Türkiye İslami Piyasalarında Ramazan Ayı Etkisi

Yıl 2018, , 707 - 712, 13.04.2018

Erkan Alsu Ahmet Taşdemir , Hatice Kübra Özyurt

https://doi.org/10.18506/anemon.347913

Öz

Bu
çalışma kapsamında Ramazan ayının Türkiye İslami piyasalar üzerindeki etkisi
incelenecektir. Türkiye İslami piyasalarını temsilen BİST tarafından hesaplanan
Katılım 30 (KAT30) endeksi, ele alınmış ve bu endekse ait 17 Şubat 2011 ile 30
Aralık 2016 tarihleri arasındaki döneme ilişkin günlük getiriler
kullanılmıştır. Çalışma da Ramazan Ayı on günlük dilimlere ayrılarak üç kukla
değişken oluşturulmuş ve oluşturulan bu kukla değişkenlerin modeldeki etkisi
incelenmiştir. Çalışmada 3 EGARCH modeli kurulmuştur; birinci modelde kukla
değişkenler ortalama denklemine, ikinci modelde varyans denklemine, üçüncü
modelde ise ortalama ve varyans denklemine eklenmiştir. Çalışma neticesinde,
elde edilen bulguların Türkiye İslami piyasalarında Ramazan ayı etkisinin
varlığını işaret ettiği görülmüştür.

Anahtar Kelimeler

Etkin Piyasa Hipotezi, Dini Günler Anomalisi, Ramazan Ayı Etkisi, İslami Finans, Katılım 30

The Effect of the Month of Ramadan in Turkish Islamic Markets

Öz

Within the scope of this study, the effect of
the month of Ramadan on the Turkish Islamic markets will be scrutinized.
Participation 30 (KAT30) index, which is calculated by BIST representing the
Islamic markets of Turkey, was taken into account and the daily returns for
this index between the dates of 17 February 2011 and 30 December 2016 were
used. In this study, three dummy variables were generated by dividing the month
of Ramadan into ten days and the effect of these dummy variables on modeling
was investigated. In the study, 3 EGARCH model was set up; dummy variables in
the first model are added to the mean equation, to the variance equation in the
second model, and both the mean and variance equation in the third model. As a
result of the study, it was observed that the findings obtained indicated the
presence of Ramadan effect in Turkish Islamic markets.   

Anahtar Kelimeler

Effective Market Hypothesis, Religious Days Anomaly, Effect of the month of Ramadan, Islamic Finance, Participation 30

Kaynakça

• Referans 1 Akrami, H., Garkaz, M. And Mehzarin, A. (2012). “The Effect Of Ramadhan Month On Stocks Abnormak Return of The Companies Accepted in Tehran Stock Exchange”, Economics and Financial Review, 2(5), 45-51.
• Referans 2 Al-Ississ, M. (2010). ''The Impact of Religious Experience on Financial Markets''. Working Paper. Harvard Kennedy School Of Government.
• Referans 3 Almudhaf, F. (2012). “The İslamic Calender Effects: Evidence From Twelve Stock Markets”, International Research Journal of Finance And Economics, 87, 185-191.
• Referans 4 Alper, C. Emre And Aruoba, S. Boragan.(2001) "Deseasonalizing Macroeconomic Data: A Caveat to Applied Researchers In Turkey." Istanbul Stock Exchange Review 5.18: 33-52.
• Referans 5 Dağlı, H., & Arslantürk Çöllü, D. (2016). ''Stock Return Anomalies: Evıdence From Borsa Istanbul'', Journal Of International Social Research, 9(47).
• Referans 6 Fama, E. F. (1965). ''The Behavior of Stock-Market Prices'', The Journal of Business, 38(1), 34-105.
• Referans 7 Fama, E. F.(1970).'' Efficient Capital Markets: A Review of Theory and Empirical Work'', Journal of Finance 25, 383-417
• Referans 8 Halari, A., Tantisantiwong, N., Power, D. M. And Helliar, C. (2015). “Islamic Calendar Anomalies: Evidence From Pakistani Firm-Level Data”, The Quarterly Review of Economics and Finance, 58. 64-73.
• Referans 9 Khalid, M. (2008). "The Islamic Calendar Effect On Karachi Stock Market." 8th International Business Research Conference.
• Referans 10 Küçüksille, E., And Ozmutaf Nezih M. (2015) "Is There Ramadan Effect in Turkish Stock Market?." Uluslararası Alanya İşletme Fakültesi Dergisi, 7.3
• Referans 11 Majeed, U., Raheman, A., Sohail, M. K., Bhatti, G. A. And Zulfiqar, B. (2015). “Islamic Calender Events and Stock Market Reaction: Evidence From Pakistan”, Science International(Lahora), 27(3), 2559-2567.
• Referans 12 MacKinnon, J. G. (1991). ''Critical Values for Cointegration Tests'', Chapter 13 in Long-run Economic Relationships: Readings in Cointegration, EdRF Engle and CWJ Granger.
• Referans 13 Mitchell, M.C., Rafi, M.I.M.R., Severe, S. And Kappen, J. A. (2014). “Conventional Vs. İslamic Finance: The Impact Of Ramadan Upon Sharia-Comliant Markets”, Organizations and Markets In Emerging Economies, 1(9), 105-124.
• Referans 14 Muazzam A., Shakeel A., and Khan A.(2015). “Impact Of Islamic Events On Stock Market: Evidence From Karachi Stock Exchange Of Pakistan”, American Journal Of Sevice Science And Management, 2(6), 63-66.
• Referans 15 Ramezani, A. (2013). “Studying Impact of Ramadan on Stock Exchange Index: Case of Iran.” World of Science Journal 46-54.
• Referans 16 Seyyed, F., Abraham, A., And Al-Hajji, M. (2005). “Seasonality in Stock Returns and Volatility: The Ramadan Effect.” Research in International Business and Finance 19(3): 374-383.