Türkiye İslami Piyasalarında Ramazan Ayı Etkisi

Year 2018, , 707 - 712, 13.04.2018

Erkan Alsu Ahmet Taşdemir , Hatice Kübra Özyurt

https://doi.org/10.18506/anemon.347913

Abstract

Bu
çalışma kapsamında Ramazan ayının Türkiye İslami piyasalar üzerindeki etkisi
incelenecektir. Türkiye İslami piyasalarını temsilen BİST tarafından hesaplanan
Katılım 30 (KAT30) endeksi, ele alınmış ve bu endekse ait 17 Şubat 2011 ile 30
Aralık 2016 tarihleri arasındaki döneme ilişkin günlük getiriler
kullanılmıştır. Çalışma da Ramazan Ayı on günlük dilimlere ayrılarak üç kukla
değişken oluşturulmuş ve oluşturulan bu kukla değişkenlerin modeldeki etkisi
incelenmiştir. Çalışmada 3 EGARCH modeli kurulmuştur; birinci modelde kukla
değişkenler ortalama denklemine, ikinci modelde varyans denklemine, üçüncü
modelde ise ortalama ve varyans denklemine eklenmiştir. Çalışma neticesinde,
elde edilen bulguların Türkiye İslami piyasalarında Ramazan ayı etkisinin
varlığını işaret ettiği görülmüştür.

Keywords

Etkin Piyasa Hipotezi, Dini Günler Anomalisi, Ramazan Ayı Etkisi, İslami Finans, Katılım 30

The Effect of the Month of Ramadan in Turkish Islamic Markets

Abstract

Within the scope of this study, the effect of
the month of Ramadan on the Turkish Islamic markets will be scrutinized.
Participation 30 (KAT30) index, which is calculated by BIST representing the
Islamic markets of Turkey, was taken into account and the daily returns for
this index between the dates of 17 February 2011 and 30 December 2016 were
used. In this study, three dummy variables were generated by dividing the month
of Ramadan into ten days and the effect of these dummy variables on modeling
was investigated. In the study, 3 EGARCH model was set up; dummy variables in
the first model are added to the mean equation, to the variance equation in the
second model, and both the mean and variance equation in the third model. As a
result of the study, it was observed that the findings obtained indicated the
presence of Ramadan effect in Turkish Islamic markets.   

Keywords

Effective Market Hypothesis, Religious Days Anomaly, Effect of the month of Ramadan, Islamic Finance, Participation 30

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