Borsa İstanbul’da Takvim Anomalilerinin Varlığının Zaman İçindeki Gelişiminin Analizi

Abstract

Etkin Piyasa Hipotezi, finans literatüründe bir süredir geçerliliği tartışılan bir görüş haline gelmiştir. Bu tartışmaların sebeplerinden birinin takvim anomalileri konusunda yapılan çalışmalarda elde edilen bulgular olduğu söylenebilir. İlk çalışmalarda sıkça görülen bu anomaliler, zamanla tespit edilememeye başlanmıştır. Takvim anomalilerinin daha seyrek görülmeye başlaması, akıllara “Piyasalar etkin hale mi geliyor?” sorusunu getirse de bunun cevabı henüz kesin bir şekilde verilebilmiş değildir. Bu çalışmada Haftanın Günü, Hafta Sonu, Ocak Ayı, Yılın Ayı, Ay İçi, Ay Dönüşü ve Tatil Anomalisinin zaman içindeki gelişimi altı farklı Borsa İstanbul endeksi üzerinde araştırılmıştır. 03.01.1999–01.01.2019 dönemi beş alt döneme ayrılarak incelenmiş, Borsa İstanbul’da ilk alt dönem olan 1999–2003 döneminde takvim anomalilerinin yoğun olarak görüldüğü, ancak ilerleyen yıllarda varlıklarının önemli ölçüde azaldığına dair bulgular elde edilmiştir.

Keywords

• Davranışsal Finans
• Etkin Piyasa Hipotezi
• Anomali
• Takvim Anomalileri
• Anomali testi

Analysing the Evolvement of the Presence of Calendar Anomalies in Borsa Istanbul Over Time

Abstract

The Efficient Market Hypothesis has become controversial in the finance literature for some time. It can be said that one of the reasons for these discussions is the findings reached from the research on calendar anomalies. These anomalies, which were frequently seen in the first studies, began to be undetected over time. The fact that calendar anomalies are seen less often brings to mind the question: “Are the markets becoming efficient?” However, the answer to this question has not been given definitively yet. In this study, the presence of Day of the Week, Weekend, January, Month of the Year, Intra-Month, Turn-of the Month and Holiday anomalies over time were investigated on six different Borsa Istanbul indices. The period of 03.01.1999–01.01.2019 was analysed by dividing it into six sub-periods. The evidence about the presence of calendar anomalies in Borsa Istanbul is reached for the first sub-period, 1999–2003, however their presence is significantly decreased in the following years.

Keywords

• Behavioral Finance
• Efficient Market Hypothesis
• Anomaly
• Calendar Anomalies
• Anomaly test

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