Seasonal Affective Disorder (SAD) on Borsa Istanbul

Zeliha Can Ergün

doi:10.25229/beta.1325453

EN TR

Seasonal Affective Disorder (SAD) on Borsa Istanbul

Abstract

Seasonal Affective Disorder (SAD) is a severe depression that stems from the decreased daylight hours in the autumn and winter. The SAD makes investors more risk-averse, which in turn affects the financial markets. This study aims to examine the effect of SAD on Borsa Istanbul (BIST) for the period January 2015 - May 2023. The BIST-100 index is used to represent the overall stock market, and the BIST-Industrials, Financials, Technology, and Food Beverage indices are used to evaluate any sectoral disparities. Furthermore, autumn, tax-loss selling, Mondays, and COVID-19 outbreak effects are included in the model. The results show that there is a statistically significant and positive SAD effect on BIST-100 index returns. The SAD also has an impact on every sectoral index, except for BIST-Food Beverage. Moreover, there is no asymmetrical effect of the autumn in any indices. Among the control variables, the Monday effect is determined to be statistically significant and positive for BIST-100, BIST-Industrials, and BIST-Technology indices. Finally, only for the BIST-Industrials index the COVID-19 dummy is statistically significant and positive. Additionally, the GARCH model has also been used as a robustness test, and consistent findings with the previous analysis are found.

Keywords

Seasonal Affective Disorder, Seasonal Anomalies, Behavioral Finance, Borsa Istanbul.

Borsa İstanbul’da Mevsimsel Duygulanım Bozukluğu

Abstract

Mevsimsel Duygulanım Bozukluğu (SAD), sonbahar ve kış aylarında gün ışığının azalmasından kaynaklanan şiddetli bir depresyondur. SAD, yatırımcıları daha riskten kaçınır hale getirmekte ve bu da finansal piyasaları etkilemektedir. Bu çalışma, SAD'nin Borsa İstanbul (BIST) üzerindeki etkisini Ocak 2015 - Mayıs 2023 dönemi için incelemeyi amaçlamaktadır. BIST-100 endeksi genel hisse senedi piyasasını temsil etmek için, BIST-Sınai, Mali, Teknoloji ve Gıda İçecek endeksleri ise sektörel farklılıkları değerlendirmek için kullanılmıştır. Ayrıca sonbahar, vergi kaybı satışı, pazartesi günleri ve COVID-19 salgını etkileri de modele dahil edilmiştir. Sonuçlar, BIST-100 endeks getirileri üzerinde istatistiksel olarak anlamlı ve pozitif bir SAD etkisi olduğunu göstermektedir. SAD, BIST-Gıda İçecek hariç tüm sektörel endeksler üzerinde de etkili olmaktadır. Ayrıca, hiçbir endekste sonbaharın asimetrik etkisi görülmemektedir. Kontrol değişkenlerinden Pazartesi etkisinin BIST-100, BIST-Sınai ve BIST-Teknoloji endeksleri için istatistiksel olarak anlamlı ve pozitif olduğu tespit edilmiştir. Son olarak, sadece BIST-Sınai endeksi için COVID-19 kuklası istatistiksel olarak anlamlı ve pozitiftir. Ayrıca, sağlamlık testi olarak GARCH modeli de kullanılmış ve önceki analizlerle tutarlı bulgular elde edilmiştir.

Keywords

Mevsimsel Duygulanım Bozukluğu, Mevsimsel Anomaliler, Davranışsal Finans, Borsa İstanbul

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Details

Primary Language

English

Subjects

Behavioural Economy

Journal Section

Research Article

Authors

Zeliha Can Ergün ^*
0000-0003-3357-9859
Türkiye

Early Pub Date

February 29, 2024

Publication Date

February 29, 2024

Submission Date

July 10, 2023

Acceptance Date

October 10, 2023

Published in Issue

Year 2024 Volume: 9 Number: 1

DOI

https://doi.org/10.25229/beta.1325453

IZ

https://izlik.org/JA73UM65RM

APA

Can Ergün, Z. (2024). Seasonal Affective Disorder (SAD) on Borsa Istanbul. Bulletin of Economic Theory and Analysis, 9(1), 71-88. https://doi.org/10.25229/beta.1325453

AMA

1.Can Ergün Z. Seasonal Affective Disorder (SAD) on Borsa Istanbul. Beta. 2024;9(1):71-88. doi:10.25229/beta.1325453

Chicago

Can Ergün, Zeliha. 2024. “Seasonal Affective Disorder (SAD) on Borsa Istanbul”. Bulletin of Economic Theory and Analysis 9 (1): 71-88. https://doi.org/10.25229/beta.1325453.

EndNote

Can Ergün Z (February 1, 2024) Seasonal Affective Disorder (SAD) on Borsa Istanbul. Bulletin of Economic Theory and Analysis 9 1 71–88.

IEEE

[1]Z. Can Ergün, “Seasonal Affective Disorder (SAD) on Borsa Istanbul”, Beta, vol. 9, no. 1, pp. 71–88, Feb. 2024, doi: 10.25229/beta.1325453.

ISNAD

Can Ergün, Zeliha. “Seasonal Affective Disorder (SAD) on Borsa Istanbul”. Bulletin of Economic Theory and Analysis 9/1 (February 1, 2024): 71-88. https://doi.org/10.25229/beta.1325453.

JAMA

1.Can Ergün Z. Seasonal Affective Disorder (SAD) on Borsa Istanbul. Beta. 2024;9:71–88.

MLA

Can Ergün, Zeliha. “Seasonal Affective Disorder (SAD) on Borsa Istanbul”. Bulletin of Economic Theory and Analysis, vol. 9, no. 1, Feb. 2024, pp. 71-88, doi:10.25229/beta.1325453.

Vancouver

1.Zeliha Can Ergün. Seasonal Affective Disorder (SAD) on Borsa Istanbul. Beta. 2024 Feb. 1;9(1):71-88. doi:10.25229/beta.1325453

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Seasonal Affective Disorder (SAD) on Borsa Istanbul

Abstract

Keywords

Borsa İstanbul’da Mevsimsel Duygulanım Bozukluğu

Abstract

Keywords

References

Details

Primary Language

Subjects

Journal Section

Authors

Early Pub Date

Publication Date

Submission Date

Acceptance Date

Published in Issue

DOI

IZ

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