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Hava Durumu ve Ayın Evreleri Anomalilerinin BIST'de Getiri ve Oynaklığa Etkisi

Yıl 2018, Cilt: 32 Sayı: 2, 533 - 555, 11.05.2018

Öz

Bu
çalışmanın amacı, hava durumu ve ayın evreleri anomalilerinin BIST’de meydana
gelen getiri ve oynaklık üzerindeki etkilerini analiz etmektir. Çalışma
kapsamında, anomalileri ve oynaklığı incelemek için 2002-2016 tarihleri
arasında, BIST 100, BIST Mali, BIST Hizmet, BIST Sınai ve BIST Teknoloji
endekslerine ait günlük kapanış verileri ile ARCH-GARCH yöntemleri kullanılarak
analiz edilmiştir. Ayrıca, bu çalışma 2008 Küresel Kriz etkisini gösterebilmek
amacıyla kriz ve kriz harici olmak üzere iki döneme ayrılmıştır. Bu kapsamda,
02.01.2008-30.08.2009 tarihleri arası kriz dönemi olarak belirlenmiştir.
Yapılan çalışmanın sonucunda kriz ve kriz hariç dönemde ele alınan 5 endekste de
oynaklık üzerinde ayın evreleri anomalileri saptanmıştır. Getiri açısından ise
BIST Mali endeksinde kriz hariç dönemde
pozitif getiri sağlayan dolunay etkisi, kriz
döneminde ise negatif etkiye neden olan yeni ay anomalileri saptanmıştır. Hava
durumu etkisi ise getiri açısından bir anomaliye neden olmazken oynaklık
üzerinde saptanmıştır.

Kaynakça

  • Referans 1 Akhtari, M. (2011). “Reassessment of The Weather Effect: Stock Prices and Wall Street Weather”, Undergraduate Economic Review, 7(1), 19.Referans 2 Brahmana, R., Hooy, C. W., ve Ahmad, Z. (2014). “Moon Phase Effect on Investor Psychology and Stock Trading Performance”, International Journal of Social Economics, 41(3), 182-200.Referans 3 Bollerslev, T. (1986). “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 37, 307-327.Referans 4 Bollerslev, T., Chou, R. Y. ve Kroner K. F. (1992). “ARCH Modeling in Finance”, Journal of Econometrics, 52, 5-59.Referans 5 Borowski, K. (2015). “Moon Phases and Rates of Return of WIG Index on The Warsaw Stock Exchange”, International Journal of Economics and Finance, 8(8), 256-264.Referans 6 Bozkurt, İ. (2015). “Investigation of the Effects of the Moon on Stock Returns: An Empirical Application on ISE”, İktisat İşletme ve Finans, 30(352), 55-78.Referans 7 Cao, M., ve Wei, J. (2005). “Stock Market Returns: a Note on Temperature Anomaly”, Journal of Banking & Finance, 29(6), 1559-1573.Referans 8 Chakraborty, U. (2014). “Effects of Different Phases of The Lunar Month on Humans”, Biological Rhythm Research, 45(3), 383-396.Referans 9 Chandy, P.R., Haensly, P. ve Shetty, S. (2007), “Does Full or New Moon Influence Stock Markets?: a Methodological Approach”, Journal of Financial Management and Analysis, 20(1), 30-35.Referans 10 Chang, S. C., Chen, S. S., Chou, R. K., ve Lin, Y. H. (2008). “Weather and İntraday Patterns in Stock Returns and Trading Activity”. Journal of Banking & Finance, 32(9), 1754-1766.Referans 11 Demir, Y., Akçakanat, T. ve Songur, A. (2011). “Yatırımcıların Psikolojik Eğilimleri ve Yatırım Davranışları Arasındaki İlişki: İMKB Hisse Senedi Yatırımcıları Üzerine Bir Uygulama”. Gazıantep Unıversıty Journal of Socıal Scıences, 10(1), 117-145.Referans 12 Dıckey, D. A. ve Fuller, W. A. (1981). “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica: Journal of the Econometric Society, 1057-1072.Referans 13 Dichev, I. D. ve Janes, T. D. (2003).“Lunar Cycle Effects in Stock Returns”, The Journal of Private Equity, 6(4), 8-29.Referans 14 Engle, R. F. (1982). “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of the United Kingdom Inflation”, Econometrica, 50(4), 987-1007.Referans 15 Gao, Q. (2009). “Lunar phases effect in Chinese stock returns”, In Business Intelligence and Financial Engineering, BIFE'09, 682-685. Referans 16 Goetzmann, W.N. ve Zhu, N. (2003). “Rain or Shine: Where is the Weather Effect”, NBER Working Paper, 9465.Referans 17 Hammami, F., ve Abaoub, E. (2010). “Lunar phases, investor mood, and the stock market returns: evidence from the Tunisian Stock Exchange”, Global Journal of Finance and Management, 2(1), 1-18.Referans 18 Herbst, A. F. (2007). “Lunacy in the stock market—What is the evidence?”, Journal of Bioeconomics, 9(1), 1-18.Referans 19 Hirschleifer, D. (2001). “Investor Psychology and Asset Pricing”, Journal of Finance, 56(4), 1533-98. Referans 20 Hirschleifer, D. ve Shumway, T. (2003). “Good Day Sunshine: Stock Returns and The Weather”, Journal of Finance, 58, 1009-32.Referans 21 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.Referans 22 Kang, S. H., Jiang, Z., Lee, Y., ve Yoon, S. M. (2010). “Weather Effects on The Returns and Volatility of The Shanghai Stock Market”. Physica A: Statistical Mechanics and its Applications, 389(1), 91-99.Referans 23 Karataş, S. (2009). “Hava Durumu Anomalisi: İMKB Üzerine Uygulamalı Bir Çalışma.” (Yayımlanmamış Yüksek Lisans Tezi). Ankara: Hacettepe Üniversitesi Sosyal Bilimler Enstitüsü.Referans 24 Keef, S. P., ve Khaled, M. S. (2011). “Are Investors Moonstruck? Further İnternational Evidence on Lunar Phases and Stock Returns”. Journal of Empirical Finance, 18(1), 56-63.Referans 25 Küçüksille, E. (2013). “Ayın Evresi Etkisi ve IMKB'de Bir Uygulama”, Muhasebe ve Finansman Dergisi, 59,187-194.Referans 26 Lieber, A. L., ve Sherin, C. R. (1972).” Homicides and The Lunar Cycle: Toward a Theory of Lunar Influence on Human Emotional Disturbance”. American Journal of Psychiatry, 129(1), 69-74.Referans 27 Lieber, A. (1978). “Human Aggression and Lunar Synodic Cycle”, Journal of Clinical Psychiatry, 39(5), 380-392.Referans 28 Liu, S. I. ve Tseng, J. (2009). “A Bayesian Analysis of Lunar Effects on Stock Returns”, The IUP Journal of Behavioral Finance, 6(3-4), 67-83.Referans 29 Lu, J. ve Chou, R. K. (2012). “Does the weather have impacts on returns and trading activities in order-driven stock markets? Evidence from China”, Journal of Empirical Finance, 19(1), 79-93.Referans 30 Mason, T. (1997). “Seclusion and the lunar cycles”, Journal of psychosocial nursing and mental health services, 35(6), 14-18.Referans 31 Myers, D. E. (1995). “Gravitational Effects of The Period of High Tides and The New Moon on Lunacy”, The Journal of emergency medicine, 13(4), 529-532.Referans 32 Özmen, T. (1997). Dünya Borsalarında Gözlemlenen Anomaliler ve İMKB Üzerine Bir Deneme. (Yayımlanmış Doktora Tezi). Ankara: Sermaye Piyasası Kurulu Yayınları, SPK Yayın No:61.Referans 33 Perron, P. (1988). “Trends and Random Walks in Macroeconomic Time Series: Further Evidence from a New Approach”, Journal of Economic Dynamics and Control, 12(2), 297-332.Referans 34 Reschenhofer, E., ve Lingler, M. (2013). “Detecting Synchronous Cycles in Financial Time Series of Unequal Length”, Journal of Empirical Finance, 24, 1-9.Referans 35 Riva, M. A., Tremolizzo, L., Spicci, M., Ferrarese, C., De Vito, G., Cesana, G. C., ve Sironi, V. A. (2011). “The disease of the moon: the linguistic and pathological evolution of the English term “lunatic”,Journal of the History of the Neurosciences, 20(1), 65-73.Referans 36 Saunders, E., M. (1993). “Stock Prices and Wall Street Weather”, American Economic Review, 83, 1337-1345.Referans 37 Schwarz, N. ve Clore, G.L. (1983). “Mood, Misattribution, and Judgements of Well-being: Informative and Directive Functions of Affective States”, Journal of Personality and Social Psychology, 45, 513-23.Referans 38 Sevüktekin, M. ve Nargeleçekenler, M. (2006). “İstanbul Menkul Kıymetler Borsasında Getiri Volatilitesinin Modellenmesi ve Önraporlanması”, Ankara Üniversitesi SBF Dergisi, 61 (4), 243-265.Referans 39 Shiller, R. J. (1998). “Human Behavior and the Efficiency of Financial System”, NBER Working Paper, No: 6375, 1-3.Referans 40 Symeonidis, L. ve Daskalakis, G. ve Markellos, R.N. (2010). “Does the Weather Affect Stock Market Volatility?”, Finance Research Letters, 7, 214-23.Referans 41 Tasso J. ve Miller E. (1976). “Effects of Full Moon on Human-Behavior”, Journal of Psychology, 93(1), 81-83.Referans 42 Wang, Y. H., Lin, C. T ve Chen W. L. (2010). “Does Lunar Cycle Effect Exist? Lunar Phases and Stock Return Volatilities”, African Journal of Business Management, Vol. 4(18), 3892-3897.Referans 43 Wilkinson, G., Piccinelli, M., Roberts, S., Micciolo, R., ve Fry, J. (1997). “Lunar Cycle and Consultations for Anxiety and Depression in General Practice”. International journal of social psychiatry, 43(1), 29-34.Referans 44 Yoon, S. M., ve Kang, S. H. (2009). “Weather effects on returns: Evidence from the Korean stock market”, Physica A: Statistical Mechanics and its Applications, 388(5), 682-690.Referans 45 Yuan, K., Zheng, L., ve Zhu, Q. (2006). “Are Investors Moonstruck? Lunar Phases and Stock Returns”, Journal of Empirical Finance, 13(1), 1-23
Yıl 2018, Cilt: 32 Sayı: 2, 533 - 555, 11.05.2018

Öz

Kaynakça

  • Referans 1 Akhtari, M. (2011). “Reassessment of The Weather Effect: Stock Prices and Wall Street Weather”, Undergraduate Economic Review, 7(1), 19.Referans 2 Brahmana, R., Hooy, C. W., ve Ahmad, Z. (2014). “Moon Phase Effect on Investor Psychology and Stock Trading Performance”, International Journal of Social Economics, 41(3), 182-200.Referans 3 Bollerslev, T. (1986). “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 37, 307-327.Referans 4 Bollerslev, T., Chou, R. Y. ve Kroner K. F. (1992). “ARCH Modeling in Finance”, Journal of Econometrics, 52, 5-59.Referans 5 Borowski, K. (2015). “Moon Phases and Rates of Return of WIG Index on The Warsaw Stock Exchange”, International Journal of Economics and Finance, 8(8), 256-264.Referans 6 Bozkurt, İ. (2015). “Investigation of the Effects of the Moon on Stock Returns: An Empirical Application on ISE”, İktisat İşletme ve Finans, 30(352), 55-78.Referans 7 Cao, M., ve Wei, J. (2005). “Stock Market Returns: a Note on Temperature Anomaly”, Journal of Banking & Finance, 29(6), 1559-1573.Referans 8 Chakraborty, U. (2014). “Effects of Different Phases of The Lunar Month on Humans”, Biological Rhythm Research, 45(3), 383-396.Referans 9 Chandy, P.R., Haensly, P. ve Shetty, S. (2007), “Does Full or New Moon Influence Stock Markets?: a Methodological Approach”, Journal of Financial Management and Analysis, 20(1), 30-35.Referans 10 Chang, S. C., Chen, S. S., Chou, R. K., ve Lin, Y. H. (2008). “Weather and İntraday Patterns in Stock Returns and Trading Activity”. Journal of Banking & Finance, 32(9), 1754-1766.Referans 11 Demir, Y., Akçakanat, T. ve Songur, A. (2011). “Yatırımcıların Psikolojik Eğilimleri ve Yatırım Davranışları Arasındaki İlişki: İMKB Hisse Senedi Yatırımcıları Üzerine Bir Uygulama”. Gazıantep Unıversıty Journal of Socıal Scıences, 10(1), 117-145.Referans 12 Dıckey, D. A. ve Fuller, W. A. (1981). “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica: Journal of the Econometric Society, 1057-1072.Referans 13 Dichev, I. D. ve Janes, T. D. (2003).“Lunar Cycle Effects in Stock Returns”, The Journal of Private Equity, 6(4), 8-29.Referans 14 Engle, R. F. (1982). “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of the United Kingdom Inflation”, Econometrica, 50(4), 987-1007.Referans 15 Gao, Q. (2009). “Lunar phases effect in Chinese stock returns”, In Business Intelligence and Financial Engineering, BIFE'09, 682-685. Referans 16 Goetzmann, W.N. ve Zhu, N. (2003). “Rain or Shine: Where is the Weather Effect”, NBER Working Paper, 9465.Referans 17 Hammami, F., ve Abaoub, E. (2010). “Lunar phases, investor mood, and the stock market returns: evidence from the Tunisian Stock Exchange”, Global Journal of Finance and Management, 2(1), 1-18.Referans 18 Herbst, A. F. (2007). “Lunacy in the stock market—What is the evidence?”, Journal of Bioeconomics, 9(1), 1-18.Referans 19 Hirschleifer, D. (2001). “Investor Psychology and Asset Pricing”, Journal of Finance, 56(4), 1533-98. Referans 20 Hirschleifer, D. ve Shumway, T. (2003). “Good Day Sunshine: Stock Returns and The Weather”, Journal of Finance, 58, 1009-32.Referans 21 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.Referans 22 Kang, S. H., Jiang, Z., Lee, Y., ve Yoon, S. M. (2010). “Weather Effects on The Returns and Volatility of The Shanghai Stock Market”. Physica A: Statistical Mechanics and its Applications, 389(1), 91-99.Referans 23 Karataş, S. (2009). “Hava Durumu Anomalisi: İMKB Üzerine Uygulamalı Bir Çalışma.” (Yayımlanmamış Yüksek Lisans Tezi). Ankara: Hacettepe Üniversitesi Sosyal Bilimler Enstitüsü.Referans 24 Keef, S. P., ve Khaled, M. S. (2011). “Are Investors Moonstruck? Further İnternational Evidence on Lunar Phases and Stock Returns”. Journal of Empirical Finance, 18(1), 56-63.Referans 25 Küçüksille, E. (2013). “Ayın Evresi Etkisi ve IMKB'de Bir Uygulama”, Muhasebe ve Finansman Dergisi, 59,187-194.Referans 26 Lieber, A. L., ve Sherin, C. R. (1972).” Homicides and The Lunar Cycle: Toward a Theory of Lunar Influence on Human Emotional Disturbance”. American Journal of Psychiatry, 129(1), 69-74.Referans 27 Lieber, A. (1978). “Human Aggression and Lunar Synodic Cycle”, Journal of Clinical Psychiatry, 39(5), 380-392.Referans 28 Liu, S. I. ve Tseng, J. (2009). “A Bayesian Analysis of Lunar Effects on Stock Returns”, The IUP Journal of Behavioral Finance, 6(3-4), 67-83.Referans 29 Lu, J. ve Chou, R. K. (2012). “Does the weather have impacts on returns and trading activities in order-driven stock markets? Evidence from China”, Journal of Empirical Finance, 19(1), 79-93.Referans 30 Mason, T. (1997). “Seclusion and the lunar cycles”, Journal of psychosocial nursing and mental health services, 35(6), 14-18.Referans 31 Myers, D. E. (1995). “Gravitational Effects of The Period of High Tides and The New Moon on Lunacy”, The Journal of emergency medicine, 13(4), 529-532.Referans 32 Özmen, T. (1997). Dünya Borsalarında Gözlemlenen Anomaliler ve İMKB Üzerine Bir Deneme. (Yayımlanmış Doktora Tezi). Ankara: Sermaye Piyasası Kurulu Yayınları, SPK Yayın No:61.Referans 33 Perron, P. (1988). “Trends and Random Walks in Macroeconomic Time Series: Further Evidence from a New Approach”, Journal of Economic Dynamics and Control, 12(2), 297-332.Referans 34 Reschenhofer, E., ve Lingler, M. (2013). “Detecting Synchronous Cycles in Financial Time Series of Unequal Length”, Journal of Empirical Finance, 24, 1-9.Referans 35 Riva, M. A., Tremolizzo, L., Spicci, M., Ferrarese, C., De Vito, G., Cesana, G. C., ve Sironi, V. A. (2011). “The disease of the moon: the linguistic and pathological evolution of the English term “lunatic”,Journal of the History of the Neurosciences, 20(1), 65-73.Referans 36 Saunders, E., M. (1993). “Stock Prices and Wall Street Weather”, American Economic Review, 83, 1337-1345.Referans 37 Schwarz, N. ve Clore, G.L. (1983). “Mood, Misattribution, and Judgements of Well-being: Informative and Directive Functions of Affective States”, Journal of Personality and Social Psychology, 45, 513-23.Referans 38 Sevüktekin, M. ve Nargeleçekenler, M. (2006). “İstanbul Menkul Kıymetler Borsasında Getiri Volatilitesinin Modellenmesi ve Önraporlanması”, Ankara Üniversitesi SBF Dergisi, 61 (4), 243-265.Referans 39 Shiller, R. J. (1998). “Human Behavior and the Efficiency of Financial System”, NBER Working Paper, No: 6375, 1-3.Referans 40 Symeonidis, L. ve Daskalakis, G. ve Markellos, R.N. (2010). “Does the Weather Affect Stock Market Volatility?”, Finance Research Letters, 7, 214-23.Referans 41 Tasso J. ve Miller E. (1976). “Effects of Full Moon on Human-Behavior”, Journal of Psychology, 93(1), 81-83.Referans 42 Wang, Y. H., Lin, C. T ve Chen W. L. (2010). “Does Lunar Cycle Effect Exist? Lunar Phases and Stock Return Volatilities”, African Journal of Business Management, Vol. 4(18), 3892-3897.Referans 43 Wilkinson, G., Piccinelli, M., Roberts, S., Micciolo, R., ve Fry, J. (1997). “Lunar Cycle and Consultations for Anxiety and Depression in General Practice”. International journal of social psychiatry, 43(1), 29-34.Referans 44 Yoon, S. M., ve Kang, S. H. (2009). “Weather effects on returns: Evidence from the Korean stock market”, Physica A: Statistical Mechanics and its Applications, 388(5), 682-690.Referans 45 Yuan, K., Zheng, L., ve Zhu, Q. (2006). “Are Investors Moonstruck? Lunar Phases and Stock Returns”, Journal of Empirical Finance, 13(1), 1-23
Toplam 1 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Reşat Karcıoğlu 0000-0002-0903-3816

Nevin Özer 0000-0002-1736-4199

Yayımlanma Tarihi 11 Mayıs 2018
Yayımlandığı Sayı Yıl 2018 Cilt: 32 Sayı: 2

Kaynak Göster

APA Karcıoğlu, R., & Özer, N. (2018). Hava Durumu ve Ayın Evreleri Anomalilerinin BIST’de Getiri ve Oynaklığa Etkisi. Atatürk Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 32(2), 533-555.

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