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BETA KATSAYILARI AYLIK OLARAK DEĞİŞİR Mİ? KÖRFEZ ARAP ÜLKELERİ İŞBİRLİĞİ KONSEYİ ÜLKELERİ ÜZERİNE BİR ARAŞTIRMA

Year 2021, , 10 - 15, 01.04.2021

Mercan Hatipoğlu

https://doi.org/10.32951/mufider.830152

Abstract

Bu çalışmanın amacı Körfez Arap Ülkeleri İşbirliği Konseyi (Bahreyn, Birleşik Arap Emirlikleri (BAE), Suudi Arabistan, Umman, Katar, Kuveyt) ülke borsaları için beta katsayılarının aylara göre değişip değişmediğinin araştırılmasıdır. Piyasa riskini temsil etmek için MSCI Dünya Borsaları endeksi kullanılmıştır. Çalışmada, Körfez Arap Ülkeleri İşbirliği Konseyi ülkeleri borsalarının aylık beta değerlerinin, uzun dönemli beta değerlerinden oldukça farklı olduğu bulgusuna ulaşılmıştır. Dolayısıyla, risk-getiri ilişkisi bu borsaların için aylık olarak değişkenlik arz etmektedir. Bu tarz anomalilerin finansal piyasalarda varlığı, gerek bireysel yatırımcılara gerekse portföy yöneticilerine aylık fiyat dalgalanmalarından yararlanarak piyasa üstü kazanç sağlama fırsatı sunmaktadır.

Keywords

Beta Katsayısı, Anomali, Körfez Arap Ülkeleri İşbirliği Konseyi

References

  • Alagidede, P. (2008). Day Of The Week Seasonality in African Stock Markets. Applied Financial Economics Letters, 4(2), 115-120.
  • Aytekin, S. ve Sakarya, Ş. (2014). Ocak Ayı Anomalisi: Borsa İstanbul Endeksleri Üzerine Bir Uygulama. Uluslararası Yönetim İktisat ve İşletme Dergisi, 10(23), 137-156.
  • Basher, S. A. ve Sadorsky, P. (2006). Day-Of-The-Week Effects in Emerging Stock Markets. Applied Economics Letters, 13(10), 621-628.
  • Berument, H. ve Kiymaz, H. (2001). The Day Of The Week Effect On Stock Market Volatility. Journal Of Economics And Finance, 25(2), 181-193.
  • Brooks, C. (2014). Introductory Econometrics For Finance. (3th ed.). Cambridge University Press.
  • Brooks, C. ve Persand, G. (2001). Seasonality in Southeast Asian stock markets: Some New Evidence On Day-Of-The-Week Effects. Applied Economics Letters, 8(3), 155-158.
  • Cao, M., ve Wei, J. (2005). Stock Market Returns: A Note On Temperature Anomaly. Journal of Banking and Finance, 29(6), 1559-1573.
  • Corhay, A., Hawawini, G., ve Michel, P. (1987). Seasonality in The Risk‐Return Relationship: Some İnternational Evidence. The Journal of Finance, 42(1), 49-68.
  • Doyle, J. R. ve Chen, C. H. (2009). The Wandering Weekday Effect in Major Stock Markets. Journal Of Banking and Finance, 33(8), 1388-1399.
  • Floros, C. (2008). The Monthly And Trading Month Effects in Greek Stock Market Returns: 1996-2002. Managerial Finance, 34(7), 453-464.
  • Gayaker, S., Yalcin, Y., ve Berument, M. H. (2020). The Day Of The Week Effect And ınterest Rates. Borsa Istanbul Review, 20(1), 55-63.
  • Jacobsen, B., ve Visaltanachoti, N. (2009). The Halloween Effect in US sectors. Financial Review, 44(3), 437-459.
  • Kamstra, M. J., Kramer, L. A., ve Levi, M. D. (2003). Winter Blues: A SAD Stock Market Cycle. American Economic Review, 93(1), 324-343.
  • Keim, D. B., ve Stambaugh, R. F. (1984). A Further İnvestigation Of The Weekend Effect in Stock Returns. The Journal of Finance, 39(3), 819-835.
  • Kendirli, S., ve Bulut, B. (2020)”BRICS Ülkeleri ve Türkiye’de Ocak Ayı Etkisinin Garch (P, Q) Modeli İle Test Edilmesi. Finans Ekonomi ve Sosyal Araştırmalar Dergisi, 5(3), 571-585.
  • Kramer, L. A., ve Weber, J. M. (2012). This is Your Portfolio On Winter: Seasonal Affective Disorder And Risk Aversion in Financial Decision Making. Social Psychological and Personality Science, 3(2), 193-199.
  • Ma, D., ve Tanizaki, H. (2019). The Day-Of-The-Week Effect On Bitcoin Return And Volatility. Research in International Business and Finance, 49, 127-136.
  • Mbululu, D., ve Chipeta, C. (2012). Day-Of-The-Week Effect: Evidence From The Nine Economic Sectors Of The JSE. Investment Analysts Journal, 41(75), 55-65.
  • Nassar, S. (2016). The Day of the Week Effect of Stock Returns: Empirical Evidence from Five Selected Arab Countries. Eurasian Journal of Business and Management, 4(2).55-64
  • Rezvanian, R., ve Mehdian, S. M. (2011). Calendar Anomalies in The Gulf Cooperation Council Stock Markets. Emerging Markets Review, 12(3), 293-307.
  • Rossi, M., ve Gunardi, A. (2018). Efficient Market Hypothesis And Stock Market Anomalies: Empirical Evidence İn Four European Countries. Journal of Applied Business Research, 34(1), 183-192.
  • Seif, M., Docherty, P., ve Shamsuddin, A. (2017). Seasonal Anomalies in Advanced Emerging Stock Markets. The Quarterly Review of Economics and Finance, 66, 169-181.
  • Sharpe, W. F. (1964). Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk. The Journal Of Finance, 19(3), 425-442.
  • Sun, Q., ve Tong, W. H. (2010). Risk And The January Effect. Journal of Banking and Finance, 34(5), 965-974.
  • Yardımcı, B., ve Erdem, S. (2020). The Day Of The Week Effects in Stock Markets Of Countries With Predominantly Muslim Populations. International Journal of Islamic and Middle Eastern Finance and Management.13,(1)195-218

Year 2021, , 10 - 15, 01.04.2021

Mercan Hatipoğlu

https://doi.org/10.32951/mufider.830152

Abstract

References

  • Alagidede, P. (2008). Day Of The Week Seasonality in African Stock Markets. Applied Financial Economics Letters, 4(2), 115-120.
  • Aytekin, S. ve Sakarya, Ş. (2014). Ocak Ayı Anomalisi: Borsa İstanbul Endeksleri Üzerine Bir Uygulama. Uluslararası Yönetim İktisat ve İşletme Dergisi, 10(23), 137-156.
  • Basher, S. A. ve Sadorsky, P. (2006). Day-Of-The-Week Effects in Emerging Stock Markets. Applied Economics Letters, 13(10), 621-628.
  • Berument, H. ve Kiymaz, H. (2001). The Day Of The Week Effect On Stock Market Volatility. Journal Of Economics And Finance, 25(2), 181-193.
  • Brooks, C. (2014). Introductory Econometrics For Finance. (3th ed.). Cambridge University Press.
  • Brooks, C. ve Persand, G. (2001). Seasonality in Southeast Asian stock markets: Some New Evidence On Day-Of-The-Week Effects. Applied Economics Letters, 8(3), 155-158.
  • Cao, M., ve Wei, J. (2005). Stock Market Returns: A Note On Temperature Anomaly. Journal of Banking and Finance, 29(6), 1559-1573.
  • Corhay, A., Hawawini, G., ve Michel, P. (1987). Seasonality in The Risk‐Return Relationship: Some İnternational Evidence. The Journal of Finance, 42(1), 49-68.
  • Doyle, J. R. ve Chen, C. H. (2009). The Wandering Weekday Effect in Major Stock Markets. Journal Of Banking and Finance, 33(8), 1388-1399.
  • Floros, C. (2008). The Monthly And Trading Month Effects in Greek Stock Market Returns: 1996-2002. Managerial Finance, 34(7), 453-464.
  • Gayaker, S., Yalcin, Y., ve Berument, M. H. (2020). The Day Of The Week Effect And ınterest Rates. Borsa Istanbul Review, 20(1), 55-63.
  • Jacobsen, B., ve Visaltanachoti, N. (2009). The Halloween Effect in US sectors. Financial Review, 44(3), 437-459.
  • Kamstra, M. J., Kramer, L. A., ve Levi, M. D. (2003). Winter Blues: A SAD Stock Market Cycle. American Economic Review, 93(1), 324-343.
  • Keim, D. B., ve Stambaugh, R. F. (1984). A Further İnvestigation Of The Weekend Effect in Stock Returns. The Journal of Finance, 39(3), 819-835.
  • Kendirli, S., ve Bulut, B. (2020)”BRICS Ülkeleri ve Türkiye’de Ocak Ayı Etkisinin Garch (P, Q) Modeli İle Test Edilmesi. Finans Ekonomi ve Sosyal Araştırmalar Dergisi, 5(3), 571-585.
  • Kramer, L. A., ve Weber, J. M. (2012). This is Your Portfolio On Winter: Seasonal Affective Disorder And Risk Aversion in Financial Decision Making. Social Psychological and Personality Science, 3(2), 193-199.
  • Ma, D., ve Tanizaki, H. (2019). The Day-Of-The-Week Effect On Bitcoin Return And Volatility. Research in International Business and Finance, 49, 127-136.
  • Mbululu, D., ve Chipeta, C. (2012). Day-Of-The-Week Effect: Evidence From The Nine Economic Sectors Of The JSE. Investment Analysts Journal, 41(75), 55-65.
  • Nassar, S. (2016). The Day of the Week Effect of Stock Returns: Empirical Evidence from Five Selected Arab Countries. Eurasian Journal of Business and Management, 4(2).55-64
  • Rezvanian, R., ve Mehdian, S. M. (2011). Calendar Anomalies in The Gulf Cooperation Council Stock Markets. Emerging Markets Review, 12(3), 293-307.
  • Rossi, M., ve Gunardi, A. (2018). Efficient Market Hypothesis And Stock Market Anomalies: Empirical Evidence İn Four European Countries. Journal of Applied Business Research, 34(1), 183-192.
  • Seif, M., Docherty, P., ve Shamsuddin, A. (2017). Seasonal Anomalies in Advanced Emerging Stock Markets. The Quarterly Review of Economics and Finance, 66, 169-181.
  • Sharpe, W. F. (1964). Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk. The Journal Of Finance, 19(3), 425-442.
  • Sun, Q., ve Tong, W. H. (2010). Risk And The January Effect. Journal of Banking and Finance, 34(5), 965-974.
  • Yardımcı, B., ve Erdem, S. (2020). The Day Of The Week Effects in Stock Markets Of Countries With Predominantly Muslim Populations. International Journal of Islamic and Middle Eastern Finance and Management.13,(1)195-218
There are 25 citations in total.

Details

Primary Language Turkish
Subjects Business Administration
Journal Section Articles
Authors

Mercan Hatipoğlu 0000-0003-3307-5458

Publication Date April 1, 2021
Submission Date November 23, 2020
Acceptance Date December 31, 2020
Published in Issue Year 2021

Cite

APA Hatipoğlu, M. (2021). BETA KATSAYILARI AYLIK OLARAK DEĞİŞİR Mİ? KÖRFEZ ARAP ÜLKELERİ İŞBİRLİĞİ KONSEYİ ÜLKELERİ ÜZERİNE BİR ARAŞTIRMA. Muhasebe Ve Finans İncelemeleri Dergisi, 4(1), 10-15. https://doi.org/10.32951/mufider.830152


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