Yıl 2019, Cilt , Sayı 5, Sayfalar 317 - 328 2019-12-09

Benelüks Ülke Borsalarında Haftanın Günü ve Ay Dönümü Anomalilerinin Test Edilmesi
Testing the Day of the Week and Turn-of-the-Month Anomalies in Benelux Countries Stock Markets

İhsan Erdem Kayral [1]


Bu çalışmanın amacı, Benelüks ülke borsalarında 10 yıllık (01.03.2010-01.03.2019) dönemde haftanın günü ve ay dönümü anomalilerinin test edilmesidir. Getiri serilerini elde etmek için Belçika (BEL20), Hollanda (AEX) ve Lüksemburg’daki (LUXX) üç borsa endeksinin kapanış fiyatları kullanılmıştır. Borsaların getiri serilerinin diğer finansal serilere benzer şekilde heterokedastisite sorununun bulunduğu tespit edilmiştir. Bu nedenle, analiz dönemi için BEL20, AEX ve LUXX Borsa Endekslerinde haftanın beş günü ve ay dönümü kukla değişkenlerinin bulunduğu GARCH (1,1) modelleri uygulanmıştır. Çalışmamızdaki sonuçlara göre, salı gününe ait olağan üstü getiri nedeniyle yalnızca AEX Borsasında haftanın günü etkisi bulunmuştur. Bununla birlikte, herhangi bir borsada ay dönümü etkisine rastlanmamıştır.

The purpose of this study is to test the presence of the day of the week and turn-of-the-month (tom) anomalies in Benelux Countries stock markets in ten years (03.01.2010 – 03.01.2019) period. Three stock markets’ daily closing prices in Belgium (BEL20), Netherlands (AEX) and Luxembourg (LUXX) are used to obtain return series. It is found that the return series of stock markets show heteroskedasticity problem similar to other financial series. For this reason, GARCH (1,1) models with five days of the week and tom dummies are applied in BEL20, AEX and LUXX Stock Indices for the analysis period. According to our results, it is found that only AEX has the day of the week effect because of the tuesday’s abnormal returns. However, tom effect is not found any stock markets.  

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Birincil Dil tr
Konular Sosyal
Bölüm Araştırma Makaleleri
Yazarlar

Orcid: 0000-0002-8335-8619
Yazar: İhsan Erdem Kayral (Sorumlu Yazar)
Kurum: KONYA GIDA VE TARIM ÜNİVERSİTESİ, SOSYAL VE BEŞERİ BİLİMLER FAKÜLTESİ, EKONOMİ BÖLÜMÜ, EKONOMİ PR. (İNGİLİZCE)
Ülke: Turkey


Tarihler

Başvuru Tarihi : 24 Eylül 2019
Yayımlanma Tarihi : 9 Aralık 2019

APA Kayral, İ . (2019). Benelüks Ülke Borsalarında Haftanın Günü ve Ay Dönümü Anomalilerinin Test Edilmesi. IBAD Sosyal Bilimler Dergisi , (5) , 317-328 . DOI: 10.21733/ibad.623884