Borsa İstanbul’da Mevsimsel Duygulanım Bozukluğu

Year 2024, , 71 - 88, 29.02.2024

Zeliha Can Ergün

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

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

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.

References

• Bhattarai, R. C., & Joshi, N. K. (2007). Stock Returns and Economically Neutral Behavioural Variables: Evidence from the Nepalese Stock Market. SSRN. http://ssrn.com/abstract
• Brooks, C. (2014). Introductory Econometrics for Finance. Cambridge University Press.
• Cao, M., & Wei, J. (2005). Stock market returns: A note on temperature anomaly. Journal of Banking & Finance, 29(6), 1559-1573. https://doi.org/10.1016/j.jbankfin.2004.06.028
• Carrazedo, T., Curto, J. D., & Oliveira, L. (2016). The Halloween effect in European sectors. Research in International Business and Finance, 37(2016), 489-500. https://doi.org/10.1016/j.ribaf.2016.01.003
• Durham, J. B. (2001). Sensitivity analyses of anomalies in developed stock markets. Journal of Banking & Finance, 25(8), 1503-1541. https://doi.org/10.1016/S0378-4266(00)00143-6
• Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417. https://doi.org/10.2307/2325486
• French, K. R. (1980). Stock returns and the weekend effect. Journal of Financial Economics, 8(1), 55-69. https://doi.org/10.1016/0304-405X(80)90021-5
• Frühwirth, M., & Sögner, L. (2015). Weather and SAD related mood effects on the financial market. The Quarterly Review of Economics and Finance, 57(2015), 11-31. https://doi.org/10.1016/j.qref.2015.02.003
• Garrett, I., Kamstra, M. J.,& Kramer, L. A. (2005). Winter blues and time variation in the price of risk. Journal of Empirical Finance, 12(2), 291-316. https://doi.org/10.1016/j.jempfin.2004.01.002
• Gerlach, J. R. (2010). Daylight and investor sentiment: A second look at two stock market behavioral anomalies. Journal of Financial Research, 33(4), 429-462. https://doi.org/10.1111/j.1475-6803.2010.01275.x
• Hammami, F., & Abaoub, E. (2011). Winter blues, investor mood and stock market returns: evidence from the Tunisian Stock Exchange. IUP Journal of Applied Finance, 17(2), 46.
• Jacobsen, B., & Marquering, W. (2008). Is it the weather?. Journal of Banking & Finance, 32(4), 526-540. https://doi.org/10.1016/j.jbankfin.2007.08.004
• Jacobsen, B., & Visaltanachoti, N. (2009). The Halloween effect in US sectors. Financial Review, 44(3), 437-459. https://doi.org/10.1111/j.1540-6288.2009.00224.x
• Kamstra, M. J., Kramer, L. A., & Levi, M. D. (2003), Winter blues: A SAD stock market cycle. American Economic Review, 93(1), 324-343.
• Kapalczynski, A. (2022). Seasonal effects on stock markets. The Business and Management Review, 3(3), 96-115.
• Khan, M. A., Hernandez, J. A., & Shahzad, S. J. H. (2020). Time and frequency relationship between household investors’ sentiment index and US industry stock returns. Finance Research Letters, 36(2020), 1-9. https://doi.org/10.1016/j.frl.2019.101318
• Lu, J., & Chou, R. K. (2012). Does the weather have impacts on returns and trading activities in order-driven stock markets? Evidence from China. Journal of Empirical Finance, 19(1), 79-93. https://doi.org/10.1016/j.jempfin.2011.10.001
• Magnusson, G. (2019). It is not SAD if you sell in May: Seasonal effects in stock markets revisited. International Economic Journal, 33(4), 585-604. https://doi.org/10.1080/10168737.2019.1641539
• Mbululu, D., & Chipeta, C. (2012). Day-of-the-week effect: Evidence from the nine economic sectors of the JSE. Investment Analysts Journal, 41(75), 55-65. https://doi.org/10.1080/10293523.2012.11082544
• Murgea, A. (2016). Seasonal affective disorder and the Romanian stock market. Economic Research-Ekonomska Istraživanja, 29(1), 177-192. https://doi.org/10.1080/1331677X.2016.1164924
• Musnadi, S., & Majid, M. S. A. (2018). Overreaction and underreaction anomalies in the Indonesian stock market: A sectoral analysis. International Journal of Ethics and Systems, 34(4), 442-457. https:// doi.org/10.1108/IJOES-12-2017-0235
• Niu, H., Lu, Y., & Wang, W. (2021). Does investor sentiment differently affect stocks in different sectors? Evidence from China. International Journal of Emerging Markets, Vol. ahead-of-print No. ahead-of-print. https:// doi.org/10.1108/IJOEM-11-2020-1298
• Raut, R. K., & Kumar, R. (2020). Psychology of Indian stock market: An evidence of seasonal affected disorder. Asia-Pacific Journal of Management Research and Innovation, 16(2), 146-156. https://doi.org/10.1177/2319510X20915146
• Ruan, Q., Zhang, M., Lv, D., & Yang, H. (2018). SAD and stock returns revisited: Nonlinear analysis based on MF-DCCA and Granger test. Physica A: Statistical Mechanics and its Applications, 509(2018), 1009-1022. https://doi.org/10.1016/j.physa.2018.06.075
• Skrinjarić, T. (2018). Testing for seasonal affective disorder on selected CEE and SEE stock markets. Risks, 6(4), 140. https://doi.org/10.3390/risks6040140
• Skrinjarić, T., Marasović, B., & Šego, B. (2021). Does the Croatian stock market have seasonal affective disorder?. Journal of Risk and Financial Management, 14(2), 89. https://doi.org/10.3390/jrfm14020089
• Stefanescu, R., and Dumitriu, R. (2011, October). The SAD Cycle for the Bucharest stock exchange. International Conference Risk in Contemporary Economy, Galati, Romania. https://dx.doi.org/10.2139/ssrn.2002303
• Thach, N.N., Van Le, N., & Van Diep, N. (2019). The Seasonal Affective Disorder Cycle on the Vietnam’s Stock Market. In Kreinovich, V., Thach, N., Trung, N., & Van Thanh, D. (Eds.), Beyond Traditional Probabilistic Methods in Economics. ECONVN 2019. Studies in Computational Intelligence, vol 809. (pp. 873-885). Springer. https://doi.org/10.1007/978-3-030-04200-4_63
• Uygur, U., & Taş, O. (2014). The impacts of investor sentiment on different economic sectors: Evidence from Istanbul Stock Exchange. Borsa Istanbul Review, 14(4), 236-241. https://doi.org/10.1016/j.bir.2014.08.001
• Wachtel, S. B. (1942). Certain observations on seasonal movements in stock prices. The Journal of Business of the University of Chicago, 15(2), 184-193.
• Wuthisatian, R. (2022). An examination of calendar anomalies: Evidence from the Thai Stock Market. Journal of Economic Studies, 49(3), 422-434.