Testing the Day of the Week and Turn-of-the-Month Anomalies in Benelux Countries Stock Markets

Year 2019, Autumn, 317 - 328, 09.12.2019

İhsan Erdem Kayral

https://doi.org/10.21733/ibad.623884

Cited By: 3

Abstract

The
purpose of this study is to test the presence of the day of the week and
turn-of-the-month (tom) anomalies in Benelux Countries stock markets in ten
years (03.01.2010 – 03.01.2019) period. Three stock markets’ daily closing
prices in Belgium (BEL20), Netherlands (AEX) and Luxembourg (LUXX) are used to
obtain return series. It is found that the return series of stock markets show
heteroskedasticity problem similar to other financial series. For this reason,
GARCH (1,1) models with five days of the week and tom dummies are applied in
BEL20, AEX and LUXX Stock Indices for the analysis period. According to our
results, it is found that only AEX has the day of the week effect because of
the tuesday’s abnormal returns. However, tom effect is not found any stock
markets.  

Keywords

the day of the week effect, turn of the month (tom) effect, calendar anomalies, Benelux countries, GARCH model, BEL20, AEX, LUXX

Benelüks Ülke Borsalarında Haftanın Günü ve Ay Dönümü Anomalilerinin Test Edilmesi

Abstract

Bu çalışmanın amacı, Benelüks ülke borsalarında 10 yıllık
(01.03.2010-01.03.2019) dönemde haftanın günü ve ay dönümü anomalilerinin test
edilmesidir. Getiri serilerini elde etmek için Belçika (BEL20), Hollanda (AEX)
ve Lüksemburg’daki (LUXX) üç borsa endeksinin kapanış fiyatları kullanılmıştır.
Borsaların getiri serilerinin diğer finansal serilere benzer şekilde
heterokedastisite sorununun bulunduğu tespit edilmiştir. Bu nedenle, analiz
dönemi için BEL20, AEX ve LUXX Borsa Endekslerinde haftanın beş günü ve ay
dönümü kukla değişkenlerinin bulunduğu GARCH (1,1) modelleri uygulanmıştır.
Çalışmamızdaki sonuçlara göre, salı gününe ait olağan üstü getiri nedeniyle
yalnızca AEX Borsasında haftanın günü etkisi bulunmuştur. Bununla birlikte, herhangi
bir borsada ay dönümü etkisine rastlanmamıştır.

Keywords

Haftanın günü etkisi, ay dönümü etkisi, takvim anomalileri, Benelüks ülkeleri, GARCH modeli, BEL20, AEX, LUXX

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