEN 100 je pre investorov najlepšou voľbou.

English summary: Zeynel Abidin Ozdemir from the Gazi University in Ankara, Turkey, analyzed in his study Efficient market hypothesis: evidence from a small open-economy the validity of the Efficient Market Hypothesis (EMH) on the Istanbul stock exchange. The EMH posits that the current price is the best estimate of the instrinsic value of a company’s share due to the fact that every single bit of new information is immediately reflected by the market participants into the current price. The result is that nobody can beat the market return on an efficient market unless he is lucky (here and here). If this hypothesis works then actively managed investments and speculations are waste of time and money.

Ozdemir found out in his study that the market for the Turkish blue chip stocks is an efficient one. As a consequence, speculating with these stocks or actively investing in them is a suboptimal decision. A passive investment in an index fund that buys and holds the stocks in the ISEN 100 index is a superior solution. On efficient markets (e.g. USA, EU, Asia etc.), investors using passive, index funds are better off than investors pursuing above market returns in actively managed mutual funds.

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