Hava Durumu Anomalisi: Panel Veri Analizi

Year 2021, Issue: 116, 143 - 154, 03.10.2021

Aysel Gündoğdu Selin Sarılı

https://doi.org/10.33203/mfy.973698

Abstract

Finansal piyasalarda işlem yapan yatırımcıların her ne kadar rasyonel oldukları varsayılsa da her zaman bu koşulun geçerli olmadığı davranışsal finans teorisinde yer alan anomalilerle açıklanmaya çalışılmaktadır. Finansal piyasa anomalilerinden biri olan hava durumu anomalisi de, hava koşullarının bireylerin psikolojisi üzerinde ve dolayısı ile yatırım kararlarında etkili olduğunu öne sürmektedir. Çalışmada davranışsal finans teorisinde yer alan ‘hava durumu anomalisi’ nin test edilmesi amacıyla 6 ülkeye (Türkiye, İtalya, Amerika Birleşik Devletleri, Kanada, Çin, Rusya) ait hava durumu ve ülkelerin ana borsa endeksleriyle (Bist100, FTSE MIB, Dow Jones Industrial Average, S&P_TSX, Shanghai Composite, MOEX Russia) panel veri analizi yapılmıştır. Çalışmaya 04.01.2010 ile 31.07.2019 tarih aralığında günlük veriler dahil edilmiştir. Öncelikle panel birim kök testleriyle serilerin durağanlıkları araştırılmış, sonrasında ise panel eşbütünleşme testleri uygulanmıştır. Johansen eşbütünleşme testi sonucunda sadece Rusya ve Kanada için eşbütünleşme ilişkisi bulunmuştur.

Keywords

Hava durumu anomalisi, panel veri, eşbütünleşme

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