AN INVESTIGATION OF CALENDAR ANOMALIES IN ISLAMIC STOCK MARKETS: THE DAY-OF-THE-WEEK EFFECT

Öz

The aim of this study is to investigate the day-of-the-week effect of calendar anomalies on the All Country World Index (ACWI), which represents the global capital index from Morgan Stanley Capital International (MSCI) Islamic indices. For this purpose, MSCI Islamic ACWI index was analyzed by EGARCH method developed by Nelson (1991), one of the conditional heteroscedasticity models. As a result of the study, the day-of-the-week effect in the MSCI Islamic ACWI index was found only on Monday. This result also shows that there is no effect of Friday, which is considered to be more important for Muslims. Thus, it can be considered that this market deviates from the theory of Efficient Markets Hypothesis (EMH), and it is possible to obtain an extraordinary return in this market with appropriate investment timing.

Anahtar Kelimeler

• Efficient Market Hypothesis
• Behavioral Finance
• Day-of-the-Week Effect

İSLAMİ HİSSE SENEDİ PİYASALARINDA TAKVİM ANOMALİLERİNİN İNCELENMESİ: HAFTANIN GÜNÜ ETKİSİ

Öz

Bu çalışmanın amacı, Morgan Stanley Capital International (MSCI) İslami endekslerinden küresel sermaye endeksini temsil eden All Country World Index (ACWI)’te takvim anomalilerinden haftanın günü etkisinin araştırılmasıdır. Bu amaçla MSCI İslami ACWI endeksi, koşullu değişen varyans modellerinden Nelson (1991) tarafından geliştirilen EGARCH yöntemi ile analiz edilmiştir. Araştırma sonucunda MSCI İslami ACWI endeksinde haftanın günleri etkisinden sadece Pazartesi günü etkisinin varlığına ilişkin kanıtlara ulaşılmıştır. Bu sonuç aynı zamanda söz konusu İslami endekste Müslümanlar için diğer günlere göre İslami açıdan daha önemli sayılan Cuma günü etkisinin bulunmadığını da göstermektedir. Böylece bu piyasanın Etkin Piyasalar Hipotezi (EPH) kuramından saptığı, uygun yatırım zamanlamasıyla bu piyasada normal üstü bir getiri elde etmenin mümkün olduğu düşünülebilir.

Anahtar Kelimeler

• Etkin Piyasalar Hipotezi
• Davranışsal Finans
• Haftanın Günü Etkisi
• EGARCH Modeli

Teşekkür

Emekleriniz için teşekkür ederim.

Kaynakça

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