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Borsa İstanbul’da Gün İçi Verisinin Analizi

Year 2015, , 142 - 155, 30.04.2015
https://doi.org/10.33203/mfy.307955

Abstract

Finans literatüründe Etkin Piyasa Hipotezinin fiyatların tahmin

edilememesine yönelik önermesinin en çok rastlanılan red gerekçesi

tarih anomalileridir (haftanın günü etkisi, Ocak ayı etkisi, ayın

dönüm etkisi gibi). Gün içi verisinin incelenmesi sadece getirilerin

belirli saat dilimlerinin şeklinin anlaşılması dışında standart sapmasının

yapısını öğrenmek anlamında da önemlidir. Bu çalışmada

Borsa İstanbul 100 endeksinin gün içi getirisinin on beşer dakikalık

getirilerinin yapısı ve standart sapması incelenmiştir. Çalışmada

kullanılan veri seti işlem saatlerinin 10 Haziran 2013 tarihinde

değişmesi nedeniyle 11 Haziran 2013 tarihinden başlayarak 28

Mayıs 2014 tarihleri arasındaki 5954 gözlemi kapsamaktadır.

Standart sapmaların birinci seansta J tipi ikinci seansta ise W tipi

bir yapıya sahip olduğu bulunmuştur.

References

  • Cheung, Y.L. 1995. Intraday Returns and the Day End Effect: Evidence From Hong Honk Equity Market. Journal of Business Finance and Accounting. 22,7: 1023-1034 Chiao, C., W. Hung, and C. F. Lee. 2011. Institutional trading and opening price behavior: Evidence from a fast-emerging market. The Journal of Financial Research. Vol. XXXIV, No. 1: 131–154 Maliye Finans Yazıları - 2015 - (103), 141-156 153 Chow E. H., P. Hsiao, and M. E. Solt. 1997. Trading returns for the weekend effect using intraday data. Joumal of Business Finance & Accounting. 24, 3 & 4: 425 – 444. Cornett, M. M., T. V. Schwarz, and A. C. Szakmary.1995. Seasonalities and intraday return patterns in the foreign currency futures market. Journal of Banking and Finance. 19: 843-869 French, K. 1980. Stock Returns and the Weekend Effect. Journal of Financial Economics. 8, 55-70. Frijns, B., and D. Margaritis D. 2008. Forecasting daily volatility with intraday data. The European Journal of Finance. 14, 6: 523-540. Gibbons, M. R., and P. Hess. 1981. Day Of The Week Effects And Asset Returns. Journal of Business. 54, 4: 579-596 Han, L., J. L. Kling, C. W. Sell. 1999. Foreign exchange future volatility: Day of the week, intraday, and maturity patterns in the presence of macroeconomic announcements. The Journal of Futures Markets. 19, 6 (September): 665-693. Jain, R. C. and G. H. Joh. 1988. The Dependence between Hourly Prices and Trading Volume. Journal of Financial and Quantitative Analysis. 23, 3 (September): 269-283. Kato, K. 1990. Weekly Patterns In Japanese Stock Returns. Management Sciences. 36, 9, (September): 1031-1043. Lockwood, L. J. and S. C. 1990. An Examination of Stock Market Return Volatility During Overnight and Intraday Periods. 1964-1989. The Journal of Finance. VOL. XLV. NO.2: 591 - 601. McLnish, T.H. and R. A. Wood. 1985. Intraday and Overnight Returns and Day of the Week Effects. The Journal of Financial Reseach. 8, 2 (Summer): 119-126. Newbold, P., W. L. Carlson, and B. Thorne. 2010. Statistics for Business and Economics, Seventh Edition. Pearson, New Jersey: 665. Niarchos, N. A. and C. A. Alexakis. 2003. Intraday stock price patterns in the Greek stock exchange. Applied Financial Economics 13: 13-22. Porter, D.C. 1992. The Probability of a Trade at the Ask: An Examination of Interday and Intraday Behaviour. Journal of Financial and Quantitative Analysis 27, 2 (June): 209-227. Yadav, P. K., and P. F. Pope. 1992. Intraweek and intraday seasonalities in stock market risk premia: Cash and futures. Journal of Banking and Finance 16: 233-270.

An Analysis of Intraday Data on Borsa Istanbul

Year 2015, , 142 - 155, 30.04.2015
https://doi.org/10.33203/mfy.307955

Abstract

Calendar anomalies (day of the week effect, January effect,

month effect) are the most frequently encountered cases for the

rejection of price unpredictability suggested by Efficient Market

Hypothesis in finance literature. Evaluation of intraday data is not

only important for understanding the hourly movement of returns

but also learning the structure of standard deviation. This study

analyses the structure of intraday returns and their standard deviations

within 15 minute time frames for BIST 100. Because the

transaction times were changed on 10 June 2013, the dataset covers

5954 observations belonging to the period between 11 June

2013 and 28 May 2014. The findings as to standard deviations

demonstrate J type and W type structures in the first and second

sessions, respectively.

References

  • Cheung, Y.L. 1995. Intraday Returns and the Day End Effect: Evidence From Hong Honk Equity Market. Journal of Business Finance and Accounting. 22,7: 1023-1034 Chiao, C., W. Hung, and C. F. Lee. 2011. Institutional trading and opening price behavior: Evidence from a fast-emerging market. The Journal of Financial Research. Vol. XXXIV, No. 1: 131–154 Maliye Finans Yazıları - 2015 - (103), 141-156 153 Chow E. H., P. Hsiao, and M. E. Solt. 1997. Trading returns for the weekend effect using intraday data. Joumal of Business Finance & Accounting. 24, 3 & 4: 425 – 444. Cornett, M. M., T. V. Schwarz, and A. C. Szakmary.1995. Seasonalities and intraday return patterns in the foreign currency futures market. Journal of Banking and Finance. 19: 843-869 French, K. 1980. Stock Returns and the Weekend Effect. Journal of Financial Economics. 8, 55-70. Frijns, B., and D. Margaritis D. 2008. Forecasting daily volatility with intraday data. The European Journal of Finance. 14, 6: 523-540. Gibbons, M. R., and P. Hess. 1981. Day Of The Week Effects And Asset Returns. Journal of Business. 54, 4: 579-596 Han, L., J. L. Kling, C. W. Sell. 1999. Foreign exchange future volatility: Day of the week, intraday, and maturity patterns in the presence of macroeconomic announcements. The Journal of Futures Markets. 19, 6 (September): 665-693. Jain, R. C. and G. H. Joh. 1988. The Dependence between Hourly Prices and Trading Volume. Journal of Financial and Quantitative Analysis. 23, 3 (September): 269-283. Kato, K. 1990. Weekly Patterns In Japanese Stock Returns. Management Sciences. 36, 9, (September): 1031-1043. Lockwood, L. J. and S. C. 1990. An Examination of Stock Market Return Volatility During Overnight and Intraday Periods. 1964-1989. The Journal of Finance. VOL. XLV. NO.2: 591 - 601. McLnish, T.H. and R. A. Wood. 1985. Intraday and Overnight Returns and Day of the Week Effects. The Journal of Financial Reseach. 8, 2 (Summer): 119-126. Newbold, P., W. L. Carlson, and B. Thorne. 2010. Statistics for Business and Economics, Seventh Edition. Pearson, New Jersey: 665. Niarchos, N. A. and C. A. Alexakis. 2003. Intraday stock price patterns in the Greek stock exchange. Applied Financial Economics 13: 13-22. Porter, D.C. 1992. The Probability of a Trade at the Ask: An Examination of Interday and Intraday Behaviour. Journal of Financial and Quantitative Analysis 27, 2 (June): 209-227. Yadav, P. K., and P. F. Pope. 1992. Intraweek and intraday seasonalities in stock market risk premia: Cash and futures. Journal of Banking and Finance 16: 233-270.
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Details

Journal Section Articles
Authors

Murat Çinko This is me

Publication Date April 30, 2015
Submission Date April 23, 2017
Published in Issue Year 2015

Cite

APA Çinko, M. (2015). Borsa İstanbul’da Gün İçi Verisinin Analizi. Maliye Ve Finans Yazıları, 1(103), 142-155. https://doi.org/10.33203/mfy.307955

Dergi özellikle maliye, finans ve bankacılık alanlarında faaliyet göstermektedir.