İMKB’DE HİSSE SENEDİ GETİRİLERİNİN AŞIRI TEPKİSİ ÜZERİNE AMPİRİK BİR İNCELEME

Öz

Aşırı Tepki Hipotezi’ne göre, bir dönem düşük getiri sağlayan hisse senetleri bu dönemi takip eden dönemde normalin üzerinde pozitif getiri sağlarken, yüksek getiri sağlayan hisse senetleri takip eden dönemde normalin altında negatif getiri sağlamaktadır. Günlük fiyat limiti uygulaması aşırı tepki hipotezine dayanmakta ve bu uygulama ile fiyatlarda oluşabilecek aşırı tepki sınırlanarak, ertesi gün sözkonusu olabilecek fiyat değişiminin azaltılması amaçlanmaktadır. Bu çalışmada fiyat limiti uygulamasının yapıldığı İstanbul Menkul Kıymetler Borsası'nda değinilen uygulamanın etkinliği incelenmiştir. 

Anahtar Kelimeler

• Hisse senedi,İMKB

An Empirical Investigation of the Overreaction in Stock Returns in the İstanbul Stock Exchange

Öz

Overreaction hypothesis asserts that stocks with poor performance in the previous period earn positive risk-adjusted abnormal returns in the subsequent period. In contrast, stocks that perform better in the previous period earn negative risk-adjusted abnormal returns in the subsequent period. The imposition of the daily price limits is based upon the overreaction hypothesis, and its is assumed that by means of the daily price limits the overrreaction is bounded and hence the volatility is reduced. This paper tests the efficiency of the price limits by examining the price behaviour following limit moves in the İstanbul Stock Exchange, where the price limits are in practice. 

Anahtar Kelimeler

• İstanbul Stock Exchange

Kaynakça

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