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AŞIRI TEPKİ HİPOTEZİ VE MOMENTUM STRATEJİLERİNİN GEÇERLİLİĞİNİN BORSA İSTANBUL’DA ANALİZ EDİLMESİ

Year 2021, , 165 - 186, 31.07.2021
https://doi.org/10.17130/ijmeb.832584

Abstract

Hisse senetleri piyasasında geçmiş fiyat hareketlerinin gelecekteki performanslar açısından ne derece belirleyici olduğu bütün yatırımcıların cevaplamaya çalıştığı önemli sorulardan biridir. Özellikle son dönemde yaşanan COVID-19 pandemisi sırasında dünya borsalarının V şeklinde sert iniş ve çıkış yaşaması, yatırımcıların aşırı tepki hipotezine bağlı olarak duygusal davrandıklarını ve karamsarlığa kapılarak ellerindeki varlıkları gerçek değerinin çok altında satabildiklerini göstermektedir. Bu çalışmada aşırı tepki ve momentum stratejilerinin Borsa İstanbul’da geçerliliğinin test edilebilmesi için 1997 ile 2020 yılları arasında Borsa İstanbul’da işlem gören bütün şirketlere ait fiyat verisi kullanılmıştır. Hisse senetleri geçmiş 1 aydan 60 aya kadar uzanan çeşitli dönemlerde elde ettikleri fiyat performanslarına göre %20’lik beş farklı gruba ayrılmış ve takip eden dönemlerdeki performansları ölçülmüştür. Elde edilen bulgulara göre bütün vadelerde ilk %20’ye giren hisselerden oluşan kazananlar portföyünün, takip eden dönemlerde ortalamanın oldukça altında performans gösterdiği ve t testi değerlerinin %1 düzeyinde anlamlı olduğu görülmektedir. Diğer %20’lik dilimlerde bulunan hisselerin ise 24 ay ve daha uzun vadelerde benzer olarak istatistiksel olarak anlamlı seviyede simetrik bir şekilde performans değişimi yaşadığı tespit edilmiştir.

References

  • Ali, F., & Ülkü, N. (2019). Monday effect in the RMW and the short‐term reversal factors. International Review of Finance, 19(3), 681-691.
  • Alper, D., & Aydoğan, E. (2017). The profitability of contrarian strategy: Borsa Istanbul case. Muhasebe ve Finansman Dergisi, (74), 201-214.
  • Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The cross‐section of volatility and expected returns. The Journal of Finance, 61(1), 259-299.
  • Asness, C., Frazzini, A., Israel, R., & Moskowitz, T. (2014). Fact, fiction, and momentum investing. The Journal of Portfolio Management, 40(5), 75-92.
  • Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. The Journal of Finance, 68(3), 929-985.
  • Asness, C., Frazzini, A., Israel, R., & Moskowitz, T. (2015). Fact, fiction, and value investing. The Journal of Portfolio Management, 42(1), 34-52.
  • Bali, T. G., Subrahmanyam, A., & Wen, Q. (2020). Long-term reversals in the corporate bond market. Journal of Financial Economics, (2020), Article in press.
  • Barak, O. (2008). İMKB’de aşırı reaksiyon anomalisi ve davranışsal finans modelleri kapsamında değerlendirilmesi. Gazi Universitesi Iktisadi ve Idari Bilimler Fakultesi Dergisi, 10(1), 207-229.
  • Bildik, R., & Gülay, G. (2007). Profitability of contrarian strategies: Evidence from the Istanbul stock exchange. International Review of Finance, 7(1‐2), 61-87.
  • Caginalp, G., & DeSantis, M. (2017). Does price efficiency increase with trading volume? Evidence of nonlinearity and power laws in ETFs. Physica A: Statistical Mechanics and Its Applications, 467, 436-452.
  • Chan, L. K., & Lakonishok, J. (2004). Value and growth investing: Review and update. Financial Analysts Journal, 60(1), 71-86.
  • Clare, A., Seaton, J., Smith, P. N., & Thomas, S. (2016). The trend is our friend: Risk parity, momentum and trend following in global asset allocation. Journal of Behavioral and Experimental Finance, 9, 63–80.
  • Daniel, K., & Moskowitz, T. J. (2016). Momentum crashes. Journal of Financial Economics, 122(2), 221-247.
  • De Bondt, W. F., & Thaler, R. (1985). Does the stock market overreact?. The Journal of finance, 40(3), 793-805.
  • Dizdarlar, H. I., & Can, R. (2017). Aşırı tepki hipotezinin geçerliliğinin test edilmesi: Borsa İstanbul üzerine bir araştırma. Uluslararası İktisadi ve İdari İncelemeler Dergisi, 815-832.
  • Ersoy, E., & Ünlü, U. (2013). Size, book to market ratio and momentum strategies: Evidence from Istanbul Stock Exchange. International Journal of Economic Perspectives, 7(3), 28-33.
  • Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607-636.
  • Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. The Journal of Finance, 47(2), 427-465.
  • Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22.
  • Gemici, E., & Cihangir, M. (2018). Borsa İstanbul Pay Senedi Piyasasında Aşırı Tepki. Sosyal Bilimler Araştırmaları Dergisi, 8(2), 289-298.
  • Graham, B. (1949). The intelligent investor. New York: Collins.
  • Harvey, C. R., Liu, Y., & Zhu, H. (2016). … and the cross-section of expected returns. The Review of Financial Studies, 29(1), 5-68.
  • Hou, K., Xue, C., & Zhang, L. (2015). Digesting anomalies: An investment approach. The Review of Financial Studies, 28(3), 650-705.
  • Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65-91.
  • Kaldırım, Y. (2017). Momentum anomalisi ve düşük fiyat anomalisi: BIST100 endeksine yönelik araştırma. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 54, 77-90.
  • Kandır, S. Y. & Inan, H. (2011). Momentum Yatırım Stratejisinin Karlılığının İMKB’de Test Edilmesi. Journal of BRSA Banking & Financial Markets, 5(2), 51-70.
  • Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian investment, extrapolation, and risk. The Journal of Finance, 49(5), 1541-1578.
  • McLean, R. D., & Pontiff, J. (2016). Does academic research destroy stock return predictability?. The Journal of Finance, 71(1), 5-32.
  • Merkezi Kayıt Kuruluşu (2015). Borsa Trendleri Raporu Sayı XII: Ocak – Mart 2015. Erişim Tarihi: 01.06.2020, https://www.tuyid.org/files/yayinlar/Borsa_Trendleri_Raporu_XII.pdf
  • Merkezi Kayıt Kuruluşu (2020). Borsa Trendleri Raporu Sayı XXXII: Ocak – Mart 2020. Erişim Tarihi: 01.06.2020, https://www.tuyid.org/files/yayinlar/Borsa-Trendleri-Raporu-2020-1C.pdf
  • Sevim, S., & Yildiz, B. (2007). Overreaction hypothesis and an empirical work on the Istanbul Stock Exchange. Istanbul Stock Exchange Review, 9(35), 21-36.
  • Shaik, R. (2011). Risk-adjusted momentum: A superior approach to momentum investing. White Paper. Bridgeway Capital Management. Retrieved October, 5, 2020, from http://www.dorseywright.com/downloads/hrs_research/Momentum%20White%20Paper%202011%20Fall.pdf
  • Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442.
  • TCMB. (2018). Yüksek Frekanslı İşlemler ve Düzenleme Yaklaşımları. Erişim tarihi: 03.10.2020, https://tcmbblog.org/wps/wcm/connect/blog/tr/main+menu/analizler/yuksek_frekansli_islemler
  • Tradingview. (2020). XTUMY/XU100 endeks grafiği. Erişim Tarihi: 01.10.2020, https://tr.tradingview.com/chart/ZbD3yjXn/
  • Tunçel, A. K. (2013). Aşırı tepki hipotezinin test edilmesi: Borsa İstanbul örneği. Uludağ Üniversitesi, İktisadi ve İdari Bilimler Fakültesi Dergisi, 32(2), 113-122.
  • Yahoo Finans. (2020). SP500 Grafiği. Erişim Tarihi: 01.10.2020, https://finance.yahoo.com/quote/SPY?p=SPY&.tsrc=fin-srch
  • Zaremba, A., Kizys, R., & Raza, M. W. (2020). The long-run reversal in the long run: Insights from two centuries of international equity returns. Journal of Empirical Finance, 55, 177-199.
  • Zaremba, A., Umutlu, M., & Maydybura, A. (2018). Less pain, more gain: Volatility-adjusted residual momentum in international equity markets. Investment Analysts Journal, 47(2), 165-191.

EVALUATION OF VALIDITY OF OVERREACTION HYPOTHESIS AND MOMENTUM STRATEGIES IN BORSA ISTANBUL

Year 2021, , 165 - 186, 31.07.2021
https://doi.org/10.17130/ijmeb.832584

Abstract

The extent to which past price movements are determinants of future performances in the stock market is one of the important questions that all investors try to answer. Especially during the recent COVID-19 pandemic, the sharp V-shaped downs and ups of the world stock markets show that investors behave emotionally in line with the overreaction hypothesis and they can sell their assets well below their fair value by being pessimistic. In this study, in order to test the validity of overreaction and momentum strategies in Borsa Istanbul, price data of all companies traded in Borsa Istanbul between 1997 and 2020 were used. The stocks were divided into five different percentiles of 20% according to their price performances in various periods from 1 month to 60 months and their performances in the following periods were calculated. According to the findings obtained, it is seen that the winners’ portfolio, which consists of the top 20% of the stocks, performs well below the average in the following periods and the t-test values are significant at 1% level. It has been determined that the shares in the other percentiles experience a statistically significant symmetrical performance change for 24 months and longer terms.

References

  • Ali, F., & Ülkü, N. (2019). Monday effect in the RMW and the short‐term reversal factors. International Review of Finance, 19(3), 681-691.
  • Alper, D., & Aydoğan, E. (2017). The profitability of contrarian strategy: Borsa Istanbul case. Muhasebe ve Finansman Dergisi, (74), 201-214.
  • Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The cross‐section of volatility and expected returns. The Journal of Finance, 61(1), 259-299.
  • Asness, C., Frazzini, A., Israel, R., & Moskowitz, T. (2014). Fact, fiction, and momentum investing. The Journal of Portfolio Management, 40(5), 75-92.
  • Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. The Journal of Finance, 68(3), 929-985.
  • Asness, C., Frazzini, A., Israel, R., & Moskowitz, T. (2015). Fact, fiction, and value investing. The Journal of Portfolio Management, 42(1), 34-52.
  • Bali, T. G., Subrahmanyam, A., & Wen, Q. (2020). Long-term reversals in the corporate bond market. Journal of Financial Economics, (2020), Article in press.
  • Barak, O. (2008). İMKB’de aşırı reaksiyon anomalisi ve davranışsal finans modelleri kapsamında değerlendirilmesi. Gazi Universitesi Iktisadi ve Idari Bilimler Fakultesi Dergisi, 10(1), 207-229.
  • Bildik, R., & Gülay, G. (2007). Profitability of contrarian strategies: Evidence from the Istanbul stock exchange. International Review of Finance, 7(1‐2), 61-87.
  • Caginalp, G., & DeSantis, M. (2017). Does price efficiency increase with trading volume? Evidence of nonlinearity and power laws in ETFs. Physica A: Statistical Mechanics and Its Applications, 467, 436-452.
  • Chan, L. K., & Lakonishok, J. (2004). Value and growth investing: Review and update. Financial Analysts Journal, 60(1), 71-86.
  • Clare, A., Seaton, J., Smith, P. N., & Thomas, S. (2016). The trend is our friend: Risk parity, momentum and trend following in global asset allocation. Journal of Behavioral and Experimental Finance, 9, 63–80.
  • Daniel, K., & Moskowitz, T. J. (2016). Momentum crashes. Journal of Financial Economics, 122(2), 221-247.
  • De Bondt, W. F., & Thaler, R. (1985). Does the stock market overreact?. The Journal of finance, 40(3), 793-805.
  • Dizdarlar, H. I., & Can, R. (2017). Aşırı tepki hipotezinin geçerliliğinin test edilmesi: Borsa İstanbul üzerine bir araştırma. Uluslararası İktisadi ve İdari İncelemeler Dergisi, 815-832.
  • Ersoy, E., & Ünlü, U. (2013). Size, book to market ratio and momentum strategies: Evidence from Istanbul Stock Exchange. International Journal of Economic Perspectives, 7(3), 28-33.
  • Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607-636.
  • Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. The Journal of Finance, 47(2), 427-465.
  • Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22.
  • Gemici, E., & Cihangir, M. (2018). Borsa İstanbul Pay Senedi Piyasasında Aşırı Tepki. Sosyal Bilimler Araştırmaları Dergisi, 8(2), 289-298.
  • Graham, B. (1949). The intelligent investor. New York: Collins.
  • Harvey, C. R., Liu, Y., & Zhu, H. (2016). … and the cross-section of expected returns. The Review of Financial Studies, 29(1), 5-68.
  • Hou, K., Xue, C., & Zhang, L. (2015). Digesting anomalies: An investment approach. The Review of Financial Studies, 28(3), 650-705.
  • Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65-91.
  • Kaldırım, Y. (2017). Momentum anomalisi ve düşük fiyat anomalisi: BIST100 endeksine yönelik araştırma. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 54, 77-90.
  • Kandır, S. Y. & Inan, H. (2011). Momentum Yatırım Stratejisinin Karlılığının İMKB’de Test Edilmesi. Journal of BRSA Banking & Financial Markets, 5(2), 51-70.
  • Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian investment, extrapolation, and risk. The Journal of Finance, 49(5), 1541-1578.
  • McLean, R. D., & Pontiff, J. (2016). Does academic research destroy stock return predictability?. The Journal of Finance, 71(1), 5-32.
  • Merkezi Kayıt Kuruluşu (2015). Borsa Trendleri Raporu Sayı XII: Ocak – Mart 2015. Erişim Tarihi: 01.06.2020, https://www.tuyid.org/files/yayinlar/Borsa_Trendleri_Raporu_XII.pdf
  • Merkezi Kayıt Kuruluşu (2020). Borsa Trendleri Raporu Sayı XXXII: Ocak – Mart 2020. Erişim Tarihi: 01.06.2020, https://www.tuyid.org/files/yayinlar/Borsa-Trendleri-Raporu-2020-1C.pdf
  • Sevim, S., & Yildiz, B. (2007). Overreaction hypothesis and an empirical work on the Istanbul Stock Exchange. Istanbul Stock Exchange Review, 9(35), 21-36.
  • Shaik, R. (2011). Risk-adjusted momentum: A superior approach to momentum investing. White Paper. Bridgeway Capital Management. Retrieved October, 5, 2020, from http://www.dorseywright.com/downloads/hrs_research/Momentum%20White%20Paper%202011%20Fall.pdf
  • Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442.
  • TCMB. (2018). Yüksek Frekanslı İşlemler ve Düzenleme Yaklaşımları. Erişim tarihi: 03.10.2020, https://tcmbblog.org/wps/wcm/connect/blog/tr/main+menu/analizler/yuksek_frekansli_islemler
  • Tradingview. (2020). XTUMY/XU100 endeks grafiği. Erişim Tarihi: 01.10.2020, https://tr.tradingview.com/chart/ZbD3yjXn/
  • Tunçel, A. K. (2013). Aşırı tepki hipotezinin test edilmesi: Borsa İstanbul örneği. Uludağ Üniversitesi, İktisadi ve İdari Bilimler Fakültesi Dergisi, 32(2), 113-122.
  • Yahoo Finans. (2020). SP500 Grafiği. Erişim Tarihi: 01.10.2020, https://finance.yahoo.com/quote/SPY?p=SPY&.tsrc=fin-srch
  • Zaremba, A., Kizys, R., & Raza, M. W. (2020). The long-run reversal in the long run: Insights from two centuries of international equity returns. Journal of Empirical Finance, 55, 177-199.
  • Zaremba, A., Umutlu, M., & Maydybura, A. (2018). Less pain, more gain: Volatility-adjusted residual momentum in international equity markets. Investment Analysts Journal, 47(2), 165-191.
There are 39 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Research Articles
Authors

Serkan Unal 0000-0002-7060-979X

Publication Date July 31, 2021
Submission Date November 27, 2020
Acceptance Date April 30, 2021
Published in Issue Year 2021

Cite

APA Unal, S. (2021). AŞIRI TEPKİ HİPOTEZİ VE MOMENTUM STRATEJİLERİNİN GEÇERLİLİĞİNİN BORSA İSTANBUL’DA ANALİZ EDİLMESİ. Uluslararası Yönetim İktisat Ve İşletme Dergisi(17), 165-186. https://doi.org/10.17130/ijmeb.832584