BORSA İSTANBUL’DA HAFTANIN GÜNÜ ANOMALİSİ; GARCH MODEL ANALİZİ

Yıl 2017, , 521 - 534, 01.08.2017

Mehmet Akif Öncü Aslıhan Ünal Oğuz Demirel

https://doi.org/10.17130/ijmeb.2017331332

Cited By: 1

Öz

The aim of this study is to investigate the Day of the Week Effect DWE in Borsa Istanbul BIST-100 Index. For this purpose, a dataset of closing prices of the firms was gathered from January 03.2005 to November 06.2015. The data were transformed to return series bytaking logarithmic differences, and analyzed with GARCH 1,1 Model. According to the findings, although the coefficients representing the returns of Monday and Thursday are statistically significant, the returns of the trading days of the week are equal. Consequently, for the related period, DWE was not detected in BIST-100 Index

Anahtar Kelimeler

Day of the Week Effect, GARCH Model, BIST-100 Index

THE DAY OF THE WEEK EFFECT IN BORSA ISTANBUL; A GARCH MODEL ANALYSIS

Öz

The aim of this study is to investigate the Day of the Week Effect DWE in Borsa Istanbul BIST-100 Index. For this purpose, the dataset of closing prices of the firms was gathered from 03.01.2005 to 06.11.2015. The data transformed to return series by taking logarithmic differences, and analyzed with GARCH 1,1 Model. According to the findings, although the coefficients representing the returns of Monday and Thursday are statistically significant, the returns of the trading days of the week are equal. Consequently, for the related period, DWE did not detected in BIST-100 Index.

Anahtar Kelimeler

Haftanın Günü Anomalisi, GARCH Model, BIST-100 Endeksi

Kaynakça

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