Ocak Ayı Anomalisi: Borsa İstanbul Endeksleri Üzerine Bir Uygulama

Aytekin, Sinan; Sakarya, Şakir

doi:10.17130/ijmeb.2014.10.23.683

Cited by 13 publications

(6 citation statements)

References 4 publications

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“…The results of the study are similar to the results of the studies by Çinko (2008), Atakan (2008), Patel (2016), Andrade, Chhaochharia and Fuerst (2013), Bouman and Jacobsen, (2002), Guo, Luo and Zhang (2014), Degenhardt and R. Auer (2018). Also different from the studies by Küçüksille (2012), Ege, Topaloğlu and Coşkun (2012), Yılancı (2013), Aytekin and Sakarya (2014). In this study, a significant January effect can not be mentioned.…”

Section: International Journal Of Economic and Administrative Studiescontrasting

confidence: 93%

The Investigation of Sell in May and Go Away and January Effects in Borsa Istanbul: Evidence From Bist 100

Tekin

2019

Uluslararası İktisadi Ve İdari İncelemeler Dergisi

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Ö zEtkin piyasalar hipotezine göre piyasa aktörlerinin rasyonel işlemleri beraberinde finansal piyasalarda rasyonel fiyat hareketlerini getirmektedir. Bu varsayım aynı zamanda, yatırımcıların anormal getiri elde ederek piyasayı yenemeyeceklerini ifade etmektedir. Geleneksel finans teorilerinin iki temel paradigması olan rasyonellik ve beklenen fayda teorilerini irdeleyen çalışmalar ile bireylerin varsayıldığı gibi tam rasyonel olmadıkları görülmüştür. Yatırımcıların piyasalarda gerçekleştirdikleri işlemler sonucu piyasa anomalilerinin ortaya çıktığı belgelenmiştir. Bu çalışmada davranışsal finans alanında takvimsel veya mevsimsel anomaliler başlıkları altında ve özellikle uluslararası literatürde yer alan ve "Sell in May and Go Away" şeklinde ifade edilen "Mayıs Ayı Satış Etkisi" ile Ocak Ayı Etkisinin Borsa İstanbul'da geçerli olup olmadıkları ve gözlenmeye devam edip etmedikleri araştırılmıştır. Çalışmada daha önce yapılan çalışmaların yöntemlerinden yararlanılmış ve BIST 100 endeksi 1990-2017 yılları arası aylık verileri kullanılmıştır. Çalışma sonucunda Borsa İstanbul'da ocak ayı getirilerinin diğer aylardan belirgin bir şekilde farklılaşmadığı buna karşın mayıs ayı satış etkisinin geçerli olduğu görülmüştür. A b s t r a c tAccording to the efficient market hypothesis, financial markets are rational because financial actors are rational. This assumption means that investors cannot beat the market by obtaining abnormal returns. The two basic paradigms of finance field are rationality and the expected utility theory.

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Section: International Journal Of Economic and Administrative Studiescontrasting

confidence: 93%

The Investigation of Sell in May and Go Away and January Effects in Borsa Istanbul: Evidence From Bist 100

Tekin

2019

Uluslararası İktisadi Ve İdari İncelemeler Dergisi

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“…January effect is validated for many markets such as Montreal and Toronto Stock Exchange (Berges et al, 1984), Amsterdam (Van Den Bergh & Wessels, 1985), Madrid Stock Exchange (Santesmases, 1986), Bruxelles, London, New York and Paris (Corhay et al, 1987), Philippines (Aggarwal & Tandon, 1994), Amman Stock Exchange (Alrabadi & Al-Qudah, 2012), Borsa İstanbul (Aytekin & Sakarya, 2014), United Kingdom, Singapur, U.S.A, Malaysia, Taiwan and Hong Kong Stock Exchange Markets (Ho, 1990). …”

Section: A Brief Literature Reviewmentioning

confidence: 99%

January Effect Revisited: Evidence from Borsa Istanbul and Bucharest Stock Exchange

Şahin¹,

Topaloğlu²,

Ege³

2017

IJEF

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Any siginificant deviation from fundamental value observed in a market is acctepted to be an anomaly. As one of the most commonly referred anomalies in markets, January effect may be used to explain abnormal stock returns observed in January. The aim of this paper is to examine the January effect in two emerging markets for the time period between 2000 and 2014 using daily closing prices with power ratios analysis. Our results indicate that January effect is persistent for both Borsa Istanbul (BIST-100) and Bucharest Stock Exchange (BET).

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“…These studies reveal that stock returns are higher in some months of the year than others. January is the month that stocks have higher returns and this anomaly is called the “January effect” (Aytekin and Sakarya, 2014; Karan and Uygur, 2001; Kato and Schallheim, 1985; Rozeff and Kinney, 1976; Thaler, 1987). These studies used the Gregorian calendar to investigate the January effect in the financial markets.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Within the calendar anomalies, the “January effect” has been the subject of many studies. These studies suggest that January provides higher returns than the other months of the year (Aytekin and Sakarya, 2014; Karan and Uygur, 2001; Kato and Schallheim, 1985; Rozeff and Kinney, 1976; Thaler, 1987).…”

Section: Introductionmentioning

confidence: 98%

Hijri calendar effect in Borsa Istanbul gold market and Turkey’s foreign exchange market

Özkan

2019

JIABR

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Purpose This study aims to investigate the Hijri calendar effect in Borsa Istanbul (BIST) precious metal market and foreign exchange market (Dollar and Euro market) of Turkey. Design/methodology/approach The data of BIST gold market index and foreign exchange market are used for the period of 4 March 2003-30 September 2016 (1 Muharram 1424 – 28 Dhu al-Hijja 1437) in the study. These data are analyzed by using the dummy variable regression model and Kruskal–Wallis (KW) test. Findings The results of the regression models and KW test indicate that there is a Ramadan effect in the gold market and after-Ramadan effect in the Euro market. On the other hand, the Hijri month effect does not exist in the Dollar market. Originality/value This is the first paper that investigates the Hijri calendar effect in gold and foreign exchange markets of Turkey other than the stock market.

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Ocak Ayı Anomalisi: Borsa İstanbul Endeksleri Üzerine Bir Uygulama

Cited by 13 publications

References 4 publications

The Investigation of Sell in May and Go Away and January Effects in Borsa Istanbul: Evidence From Bist 100

The Investigation of Sell in May and Go Away and January Effects in Borsa Istanbul: Evidence From Bist 100

January Effect Revisited: Evidence from Borsa Istanbul and Bucharest Stock Exchange

Hijri calendar effect in Borsa Istanbul gold market and Turkey’s foreign exchange market

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