Borsa İstanbul’da Takvim Anomalilerinin Varlığının Zaman İçindeki Gelişiminin Analizi

Year 2023, Volume: 10 Issue: 1, 33 - 72, 31.03.2023

Durmuş Fatih Aygün Erdinç Altay

https://doi.org/10.17336/igusbd.948710

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

References

• ABDİOĞLU, Z. & DEĞİRMENCİ, N. (2013). İstanbul menkul kıymetler borsasında mevsimsel anomaliler. Business and Economic Research Journal, 4(3), 55-73.
• AHSAN, A.M. & SARKAR, A.H. (2013). Does January effect exist in Bangladesh? International Journal of Business and Management, 8(7), 82-89.
• ARIEL, R. A. (1987). A monthly effect in stock returns. Journal of Financial Economics, 18(1), 161-174.
• ASTERIOU, D. & KAVETSOS, G. (2006). Testing for the existence of the ‘January effect’ in transition economies. Applied Financial Economics Letters, 2(6), 375-381.
• ATAKAN, T. (2008). İstanbul Menkul Kıymetler Borsası’nda haftanın günü etkisi ve Ocak ayı anomalilerinin ARCH-GARCH modelleri ile test edilmesi. İstanbul Üniversitesi İşletme Fakültesi Dergisi, 37(2), 98-110.
• AYTEKIN, S. & SAKARYA, Ş. (2014). Ocak ayıanomalisi: Borsa İstanbul endeksleri üzerine bir uygulama. Uluslararası Yönetim İktisat ve İşletme Dergisi, 10(23), 137-155.
• BALINT, C. & GİCA, O. (2012). Is the January effect present on the Romanian capital market? Procedia - Social and Behavioral Sciences, 58, 523-532.
• BARONE, E. (1990). The italian stock market: Efficiency and calendar anomalies. Journal of Banking & Finance, 14(2-3), 483-510.
• BERUMENT, H. & KIYMAZ, H. (2001). The day of the week effect on stock market volatility. Journal of Economic and Finance, 25(2), 181-193.
• BİLDİK, R. (1999). Hisse senedi piyasalarında dönemsellikler ve İMKB üzerine ampirik bir çalışma. Yayımlanmamış Doktora Tezi, İstanbul Üniversitesi, İstanbul.
• BONDT, F. M. D. & THALER, R., (1985). Does the stock market overreact. The Journal of Finance, 40(3), 793-805.
• CHANG, E. C., CHENG, J. W. & KHORANA, A. (2000). An examination of herd behavior in equity markets: An international perspective. Journal of Banking and Finance, 24(10), 1651-1679.
• CHOUDHRY, T. (2000). Day of the week effect in emerging Asian stock markets: evidence from the GARCH model. Applied Financial Economics, 10(3), 235-242.
• COUTTS, J. A. & SHEIKH, M. A. (2002). The anomalies that aren't there: the weekend, January and pre-holiday effects on the all gold index on the Johannesburg Stock Exchange 1987-1997. Applied Financial Economics, 12(12), 863-871.
• CROSS, F. (1973). The behavior of stock prices on fridays and mondays. Financial Analysts Journal, 29(6), 67-69.
• DODD, O. & GAKHOVICH, A. (2011). The holiday effect in central and eastern European financial markets. Investment Management and Financial Innovations, 8(4), 29-35.
• DOYLE, J. R. & CHEN, C. H. (2009). The wandering weekday effect in major stock markets. Journal of Banking & Finance, 33(8), 1388-1399.
• EYÜBOĞLU, K. & EYÜBOĞLU, S. (2015). Examining the January Effect in Borsa Istanbul sector and subsector indices. International Journal of Economic Perspectives, 10(2), 103-110.
• FAMA, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.
• FRENCH, K. R. (1980). Stock returns and the weekend effect. Journal of Financial Economics, 8(1), 55-69.
• GEORGANTOPOULOS, A. G., KENOURGIOS, D. F. & TSAMIS, A. D. (2011). Calendar anomalies in emerging Balkan equity markets. International Economics & Finance Journal, 67-82.
• GIBBONS, M. R. & HESS, P. (1981). Day of the week effects and asset returns. The Journal of Business, 54(4), 579-596.
• GU, A. Y. (2003). The declining January effect: evidences from the U.S. equity markets. The Quarterly Review of Economics and Finance, 43(2), 395-404.
• GÜÇ, E., SAÇAN, E., & KAPLAN Yıldırım, R. (2016). Borsa istanbul'da haftanın günü anomalisinin ARCH, GARCH ve OLS modelleri ile test edilmesi. Journal of international social research, 9(44), 1084-1094.
• GÜMÜŞ, F. B. & DURMUŞKAYA, S. (2015). Vadeli işlem piyasalarında haftanın günleri etkisi ve tatil anomalisinin tespiti üzerine bir analiz. Niğde Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 8(1), 43-52.
• HARRIS, L. (1986). A transaction data study of weekly and intradaily patterns in stock returns. Journal of Financial Economics, 16(1), 99-117.
• HAUGEN, R. A. & JORION, P. (1996). The January Effect: Still there after all these year. Financial Analysts Journal, 52(1), 27-31.
• JAFFE, J. & WESTERFIELD, R. (1985). The week-end effect in common stock returns: The International Evidence. The Journal of Finance, 40(2), 433-454.
• KARAN, M. B. (2000). İMKB'de ihmal edilmiş hisse senedi etkisi. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 18(1), 129-142.
• KARAN, M. B. (2002). İstanbul menkul kıymetler borsası sektör endekslerinde haftanın hünleri ve Ocak ayı etkilerinin test edilmesi. İktisat İşletme ve Finans, 17(190), 51-59.
• KARAN, M. B. (2004). Yatırım Analizi ve Portföy Yönetimi. Ankara: Gazi Yayınları.
• KARAN, M. B. & GÖNENÇ, H. (2003). Do value stocks earn higher returns than growth stocks in an emerging market? Evidence from the Istanbul Stock Exchange. Journal of International Financial Management & Accounting, 14(1), 1-25.
• KARCIOĞLU, R. & ÖZER, N. (2017). BİST'de Haftanın günü ve tatil etkisi anomalilerinin getiri ve oynaklık üzerindeki etkisinin incelenmesi. Karadeniz Teknik Üniversitesi Sosyal Bilimler Enstitüsü Sosyal Bilimler Dergisi, 7(14), 457-483.
• KEIM, D. B. & STAMBAUGH, R. F. (1984). A further investigation of the weekend effect in stock returns. The Journal of Finance, 39(3), 819-835.
• KHAN, M. S. & RABBANI, N. (2019). Market conditions and calendar anomalies in Japanese. Asia-Pacific Financial Markets, 26(2), 187-209.
• KIM, C.-W. & PARK, J. (1994). Holiday effects and stock returns: Further evidence. The Journal of Financial and Quantitative Analysis, 29(1), 145-157.
• KINATEDER, H., WEBER, K. & WAGNER, N. F. (2019). Revisiting calendar anomalies in BRICS countries. Bulletin of Monetary Economics and Banking, 22(2), 213-236.
• KIYILAR, M. & KARAKAŞ , C. (2005). İstanbul Menkul Kıymetler Borsası'nda zamana dayalı anomalilere yönelik bir inceleme. İstanbul Üniversitesi İşletme Fakültesi İşletme İktisadı Enstitüsü Yönetim Dergisi, 16(52), 17-25.
• KUMAR, H. & JAWA, R. (2017). Efficient market hypothesis and calendar effects: Empirical evidences from the Indian Stock Markets. Business Analyst, 37(2), 145-160.
• KUNKEL, R. A., COMPTON, W. S. & BEYER, S. (2003). The turn-of-the-month effect still lives: the international evidence. International Review of Financial Analysis, 12(2), 207-221.
• LAKONISHOK, J. & LEVI, M. (1982). Weekend effects on stock returns: A note. The Journal of Finance, 37(3), 883-889.
• LAKONISHOK, J. & SMIDT , S. (1988). Are seasonal anomalies real? A ninety-year perspective. The Review of Financial Studies, 1(4), 403-425.
• MARRETT, G. J., & WORTHINGTON, A. C. (2009). An empirical note on the holiday effect in the Australian stock market, 1996–2006. Applied Economics Letters, 16(17), 1769-1772.
• MARTIKAINEN, T., PERTUNNEN, J. & PUTTONEN, V. (1995). Finnish turn of the month rffects: Returns, volume, and implied volatility. Journal of Futures Markets, 15(6), 605-615.
• MCCONNELL, J. J. & XU, W. (2008). Equity returns at the turn of the month. Financial Analysts Journal, 64(2), 49-64.
• MENEU, V. & PARDO, A. (2004). Pre-holiday effect, large trades and small investor behaviour. Journal of Empirical Finance, 11(2), 231-246.
• ÖZMEN, T. (1997). Dünya borsalarında gözlemlenen anomaliler ve İstanbul Menkul Kıymetler Borsası üzerine bir deneme (Cilt 61). Ankara: Sermaye Piyasası Kurulu Yayınları.
• PATEL, J. B. (2016). The January effect anomaly reexamined in stock returns. The Journal of Applied Business Research, 32(1), 317-324.
• PLASTUN, A., SIBANDE, X., GUPTA, R. & WOHAR, M. E. (2019). Rise and fall of calendar anomalies over a century. North American Journal of Economics and Finance, 49, 181-205.
• RENDON, J. & ZIEMBA, W. T. (2007). Is the January effect still alive in the futures markets. Financial Markets and Portfolio Management, 21, 381–396.
• ROZEFF, M. S. & KINNEY, W. R. (1976). Capital market seasonality: The case of stock returns. Economics, Journal of Financial, 3(4), 379-402.
• SAMUELSON, P. A. (1965). Proof that properly anticipated prices fluctuate randomly. Industral management review, 6(2), 41-49.
• SHILLER, R. J. (1995). Conversation, information, and herd behavior. The American Economic Review, 85(2), 181-185.
• SHILLER R. J. (2003). From efficient markets theory to behavioral finance. Journal of Economic Perspectives, 17(1), 83-104.
• SMIRLOCK, M. & STARK, L. (1986). Day-of-the-week and intraday effects in stock returns. Journal of Financial Economics, 17(1), 197-210.
• ŞEN, M. (2003). Beklenti Teorisi ve ticari bankalarda uygulanması. İktisat İşletme ve Finans, 18(209), 82-92.
• THALER, R. (1980). Toward a positive theory of consumer choice. Journal of Economic Behavior & Organization, 1(1), 39-60.
• THEOBALD, M. & PRICE, V. (1984). Seasonality estimation in thin markets. The Journal of Finance, 39(2), 377-392.
• TOIT, E., HALL, J. H. & PRADHAN, R. P. (2018). The day-of-the-week effect: South African stock market indices. African Journal of Economic and Management Studies, 9(2), 197-212.
• 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.
• WONG, K. A. (1995). Is there an intra-month effect on stock returns in developing stock markets? Applied Financial Economics, 5(5), 285-289.
• ZHANG, B. & LI, X. (2006). Do calendar effects still exist in the Chinese Stock Markets? Journal of Chinese Economic and Business Studies, 4(2), 151-163.