THE EFFECT OF RAMADAN MONTH AND RELIGIOUS HOLIDAYS ON BIST 100 INDEX: INVESTIGATION OF MARKET ANOMALIES

Öz

In this study, it was examined whether BİST 100 index showed a market anomaly during Ramadan month, Eid al-Fitr and Eid al-Adha. The daily data covered by 03/01/199427/07/2017 was used. The results show that there are not statistical changing on the return of assets during the month of Ramadan, the Eid al-Fitr and the Eid al-Adha. On the other hand, the anomalies tested by the EGARCH method have been found to have increased volatility during Ramadan month and Aid al-Fitr and no significant effect on volatility during the Eid al-Adha

Anahtar Kelimeler

• Efficient Market Hypothesis,Market Anomalies,Ramadan Month,Eid al-Fitr,Eid al-Adha

RAMAZAN AYI VE DİNİ BAYRAMLARIN BİST 100 ENDEKSİNE ETKİLERİ: PİYASA ANOMALİLERİNİN İNCELENMESİ

Öz

Bu çalışmada 03/01/1994-27/07/2017 tarihleri arasında günlük verilerle BİST 100 endeksinin Ramazan ayında, Ramazan ve Kurban bayramında piyasa anomalisi gösterip göstermediği incelenmiştir. Sonuçlar, Ramazan ayı, Ramazan bayramı ve Kurban bayramında varlık getirilerinde istatistiksel olarak bir değişiklik olmadığını göstermektedir. Diğer taraftan EGARCH yöntemiyle sınanan anomalilerde Ramazan ayı ve Ramazan bayramında volatilitenin arttığı, Kurban bayramında ise volatilite üzerinde anlamlı bir etki olmadığı tespit edilmiştir.

Anahtar Kelimeler

• Etkin Piyasa Hipotezi,Piyasa Anomalileri,Ramazan Ayı,Ramazan Bayramı,Kurban Bayramı

Kaynakça

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