GELİŞMEKTE OLAN ÜLKELERDE AYIN GÜN ETKİSİ

Öz

The aim of this study is to test the existence of day of the month effect at Istanbul, Bovespa, Merval , Shanghai and Sensex stock markets whether investors have chance to benefit from these abnormal returns. In the study, emerging markets from Asia-Pacific and America are chosen and results are compared to Turkish stock index. Daily percentage returns of each market are calculated starting from the first transaction day to the December 31, 2012. 31 hypotheses for each of five markets are tested by using Z statistics. Results show that positive and negative abnormal returns exist at all of the five stock markets.

Anahtar Kelimeler

• Abnormal Return, Anomaly, Emerging Market Index

GELİŞMEKTE OLAN ÜLKELERDE AYIN GÜN ETKİSİ

Öz

Bu çalışmanın amacı İstanbul, Bovespa, Merval, Shanghai ve Sensex hisse senedi piyasalarında ayin gün etkisinin varlığını ve yatırımcıların bu yüksek getirilerden fayda sağlama şansının olup olmadığını araştırmaktır. Çalışmada Asya – Pasifik’ ten ve Amerika’ dan gelişmekte olan piyasalar seçilmiş ve sonuçlar Türk hisse senedi endeksi ile karşılaştırılmıştır. Her piyasaya ait günlük getiriler, endekslerin işlem görmeye başladığı tarihten 31 Aralık 2012 tarihine kadar hesaplanmıştır. Beş endekse ait 31 hipotez Z istatistiği kullanılarak test edilmiştir. Bulgular beş hisse senedi piyasasında da negatif ve pozitif normal olmayan getirilerin varlığını göstermektedir.

Anahtar Kelimeler

• Normal Olmayan Getiri, Anomali, Gelisen Piyasa Endeksi

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