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

Yıl 2019, Cilt: 15 Sayı: 4, 951 - 964, 01.12.2019
https://doi.org/10.17130/ijmeb.2019456392

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

Kaynakça

  • Abdioğlu, Z., & Değirmenci, N. (2013). İstanbul Menkul Kıymetler Borsası’nda mevsimsel anomaliler. Business and Economics Research Journal, 4(3), 55-73.
  • Akel, V. (2011). Kriz dönemlerinde finansal piyasalar arasındaki volatilite yayılma etkisi. Ankara: Detay Yayıncılık.
  • Al-Hajieh, H., Redhead, K., & Rodgers, T. (2011). Investor sentiment and calendar anomaly effects: A case study of the impact of Ramadan on Islamic middle eastern markets. Research in International Business and Finance, 25, 345-356.
  • Al-Khazali, O. (2014). Revisiting fast profit investor sentiment and stock returns during Ramadan. International Review of Financial Analysis, 33, 158-170.
  • Al-Khazali, O., Bouri, E., Roubaud, D., & Zoubi, T. (2017). The impact of religious practice on stock returns and volatility. International Review of Financial Analysis, 52, 172-189.
  • Ariel, R. A. (1987 ). A monthly effect in stock returns. Journal of Financial Economics 18, 161-174.
  • Atakan, T. (2008). İstanbul Menkul Kıymetler Borsası’nda haftanın günü etkisi ve Ocak ayı anomalilerinin ARCH-GARCH modelleri ile test edilmesi. Istanbul University Journal of the School of Business Administration, 37(2), 98-110.
  • Aytekin, S., & Sakarya, Ş. (2014). Ocak ayı anomalisi: Borsa İstanbul endeksleri üzerine bir uygulama. International Journal of Management Economics and Business, 10(23), 137-155.
  • Bialkowski, J., Bohl, M., Kaufmann, P., & Wisniewski, T. (2013). Do mutual fund managers exploit the Ramadan anomaly? Evidence from Turkey. Emerging Markets Review, 15, 211-232.
  • Bialkowski, J., Etebari, A., & Wisniewski, T. (2012). Fast profits: Investor sentiment and stock returns during Ramadan. Journal of Banking & Finance, 36, 835-845.
  • Brockman, P., & Michayluk, D. (1998). The Persistent holiday effect: Additional evidence. Applied Economics Letters, 5, 205-209.
  • Cadsby, C., & Ratner, M. (1992). Turn-of-month and pre-holiday effects on stock returns: Some international evidence. Journal of Banking and Finance, 16, 497-509.
  • Cao, X., Premachandra, I., Bhabra, G., & Tang, Y. (2009). Firm size and the pre-holiday effect in New Zealand. International Research Journal of Finance and Economics, 32, 171-187.
  • Chong, R., Hudson, R., Keasey, K., & Littler, K. (2005). Pre-holiday effects: International evidence on the decline and reversal of a stock market anomaly. Journal of International Money and Finance, 24, 1226-1236.
  • Dıckey, D., & Fuller, W. A. (1979), Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427-431.
  • Diyanet İşleri Başkanlığı, (2017). Erişim Tarihi: 20.04.2017, http://www2.diyanet.gov.tr/ DinHizmetleriGenelMudurlugu/Sayfalar/HicridenMiladiye.aspx
  • Eyüboğlu, K., & Eyüboğlu, S. (2017). Hicri takvim etkisinin BİST sektör endekslerinde test edilmesi. AİBÜ Sosyal Bilimler Enstitüsü Dergisi, 17(1), 133-147.
  • Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.
  • Fan, Y.J., & Lai, H.N. (2006). The intraday effect and the extension of trading hours for Taiwanese securities. International Review of Financial Analysis, 15, 328-347.
  • Fields, M. (1931). Stock prices: A problem in verification. The Journal of Business of the University of Chicago, 4(4), 415-418.
  • Gavriilidis, K., Kallinterakis, V., & Tsalavoutas, I. (2016). Investor mood, herding and the Ramadan effect. Journal of Economic Behavior & Organization, 132, 23-38.
  • Granger, C., & Newbold, P. (1974). Spurious regressions in econometrics. Journal of Econometrics, 2, 111-120.
  • Gupta, R., & Basu, P. (2011). Weak form efficiency in Indian stock markets. International Business & Economics Research Journal, 6(3), 57-64.
  • Hassan, H., Kayser, S., & McMillan, D. (2019). Ramadan effect on stock market return and trade volume: Evidence from Dhaka Stock Exchange (DSE). Cogent Economics & Finance, 7(1), 1-10.
  • Haug, M., & Hirschey, M. (2006). The January effect. Financial Analysts Journal, 62(5), 78-88.
  • Husain, F. (1998). A seasonality in the Pakistani equity market: The Ramadhan effect. The Pakistan Development Review, 37(1), 77-81.
  • Hussin, B. M., Ahmed, A. D., & Ying, T. C. (2010). Semi-strong form efficiency: Market reaction to dividend and earnings announcements in Malaysian Stock Exchange. IUP Journal of Applied Finance, 16(5), 36-60.
  • Iqbal, M., Kouser, R., & Azeem, M. (2013). Conventional and Islamic anomalies in Karachı Stock Exchange. Science International, 25(4), 999-1007.
  • Khan, K., Nasir, M., & Rossi, M. (2017). The calendar anomalies on performance and volatility of stock market: The effects of Ramadan on Karachi Stock Exchange. Global Business and Economic Review, 19(1), 54-69.
  • Küçüksille, E., & Özmutaf, N. (2015). Is there Ramadan effect in Turkish stock market? International Journal of Alanya Faculty of Business, 7(3), 105-110.
  • Kwıatkowskı, D., Phıllıps, P. C. B., Schmıdt, P. & Shın, Y. (1992), Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics, 54, 159-178.
  • Lai, Y., & Windawati, A. (2017). Risk, return, and liquidity during Ramadan: Evidence from Indonesian and Malaysian stock markets. Research in International Business and Finance, 1-31.
  • Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59, 347-370.
  • Oğuzsoy, C., & Güven, S. (2004). Holy days effect on Istanbul Stock Exchange. Journal of Emerging Market Finance, 3(1), 63-75.
  • Osborne, M. F. (1959). Periodic structure in the brownian motion of stock prices. Operations, 267-290.
  • Öztürk, M., Uysal, M., Arslan, H., & Kayhan, T. (2018). The impact of calendar anomalies on stock raturn and volatility: Evidence from Turkish stock market. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 11(1), 221-238.
  • Philips, P. C. B., & Perron, P. (1988), Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
  • Robertson, C., Geva, S., & Wolff, R. (2007, 03 19). The intraday effect of public ınformation: Empirical evidence of market reaction to asset specific news from the US, UK, and Australia. SSRN: https:// papers.ssrn.com/sol3/papers.cfm?abstract_id=970884 adresinden alındı
  • Rozeff, M., & Kinney, W. (1976). Capital market seasonality: The case of stock returns. Journal of Financial Economics, 3, 379-402.
  • Seyyed, F., Abraham, A., & Al-Hajji, M. (2005). Seasonality in stock returns and volatility: The Ramadan effect. Research in International Business and Finance, 19, 374-383.
  • Shah, S., & Ahmed, S. (2014). The Ramadan effect on stock market. European Academic Research, 11(1), 4712-4720.
  • Sonjaya, A., & Wahyudi, I. (2016). The Ramadan effect: Illusion or reality? Arab Economic and Business Journal, 11, 55-71.
  • Vergin, R., & McGinnis, J. (1999). Revisiting the holiday effect: Is it on holiday. Applied Financial Economics, 9, 477-482.
  • Wachtel, S. (1942). Certain observations on seasonal movements in stock prices. The Journal of Business of the University of Chicago, 15(2), 184-193.
  • Yavuz, N., Güriş, B., & Kıran, B. (2008). The month and holy days effects on the volatility of trade deficit: Evidence from Turkey. Journal of Economic and Social Research, 10(2), 67-84.

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

Yıl 2019, Cilt: 15 Sayı: 4, 951 - 964, 01.12.2019
https://doi.org/10.17130/ijmeb.2019456392

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.

Kaynakça

  • Abdioğlu, Z., & Değirmenci, N. (2013). İstanbul Menkul Kıymetler Borsası’nda mevsimsel anomaliler. Business and Economics Research Journal, 4(3), 55-73.
  • Akel, V. (2011). Kriz dönemlerinde finansal piyasalar arasındaki volatilite yayılma etkisi. Ankara: Detay Yayıncılık.
  • Al-Hajieh, H., Redhead, K., & Rodgers, T. (2011). Investor sentiment and calendar anomaly effects: A case study of the impact of Ramadan on Islamic middle eastern markets. Research in International Business and Finance, 25, 345-356.
  • Al-Khazali, O. (2014). Revisiting fast profit investor sentiment and stock returns during Ramadan. International Review of Financial Analysis, 33, 158-170.
  • Al-Khazali, O., Bouri, E., Roubaud, D., & Zoubi, T. (2017). The impact of religious practice on stock returns and volatility. International Review of Financial Analysis, 52, 172-189.
  • Ariel, R. A. (1987 ). A monthly effect in stock returns. Journal of Financial Economics 18, 161-174.
  • Atakan, T. (2008). İstanbul Menkul Kıymetler Borsası’nda haftanın günü etkisi ve Ocak ayı anomalilerinin ARCH-GARCH modelleri ile test edilmesi. Istanbul University Journal of the School of Business Administration, 37(2), 98-110.
  • Aytekin, S., & Sakarya, Ş. (2014). Ocak ayı anomalisi: Borsa İstanbul endeksleri üzerine bir uygulama. International Journal of Management Economics and Business, 10(23), 137-155.
  • Bialkowski, J., Bohl, M., Kaufmann, P., & Wisniewski, T. (2013). Do mutual fund managers exploit the Ramadan anomaly? Evidence from Turkey. Emerging Markets Review, 15, 211-232.
  • Bialkowski, J., Etebari, A., & Wisniewski, T. (2012). Fast profits: Investor sentiment and stock returns during Ramadan. Journal of Banking & Finance, 36, 835-845.
  • Brockman, P., & Michayluk, D. (1998). The Persistent holiday effect: Additional evidence. Applied Economics Letters, 5, 205-209.
  • Cadsby, C., & Ratner, M. (1992). Turn-of-month and pre-holiday effects on stock returns: Some international evidence. Journal of Banking and Finance, 16, 497-509.
  • Cao, X., Premachandra, I., Bhabra, G., & Tang, Y. (2009). Firm size and the pre-holiday effect in New Zealand. International Research Journal of Finance and Economics, 32, 171-187.
  • Chong, R., Hudson, R., Keasey, K., & Littler, K. (2005). Pre-holiday effects: International evidence on the decline and reversal of a stock market anomaly. Journal of International Money and Finance, 24, 1226-1236.
  • Dıckey, D., & Fuller, W. A. (1979), Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427-431.
  • Diyanet İşleri Başkanlığı, (2017). Erişim Tarihi: 20.04.2017, http://www2.diyanet.gov.tr/ DinHizmetleriGenelMudurlugu/Sayfalar/HicridenMiladiye.aspx
  • Eyüboğlu, K., & Eyüboğlu, S. (2017). Hicri takvim etkisinin BİST sektör endekslerinde test edilmesi. AİBÜ Sosyal Bilimler Enstitüsü Dergisi, 17(1), 133-147.
  • Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.
  • Fan, Y.J., & Lai, H.N. (2006). The intraday effect and the extension of trading hours for Taiwanese securities. International Review of Financial Analysis, 15, 328-347.
  • Fields, M. (1931). Stock prices: A problem in verification. The Journal of Business of the University of Chicago, 4(4), 415-418.
  • Gavriilidis, K., Kallinterakis, V., & Tsalavoutas, I. (2016). Investor mood, herding and the Ramadan effect. Journal of Economic Behavior & Organization, 132, 23-38.
  • Granger, C., & Newbold, P. (1974). Spurious regressions in econometrics. Journal of Econometrics, 2, 111-120.
  • Gupta, R., & Basu, P. (2011). Weak form efficiency in Indian stock markets. International Business & Economics Research Journal, 6(3), 57-64.
  • Hassan, H., Kayser, S., & McMillan, D. (2019). Ramadan effect on stock market return and trade volume: Evidence from Dhaka Stock Exchange (DSE). Cogent Economics & Finance, 7(1), 1-10.
  • Haug, M., & Hirschey, M. (2006). The January effect. Financial Analysts Journal, 62(5), 78-88.
  • Husain, F. (1998). A seasonality in the Pakistani equity market: The Ramadhan effect. The Pakistan Development Review, 37(1), 77-81.
  • Hussin, B. M., Ahmed, A. D., & Ying, T. C. (2010). Semi-strong form efficiency: Market reaction to dividend and earnings announcements in Malaysian Stock Exchange. IUP Journal of Applied Finance, 16(5), 36-60.
  • Iqbal, M., Kouser, R., & Azeem, M. (2013). Conventional and Islamic anomalies in Karachı Stock Exchange. Science International, 25(4), 999-1007.
  • Khan, K., Nasir, M., & Rossi, M. (2017). The calendar anomalies on performance and volatility of stock market: The effects of Ramadan on Karachi Stock Exchange. Global Business and Economic Review, 19(1), 54-69.
  • Küçüksille, E., & Özmutaf, N. (2015). Is there Ramadan effect in Turkish stock market? International Journal of Alanya Faculty of Business, 7(3), 105-110.
  • Kwıatkowskı, D., Phıllıps, P. C. B., Schmıdt, P. & Shın, Y. (1992), Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics, 54, 159-178.
  • Lai, Y., & Windawati, A. (2017). Risk, return, and liquidity during Ramadan: Evidence from Indonesian and Malaysian stock markets. Research in International Business and Finance, 1-31.
  • Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59, 347-370.
  • Oğuzsoy, C., & Güven, S. (2004). Holy days effect on Istanbul Stock Exchange. Journal of Emerging Market Finance, 3(1), 63-75.
  • Osborne, M. F. (1959). Periodic structure in the brownian motion of stock prices. Operations, 267-290.
  • Öztürk, M., Uysal, M., Arslan, H., & Kayhan, T. (2018). The impact of calendar anomalies on stock raturn and volatility: Evidence from Turkish stock market. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 11(1), 221-238.
  • Philips, P. C. B., & Perron, P. (1988), Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
  • Robertson, C., Geva, S., & Wolff, R. (2007, 03 19). The intraday effect of public ınformation: Empirical evidence of market reaction to asset specific news from the US, UK, and Australia. SSRN: https:// papers.ssrn.com/sol3/papers.cfm?abstract_id=970884 adresinden alındı
  • Rozeff, M., & Kinney, W. (1976). Capital market seasonality: The case of stock returns. Journal of Financial Economics, 3, 379-402.
  • Seyyed, F., Abraham, A., & Al-Hajji, M. (2005). Seasonality in stock returns and volatility: The Ramadan effect. Research in International Business and Finance, 19, 374-383.
  • Shah, S., & Ahmed, S. (2014). The Ramadan effect on stock market. European Academic Research, 11(1), 4712-4720.
  • Sonjaya, A., & Wahyudi, I. (2016). The Ramadan effect: Illusion or reality? Arab Economic and Business Journal, 11, 55-71.
  • Vergin, R., & McGinnis, J. (1999). Revisiting the holiday effect: Is it on holiday. Applied Financial Economics, 9, 477-482.
  • Wachtel, S. (1942). Certain observations on seasonal movements in stock prices. The Journal of Business of the University of Chicago, 15(2), 184-193.
  • Yavuz, N., Güriş, B., & Kıran, B. (2008). The month and holy days effects on the volatility of trade deficit: Evidence from Turkey. Journal of Economic and Social Research, 10(2), 67-84.
Toplam 45 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Research Article
Yazarlar

Süleyman Gürbüz Bu kişi benim

Ahmet Şahbaz Bu kişi benim

Yayımlanma Tarihi 1 Aralık 2019
Yayımlandığı Sayı Yıl 2019 Cilt: 15 Sayı: 4

Kaynak Göster

APA Gürbüz, S., & Şahbaz, A. (2019). RAMAZAN AYI VE DİNİ BAYRAMLARIN BİST 100 ENDEKSİNE ETKİLERİ: PİYASA ANOMALİLERİNİN İNCELENMESİ. Uluslararası Yönetim İktisat Ve İşletme Dergisi, 15(4), 951-964. https://doi.org/10.17130/ijmeb.2019456392