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HİCRİ TAKVİM ETKİSİNİN BIST SEKTÖR ENDEKSLERİNDE TEST EDİLMESİ

Year 2017, Volume: 17 Issue: 1, 133 - 147, 30.03.2017

Kemal Eyüboğlu Sinem Eyüboğlu

Abstract

Finans alanında Hicri takvim etkileri ile ilgili çalışmaların büyük bir kısmını Ramazan ayı etkisini araştıran çalışmalar oluşturmaktadır. Ancak literatürde Hicri takvim etkisini sektör endeksleri açısından inceleyen çok az sayıda çalışma bulunmaktadır. Bu amaçla çalışmada 7.12.2010-14.10.2015 (Hicri 1432-1436) dönemi için Hicri takvim etkisinin 24 Borsa İstanbul Endeksi’nde geçerli olup olmadığı günlük veriler kullanılarak araştırılmıştır. Çalışma sonucunda 22 endekste oluşan aylık getirilerin istatistiksel açıdan bir farklılık göstermediği belirlenmiştir. Çalışmada diğer aylara kıyasla sadece Spor endeksinde Cemaziyelahir ayında elde edilen getirilerin, Sigorta endeksinde ise hem Cemaziyelahir ve hem de Ramazan aylarında oluşan getirilerin istatistiksel açıdan anlamlı ve negatif olduğu tespit edilmiştir.

Keywords

Ramazan Ayı Etkisi Borsa İstanbul Sektör Endeksleri

References

  • Akrami, Hamed, Mansour Garkaz ve Alireza Mehrazin (2012). “The Effect of Ramadhan Month on Stocks Abnormal Return of the Companies Accepted in Tehran Stock Exchange”, Economics And Financial Review 2 (5), 45-51.
  • Al-Hajieh, Heitham, Redhead, Keith ve Rodgers, Timothy (2011). “Investor Sentiment and Calendar Anomaly Effects: A Case Study of the Impact of Ramadan on Islamic Middle Eastern Markets”, Research in International Business and Finance 25, 345-356.
  • Al-Ississ, Mohamad (2010). “The Impact of Religious Experience on Financial Markets”, Working Paper. Harvard Kennedy School of Government.
  • Almudhaf, Fahad (2012). “The Islamic Calendar Effects: Evidence from Twelve Stock Markets”, International Research Journal of Finance and Economics 87, 185-191.
  • Alrashidi, Faleh, Manzoor Ahmed ve Fahad Beneid (2014). “The Calendar Impact and Trading Behavior: An Empirical Evidence from around The Globe”, International Business & Economics Research Journal, 13 (5), 1025-1031.
  • Barsky, Robert, B., Juster, F.Thomas, Kimball, Miles, S. Matthew D. Shapiro (1997). “Preference Parameters and Behavioral Heterogeneity”, Quarterly Journal of Economics 112 (2), 507–536.
  • Białkowski Jedrzej, Ahmad Etebari ve Tomasz Piotr Wisniewski (2012). “Fast Profits: Investor Sentiment and Stock Returns during Ramadan”, Journal of Banking & Finance 36, 835-845.
  • Chang, Shao-Chi, Chen Sheng-Syan, Robin K. Chou ve Yueh-Hsiang Lin (2012). “Local Sports Sentiment and Returns of Locally Headquartered Stocks: A Firm-Level Analysis”, Journal of Empirical Finance 19, 309-318.
  • Diyanet İşleri Başkanlığı, http://www2.diyanet.gov.tr/dinhizmetlerigenelmudurlugu/-sayfalar/-14301436.aspx, 30.05.2016.
  • Garkaz Mansour, Neda Hazini ve Javad Azimi (2014). “Effect of Ramadan Month on the Stock Price, Trade Volume and Index of Tehran Stock Exchange in the Minerals and Mining Industry”, International Journal of Scientific Management and Development 2 (10), 550-554.
  • Gavriilidis, Konstantinos, Vasileios Kallinterakis ve Ioannis Tsalavoutas (2015). “Investor Mood, Herding and the Ramadan Effect”, Journal of Economic Behavior & Organization, 1-16.
  • Gouider, Jihen Jbenieni, Amira Kaddour ve Azza Hmaid (2015). “Stock Market Anomalies: Case of Calendar Effects on the Tunisian Stock Market”, Global Journal of Management and Business Research: B Economics and Commerce, 15 (2), 1-12.
  • Guiso, Luigi, Sapienza, Paola, Zingales, Luigi (2003). “People’s Opium? Religion and Economic Attitudes”, Journal of Monetary Economics 50 (1), 225-282.
  • Hasbullah, Faruq ve Masih, Mansur (2016). “Fast Profits in a Fasting Month? A Markov Regime Switching Approach in Search of Ramadan Effect on Stock Markets”, MPRA Paper No. 72149.
  • Hilary, Gilles ve Hui, Kai Wai (2009). “Does Religion Matter in Corporate Decision Making in America?”, Journal of Financial Economics 93 (3), 455-473.
  • Husain, Fazal (1998). “A Seasonality in the Pakistani Equity Market: The Ramadhan Effect”, Pakistan Development Review 37 (1), 77-81.
  • Iqbal, Muhammad Shahid, Kouser Rehana, Azeem, Muhammad (2013). “Conventional and Islamic Anomalies in Karachi Stock Exchange”, Science International(Lahore) 25 (4), 999-1007.
  • Kaya, Emine ve Abdulsemet, Kılıç (2014). “Ramazan Ayı Hisse Senedi Piyasasını Etkiler Mi? Türkiye İçin Ekonometrik Bir Analiz”, 18. Finans Sempozyumu Denizli, 15 - 18 Ekim.
  • Kumar, Alok (2009). “Who Gambles in the Stock Market?”, Journal of Finance (4), 1889-1933.
  • Kumar, Alok, Page, Jeremy K., Spalt, Oliver G. (2011). “Religious Beliefs, Gambling Attitudes and Financial Market Outcomes”, Journal of Financial Economics 102, 671-708.
  • Küçüksille, Engin ve Özmutaf, Nezih Metin (2015). “Is There Ramadan Effect in Turkish Stock Market?”, Uluslararası Alanya İşletme Fakültesi Dergisi 7 (3), 137-142.
  • Al-Khazali, Osamah (2014). “Revisiting Fast Profit Investor Sentiment and Stock Returns during Ramadan”, International Review of Financial Analysis 33, 158-170.
  • Majeed, Usman, Abdul Raheman, M. Khalid Sohail, Bhatti, Ghulam Ali Bhatti ve Bushra Zulfiqar; (2015). “Islamic Calender Events and Stock Market Reaction: Evidence from Pakistan”, Science International (Lahore) 27 (3), 2559-2567.
  • Miller, Alan S. ve John P. Hoffmann; (1995). “Risk and Religion: An Explanation of Gender Differences in Religiosity”, Journal for the Scientific Study of Religion 34 (1), 63-75.
  • Mustafa, Khalid (2011). “The Islamic Calendar Effect on Karachi Stock Market”, Pakistani Business Review, 562-574.
  • Renneboog, Luc ve Christophe Spaenjers, (2012). “Religion, Economic Attitudes and Household Finance”, Oxford Economic Papers 64, 103-127.
  • Seyyed, Fazal, J., Abraham, Abraham ve Mohsen, Al-Hajji (2005). “Seasonality in Stock Returns and Volatility: The Ramadan Effect”, Research in International Business and Finance 19, 374-383.
  • Shah, S. M. Atiq Ur Rehman ve Syed Nisar Ahmed (2014). “The Ramadan Effect on Stock Market”, European Academic Research 1 (11), 4712- 4720.
  • Wong, P. L., Neoh, S.K., Lee, K. H. ve Thong, T. S.; (1990), “Seasonality in the Malaysian Stock Market”, Asia Pacific Journal of Management 7 (Special Issue), 43-62.

Year 2017, Volume: 17 Issue: 1, 133 - 147, 30.03.2017

Kemal Eyüboğlu Sinem Eyüboğlu

Abstract

References

  • Akrami, Hamed, Mansour Garkaz ve Alireza Mehrazin (2012). “The Effect of Ramadhan Month on Stocks Abnormal Return of the Companies Accepted in Tehran Stock Exchange”, Economics And Financial Review 2 (5), 45-51.
  • Al-Hajieh, Heitham, Redhead, Keith ve Rodgers, Timothy (2011). “Investor Sentiment and Calendar Anomaly Effects: A Case Study of the Impact of Ramadan on Islamic Middle Eastern Markets”, Research in International Business and Finance 25, 345-356.
  • Al-Ississ, Mohamad (2010). “The Impact of Religious Experience on Financial Markets”, Working Paper. Harvard Kennedy School of Government.
  • Almudhaf, Fahad (2012). “The Islamic Calendar Effects: Evidence from Twelve Stock Markets”, International Research Journal of Finance and Economics 87, 185-191.
  • Alrashidi, Faleh, Manzoor Ahmed ve Fahad Beneid (2014). “The Calendar Impact and Trading Behavior: An Empirical Evidence from around The Globe”, International Business & Economics Research Journal, 13 (5), 1025-1031.
  • Barsky, Robert, B., Juster, F.Thomas, Kimball, Miles, S. Matthew D. Shapiro (1997). “Preference Parameters and Behavioral Heterogeneity”, Quarterly Journal of Economics 112 (2), 507–536.
  • Białkowski Jedrzej, Ahmad Etebari ve Tomasz Piotr Wisniewski (2012). “Fast Profits: Investor Sentiment and Stock Returns during Ramadan”, Journal of Banking & Finance 36, 835-845.
  • Chang, Shao-Chi, Chen Sheng-Syan, Robin K. Chou ve Yueh-Hsiang Lin (2012). “Local Sports Sentiment and Returns of Locally Headquartered Stocks: A Firm-Level Analysis”, Journal of Empirical Finance 19, 309-318.
  • Diyanet İşleri Başkanlığı, http://www2.diyanet.gov.tr/dinhizmetlerigenelmudurlugu/-sayfalar/-14301436.aspx, 30.05.2016.
  • Garkaz Mansour, Neda Hazini ve Javad Azimi (2014). “Effect of Ramadan Month on the Stock Price, Trade Volume and Index of Tehran Stock Exchange in the Minerals and Mining Industry”, International Journal of Scientific Management and Development 2 (10), 550-554.
  • Gavriilidis, Konstantinos, Vasileios Kallinterakis ve Ioannis Tsalavoutas (2015). “Investor Mood, Herding and the Ramadan Effect”, Journal of Economic Behavior & Organization, 1-16.
  • Gouider, Jihen Jbenieni, Amira Kaddour ve Azza Hmaid (2015). “Stock Market Anomalies: Case of Calendar Effects on the Tunisian Stock Market”, Global Journal of Management and Business Research: B Economics and Commerce, 15 (2), 1-12.
  • Guiso, Luigi, Sapienza, Paola, Zingales, Luigi (2003). “People’s Opium? Religion and Economic Attitudes”, Journal of Monetary Economics 50 (1), 225-282.
  • Hasbullah, Faruq ve Masih, Mansur (2016). “Fast Profits in a Fasting Month? A Markov Regime Switching Approach in Search of Ramadan Effect on Stock Markets”, MPRA Paper No. 72149.
  • Hilary, Gilles ve Hui, Kai Wai (2009). “Does Religion Matter in Corporate Decision Making in America?”, Journal of Financial Economics 93 (3), 455-473.
  • Husain, Fazal (1998). “A Seasonality in the Pakistani Equity Market: The Ramadhan Effect”, Pakistan Development Review 37 (1), 77-81.
  • Iqbal, Muhammad Shahid, Kouser Rehana, Azeem, Muhammad (2013). “Conventional and Islamic Anomalies in Karachi Stock Exchange”, Science International(Lahore) 25 (4), 999-1007.
  • Kaya, Emine ve Abdulsemet, Kılıç (2014). “Ramazan Ayı Hisse Senedi Piyasasını Etkiler Mi? Türkiye İçin Ekonometrik Bir Analiz”, 18. Finans Sempozyumu Denizli, 15 - 18 Ekim.
  • Kumar, Alok (2009). “Who Gambles in the Stock Market?”, Journal of Finance (4), 1889-1933.
  • Kumar, Alok, Page, Jeremy K., Spalt, Oliver G. (2011). “Religious Beliefs, Gambling Attitudes and Financial Market Outcomes”, Journal of Financial Economics 102, 671-708.
  • Küçüksille, Engin ve Özmutaf, Nezih Metin (2015). “Is There Ramadan Effect in Turkish Stock Market?”, Uluslararası Alanya İşletme Fakültesi Dergisi 7 (3), 137-142.
  • Al-Khazali, Osamah (2014). “Revisiting Fast Profit Investor Sentiment and Stock Returns during Ramadan”, International Review of Financial Analysis 33, 158-170.
  • Majeed, Usman, Abdul Raheman, M. Khalid Sohail, Bhatti, Ghulam Ali Bhatti ve Bushra Zulfiqar; (2015). “Islamic Calender Events and Stock Market Reaction: Evidence from Pakistan”, Science International (Lahore) 27 (3), 2559-2567.
  • Miller, Alan S. ve John P. Hoffmann; (1995). “Risk and Religion: An Explanation of Gender Differences in Religiosity”, Journal for the Scientific Study of Religion 34 (1), 63-75.
  • Mustafa, Khalid (2011). “The Islamic Calendar Effect on Karachi Stock Market”, Pakistani Business Review, 562-574.
  • Renneboog, Luc ve Christophe Spaenjers, (2012). “Religion, Economic Attitudes and Household Finance”, Oxford Economic Papers 64, 103-127.
  • Seyyed, Fazal, J., Abraham, Abraham ve Mohsen, Al-Hajji (2005). “Seasonality in Stock Returns and Volatility: The Ramadan Effect”, Research in International Business and Finance 19, 374-383.
  • Shah, S. M. Atiq Ur Rehman ve Syed Nisar Ahmed (2014). “The Ramadan Effect on Stock Market”, European Academic Research 1 (11), 4712- 4720.
  • Wong, P. L., Neoh, S.K., Lee, K. H. ve Thong, T. S.; (1990), “Seasonality in the Malaysian Stock Market”, Asia Pacific Journal of Management 7 (Special Issue), 43-62.
There are 29 citations in total.

Details

Primary Language Turkish
Journal Section Reasearch Articles
Authors

Kemal Eyüboğlu

Sinem Eyüboğlu This is me

Publication Date March 30, 2017
Submission Date December 22, 2016
Published in Issue Year 2017 Volume: 17 Issue: 1

Cite

APA Eyüboğlu, K., & Eyüboğlu, S. (2017). HİCRİ TAKVİM ETKİSİNİN BIST SEKTÖR ENDEKSLERİNDE TEST EDİLMESİ. Bolu Abant İzzet Baysal Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 17(1), 133-147.
AMA Eyüboğlu K, Eyüboğlu S. HİCRİ TAKVİM ETKİSİNİN BIST SEKTÖR ENDEKSLERİNDE TEST EDİLMESİ. ASBİ. March 2017;17(1):133-147.
Chicago Eyüboğlu, Kemal, and Sinem Eyüboğlu. “HİCRİ TAKVİM ETKİSİNİN BIST SEKTÖR ENDEKSLERİNDE TEST EDİLMESİ”. Bolu Abant İzzet Baysal Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 17, no. 1 (March 2017): 133-47.
EndNote Eyüboğlu K, Eyüboğlu S (March 1, 2017) HİCRİ TAKVİM ETKİSİNİN BIST SEKTÖR ENDEKSLERİNDE TEST EDİLMESİ. Bolu Abant İzzet Baysal Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 17 1 133–147.
IEEE K. Eyüboğlu and S. Eyüboğlu, “HİCRİ TAKVİM ETKİSİNİN BIST SEKTÖR ENDEKSLERİNDE TEST EDİLMESİ”, ASBİ, vol. 17, no. 1, pp. 133–147, 2017.
ISNAD Eyüboğlu, Kemal - Eyüboğlu, Sinem. “HİCRİ TAKVİM ETKİSİNİN BIST SEKTÖR ENDEKSLERİNDE TEST EDİLMESİ”. Bolu Abant İzzet Baysal Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 17/1 (March 2017), 133-147.
JAMA Eyüboğlu K, Eyüboğlu S. HİCRİ TAKVİM ETKİSİNİN BIST SEKTÖR ENDEKSLERİNDE TEST EDİLMESİ. ASBİ. 2017;17:133–147.
MLA Eyüboğlu, Kemal and Sinem Eyüboğlu. “HİCRİ TAKVİM ETKİSİNİN BIST SEKTÖR ENDEKSLERİNDE TEST EDİLMESİ”. Bolu Abant İzzet Baysal Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, vol. 17, no. 1, 2017, pp. 133-47.
Vancouver Eyüboğlu K, Eyüboğlu S. HİCRİ TAKVİM ETKİSİNİN BIST SEKTÖR ENDEKSLERİNDE TEST EDİLMESİ. ASBİ. 2017;17(1):133-47.

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E-posta: sbedergi@ibu.edu.tr