HİSSE SENEDİ PİYASALARINDA GÖRÜLEN ANOMALİLER: BORSA İSTANBUL ÖRNEĞİ

Yıl 2015, Cilt: 1 Sayı: 1, 17 - 36, 01.06.2015

Hüseyin Dağlı Duygu Arslantürk Çöllü

Öz

Etkin Piyasa Hipotezi ve varlık fiyatlandırma modellerine aykırılık göstererek ortaya çıkan anomaliler son yıllarda finans literatüründe tartışılan önemli konulardan biri haline gelmiştir. Yatırımcılara normal-üstü getiriler sağlaması bakımından oldukça dikkat çeken anomaliler, farklı piyasalarda farklı değişkenler dikkate alınarak birçok araştırmaya konu edilmiştir. Ancak yapılan çalışmaların genellikle gelişmiş piyasalara yönelik olması ve ortaya çıkan sonuçların farklılık arz etmesi anomalilerin gelişmekte olan bir piyasa olarak Borsa İstanbul’da araştırılmasını gündeme getirmiştir. Bu çalışma, gelişmiş piyasalarda varlığı en iyi şekilde kanıtlanan altı anomalinin Temmuz 2001-Haziran 2012 döneminde Borsa İstanbul’da görülüp görülmediğini araştırmaktadır. Firma büyüklüğü, DD/PD oranı, momentum, tahakkuk, aktif büyümesi ve karlılık anomalilerinin dikkate alındığı çalışmada sınıflandırmalar kullanılarak getiriler ile anomaliler arasındaki ilişkiler incelenmiştir. Sınıflandırmalar, Borsa İstanbul’da altı anomaliden en yüksek etkiye sahip olanın momentum anomalisi olduğunu ve DD/PD oranı ve firma büyüklüğü anomalilerinin de piyasada görüldüğünü ortaya koymuştur. Ancak piyasa geneli için yapılan değerlendirmede tahakkuk, aktif büyümesi ve karlılık anomalilerine ilişkin anlamlı bulgulara ulaşılamamıştır. Hisse senetlerinin büyüklüklerine göre üç gruba mikro, küçük ve büyük ayrılmasından sonra momentum ve DD/PD oranı anomalilerinin tüm büyüklük gruplarında; firma büyüklüğü ve karlılık anomalilerinin ise, mikro ve küçük grupta etkili oldukları tespit edilmiştir

Anahtar Kelimeler

Anomaliler, Etkin piyasa hipotezi, Sınıflandırma

ANOMALIES in STOCK MARKETS: EVIDENCE from BORSA İSTANBUL

Öz

In recent years, one of the main issues discussed in financial literature is stock return anomalies that emerged as contrary to the Efficient Market Hypothesis and Capital Asset Pricing Model. Stock return anomalies being mostly remarkable as providing abnormal returns to the investors, has been the subject of many studies in different stock markets by being take n into account of different variables. But searching stock return anomalies have became a current issue in emerging markets like Borsa İstanbul because prior studies have generally related to developed markets and obtained results have showed a great variety. This paper investigates the presence of six well-documented anomalies in global equity markets for the Borsa İstanbul, covering the period from July 2001 to June 2012. Anomalies used in this study are firm size, book-to-market ratio, momentum, accruals, asset growth and profitability and sorts approach was used as a method. The results of sorts show that the highest significant anomaly is momentum and firm size and book-to-market ratio are also significant anomalies for the Borsa İstanbul. But accruals, asset growth and profitability anomalies are found insignifiant. After partitioning stocks into three size categories micro, small and big , we find that momentum and book to market ratio anomalies are effective in all size categories, firm size and profitability anomaly is effective in micro and small size categories

Anahtar Kelimeler

Anomalies, Efficient market hypothesis, Sorts

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