Year 2018, Volume 11, Issue 1, Pages 221 - 238 2018-02-12

THE IMPACT OF CALENDAR ANOMALIES ON STOCK RETURN AND VOLATILITY: EVIDENCE FROM TURKISH STOCK MARKET
Takvim Anomalilerinin Hisse Getirileri ve Varyansı Üzerindeki Etkisi: Türkiye Hisse Senedi Piyasası Üzerinde Bir Çalışma

Mutlu Başaran ÖZTÜRK [1] , Mustafa UYSAL [2] , Halil ARSLAN [3] , Temur KAYHAN [4]

197 1873

There has been a rise in recent studies on behavioral finance. According to Fama (1970) all information is priced, so it cannot be said about the undervalued stock. However, behavioral finance asserts that there are many anomalies in the market. The effects of days of the week, January effect and religious days on the returns and volatility of the stock markets were examined in the literature. In the case of Turkey, aforementioned anomalies are tested using returns and volatility of BIST100 and KAT30 indices. As a result, days of the week, January effect and Ramadan effect have no any effect on returns and volatility of both conventional and unconventional stock indices. The result has strengthened the assumption that Turkish market is more efficient in this sense and in line with Fama’s EMH. It has been observed that timing does not have a significant effect on the strategies of Turkish investor

Son dönemde davranışsal finansa yönelik çalışmalarda bir artış gözlenmektedir. Fama’nın (1970) EMH’ne göre tüm bilgi, hisse değerlemelerinde fiyatlandığı için ucuz hisse senedinin varlığından söz edilemez. Davranışsal finans piyasada bir çok anomali bulunduğunu iddia etmektedir. Literatürde haftanın günleri, Ocak ayı etkisi ve dini günlerin hisse senedi piyasalarının getirileri ve oynaklığı üzerinde etkilerinin olabileceğine yönelik çalışmalar yer almaktadır. Türkiye örneğinde BIST100 ve İslami Endeks göstergesi olan KAT30 getirileri ve oynaklığı üzerine söz konusu anomaliler test edilmiştir. Haftanın günleri, Ocak ayı ve Ramazan ayının hem geleneksel hem de İslami hisse senedi endeksinin getirileri ve oynaklığı üzerinde herhangi bir etkisi bulunmadığı sonucuna ulaşılmıştır. Söz konusu sonuç Türk piyasasının bu anlamda daha verimli bir market olduğu ve Fama’nın EMH’ne göre hareket ettiği varsayımını güçlendirmiştir. Zamanlamanın Türk yatırımcının stratejilerinde kayda değer bir etkiye sahip olmadığı gözlenmiştir.

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Primary Language en
Subjects Economics
Journal Section Articles
Authors

Author: Mutlu Başaran ÖZTÜRK
Country: Turkey


Author: Mustafa UYSAL

Author: Halil ARSLAN

Author: Temur KAYHAN

Bibtex @research article { ohuiibf381031, journal = {Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi}, issn = {2564-6931}, address = {Ömer Halisdemir Üniversitesi}, year = {2018}, volume = {11}, pages = {221 - 238}, doi = {10.25287/ohuiibf.381031}, title = {THE IMPACT OF CALENDAR ANOMALIES ON STOCK RETURN AND VOLATILITY: EVIDENCE FROM TURKISH STOCK MARKET}, key = {cite}, author = {ÖZTÜRK, Mutlu Başaran and UYSAL, Mustafa and ARSLAN, Halil and KAYHAN, Temur} }
APA ÖZTÜRK, M , UYSAL, M , ARSLAN, H , KAYHAN, T . (2018). THE IMPACT OF CALENDAR ANOMALIES ON STOCK RETURN AND VOLATILITY: EVIDENCE FROM TURKISH STOCK MARKET. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 11 (1), 221-238. DOI: 10.25287/ohuiibf.381031
MLA ÖZTÜRK, M , UYSAL, M , ARSLAN, H , KAYHAN, T . "THE IMPACT OF CALENDAR ANOMALIES ON STOCK RETURN AND VOLATILITY: EVIDENCE FROM TURKISH STOCK MARKET". Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 11 (2018): 221-238 <http://dergipark.org.tr/ohuiibf/issue/35200/381031>
Chicago ÖZTÜRK, M , UYSAL, M , ARSLAN, H , KAYHAN, T . "THE IMPACT OF CALENDAR ANOMALIES ON STOCK RETURN AND VOLATILITY: EVIDENCE FROM TURKISH STOCK MARKET". Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 11 (2018): 221-238
RIS TY - JOUR T1 - THE IMPACT OF CALENDAR ANOMALIES ON STOCK RETURN AND VOLATILITY: EVIDENCE FROM TURKISH STOCK MARKET AU - Mutlu Başaran ÖZTÜRK , Mustafa UYSAL , Halil ARSLAN , Temur KAYHAN Y1 - 2018 PY - 2018 N1 - doi: 10.25287/ohuiibf.381031 DO - 10.25287/ohuiibf.381031 T2 - Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi JF - Journal JO - JOR SP - 221 EP - 238 VL - 11 IS - 1 SN - 2564-6931- M3 - doi: 10.25287/ohuiibf.381031 UR - https://doi.org/10.25287/ohuiibf.381031 Y2 - 2018 ER -
EndNote %0 ACADEMIC REVIEW OF ECONOMICS AND ADMINISTRATIVE SCIENCES THE IMPACT OF CALENDAR ANOMALIES ON STOCK RETURN AND VOLATILITY: EVIDENCE FROM TURKISH STOCK MARKET %A Mutlu Başaran ÖZTÜRK , Mustafa UYSAL , Halil ARSLAN , Temur KAYHAN %T THE IMPACT OF CALENDAR ANOMALIES ON STOCK RETURN AND VOLATILITY: EVIDENCE FROM TURKISH STOCK MARKET %D 2018 %J Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi %P 2564-6931- %V 11 %N 1 %R doi: 10.25287/ohuiibf.381031 %U 10.25287/ohuiibf.381031
ISNAD ÖZTÜRK, Mutlu Başaran , UYSAL, Mustafa , ARSLAN, Halil , KAYHAN, Temur . "THE IMPACT OF CALENDAR ANOMALIES ON STOCK RETURN AND VOLATILITY: EVIDENCE FROM TURKISH STOCK MARKET". Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 11 / 1 (February 2018): 221-238. https://doi.org/10.25287/ohuiibf.381031