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Borsa İstanbul ve Haftanın Günü Etkisi: Getiri ve Volatilite Analizi

Yıl 2023, Cilt: 18 Sayı: 71, 277 - 292, 31.07.2023

Nurhan Hande Sevgi

Öz

Haftanın günü etkisi üzerine çeşitli teoriler geliştirilmiştir. Genellikle Pazartesi Etkisi olarak adlandırılan bu durum Pazartesi günleri düşük veya negatif getirilerin haftanın diğer günlerinde ise ortalamanın üzerinde getirilerin görülmesi durumunu tanımlar. Bu çalışmada haftanın günü etkisi BİST 100 endeksini de kapsayan dokuz Borsa İstanbul endeksi için hem getiride hem de volatilitede 2.01.1997 ve 1.06.2023 dönemi için incelemektedir. Çalışmada koşullu varyans modellemesinde GARCH(1,1) spesifikasyonu kullanışmış, Pazartesi günlerinin Cuma günlerine göre daha düşük getiri beklentisinin dokuz endeks için olan gözlemlerde literatür ile paralel bir şekilde Pazartesi günü volatilitesinin Cuma günlerine göre yüksek olduğu gözlenmiştir.

Anahtar Kelimeler

Haftanın Günü Etkisi Borsa İstanbul Getiri Volatilite

Kaynakça

  • Al-Loughani, N. ve Chappell, D. (2001). Modelling the Day of the Week Effect in Kuwait Stock Exchange: A Non-Linear GARCH Representation. Applied Financial Economics, 11(4), 353-359.
  • Al-Rjoub, S. (2004). The Daily Return Pattern in the Amman Stock Exchange and the Weekend Effect. Journal of Economic Cooperation, 25(1), 99-114.
  • Aggarwal, R. ve Rivoli, P. (1989). Seasonal and Day of the Week Effects in Four Emerging Stock Markets. Financial Review, 24(4), 541-550.
  • Ariel, R. A. (1987). A Monthly Effect in Stock Returns. Journal of Financial Economics, 18(1), 161-174.
  • Arman, A. ve Lestari, D. A. (2019). Testing the Monday Effect in the Banking Sector in Indonesia Stock Exchange. In 3rd International Conference on Accounting, Management and Economics 2018, Atlantis Press, 95-100.
  • Aslam, F., Memon, B. A. ve Mughal, K. S. (2020). Risk-Adjusted and Bonferroni-Adjusted Seasonality in Emerging Asian Stock Markets. Economic Journal of Emerging Markets, 12(1), 80-92.
  • Aygün, D. F. ve Altay, E. (2023). Borsa İstanbul’da Takvim Anomalilerinin Varlığının Zaman İçindeki Gelişiminin Analizi. İstanbul Gelişim Üniversitesi Sosyal Bilimler Dergisi, 10(1), 33-72.
  • Berument, H. ve Kiymaz, H. (2001). The Day of the Week Effect on Stock Market Volatility. Journal of Economics ve Finance, 25(2), 181-193.
  • Bollerslev, T. ve Wooldridge, J. M. (1992). Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time-Varying Covariances. Econometric Reviews, 11(2), 143-172.
  • Campbell, J. Y. ve Hentschel, L. (1992). No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns. Journal of Financial Economics, 31(3), 281-318.
  • Chan, H. L. ve Woo, K. Y. (2012). Day of the Week Effect on the Return and Conditional Variance of the H-shares index in Hong Kong. Applied Economics Letters, 19(3), 243-249.
  • Chiah, M. ve Zhong, A. (2021). Tuesday Blues ve the Day of the Week Effect in Stock Returns. Journal of Banking ve Finance, 133(2021), 106243.
  • Cross, F. (1973). The Behavior of Stock Prices on Fridays ve Mondays. Financial Analysts Journal, 29(6), 67-69.
  • Dai, P. F., Xiong, X., Liu, Z., Huynh, T. L. D. ve Sun, J. (2021). Preventing Crash in Stock Market: The Role of Economic Policy Uncertainty During COVID-19. Financial Innovation, 7, 1-15.
  • Demirer, R. ve Karan, M. B. (2002). An Investigation of the Day of the Week Effect on Stock Returns in Turkey. Emerging Markets Finance and Trade, 38(6), 47-77.
  • Draper, P. ve Paudyal, K. (2002). Explaining Monday Returns. Journal of Financial Research, 25(4), 507-520. Drogalas, G., Athianos, S., Bakas, G. ve George, E. (2007). Seasonalities in Stock Markets: The Day of the Week Effect. Paper presented at MIBES 2007 International Conference, Larissa, Greece.
  • Dubois, M. ve Louvet, P. (1996). The Day of the Week Effect: The International Evidence. Journal of Banking ve Finance, 20(9), 1463-1484.
  • Du Toit, E., Hall, J. H. ve Pradhan, R. P. (2018). The Day of the Week Effect: South African Stock Market Indices. African Journal of Economic ve Management Studies, 9(2), 197-212.
  • French, K. R. (1980). Stock Returns ve the Weekend Effect. Journal of Financial Economics, 8(1), 55-69.
  • French, K. R. ve Roll, R. (1986). Stock Return Variances: The Arrival of Information AND the Reaction of Traders. Journal of Financial Economics, 17(1), 5-26.
  • French, K. R., Schwert, G. W. ve Stambaugh, R. F. (1987). Expected Stock Returns and Volatility. Journal of Financial Economics, 19(1), 3-29.
  • Gayaker, S., Yalcin, Y. ve Berument, M. H. (2020). The Day of the Week Effect and Interest Rates. Borsa Istanbul Review, 20(1), 55-63.
  • Gbeda, J. M. ve Peprah, J. A. (2018). Day of the Week Effect and Stock Market Volatility in Ghana ve Nairobi Stock Exchanges. Journal of Economics ve Finance, 42, 727-745.
  • Gibbons, M.R. ve Hess, P. (1981). Day of the Week Effects and Asset Returns. Journal of Business, 54(4), 579-596.
  • Glosten, L. R., Jagannathan, R. ve Runkle, D. E. (1993). On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. The Journal of Finance, 48(5), 1779-1801.
  • Hamilton, J. D. (1994). Time Series Analysis. Princeton University Press, New Jersey.
  • Harvey, C. R. and Siddique, A. (1999). Autoregressive Conditional Skewness. Journal of Financial and Quantitative Analysis, 34(4), 465-487.
  • Kamara, A. (1997). New Evidence on the Monday Seasonal in Stock Returns. Journal of Business, 70(1), 63-84.
  • Kamstra, M. J., Kramer, L. A. ve Levi, M. D. (2003). Winter Blues: A Sad Stock Market Cycle. American Economic Review, 93(1), 324-343.
  • Karcıoğlu, R. ve Özer, N. (2017). BİST'de Haftanın Günü ve Tatil Etkisi Anomalilerinin Getiri ve Oynaklık Üzerindeki Etkisinin İncelenmesi. Karadeniz Teknik Üniversitesi Sosyal Bilimler Enstitüsü Sosyal Bilimler Dergisi, 7(14), 457-483.
  • Khan, B., Aqil, M., Alam Kazmi, S. H. ve Zaman, S. I. (2023). Day of the Week Effect and Market Liquidity: A Comparative Study from Emerging Stock Markets of Asia. International Journal of Finance & Economics, 28(1), 544-561.
  • Kiymaz, H. ve Berument, H. (2003). The Day of the Week Effect on Stock Market Volatility and Volume: International Evidence. Review of Financial Economics, 12(4), 363-380.
  • Lakonishok, J. ve Levi, M. (1982). Weekend Effects on Stock Returns: A Note. The Journal of Finance, 37(3), 883-889.
  • Lakonishok, J. ve Smidt, S. (1988). Are Seasonal Anomalies Real? A Ninety-Year Perspective. The Review of Financial Studies, 1(4), 403-425.
  • LeRoy, S. F. ve Porter, R. D. (1981). The Present-Value Relation: Tests Based on Implied Variance Bounds. Econometrica: Journal of the Econometric Society, 49(3), 555-574.
  • Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica: Journal of the Econometric Society, 59(2), 347-370.
  • Paital, R. R.ve Panda, A. K. (2018). Day of the Week and Weekend Effect in the Indian Stock Market. Theoretical Economics Letters, 8(11), 2559.
  • Plastun, A., Sıbande, X., Gupta, R. ve Wohar, M. E. (2019). Rise and Fall of Calendar Anomalies Over a Century. North American Journal of Economics and Finance, 49, 181-205.
  • Saeed, S. (2017). Day of Week Effects in Asian Emerging Stock Markets: A Comparative Study. NUML International Journal of Business ve Management, 12(1), 28-44.
  • Sahoo, M. (2021). COVID‐19 Impact on Stock Market: Evidence from the Indian Stock Market. Journal of Public Affairs, 21(4), 2621.
  • Shiller, R. J. (1981). Alternative Tests of Rational Expectations Models: The Case of the Term Structure. Journal of Econometrics, 16(1), 71-87.
  • Solnik, B. ve Bousquet, L. (1990). Day of the Week Effect on the Paris Bourse. Journal of Banking ve Finance, 14(2-3), 461-468.
  • Yılmaz, C. (2023). Borsa İstanbul’da Pazartesi Sendromu: Getiri, İşlem Hacmi ve Kamuyu Aydınlatma Platformu Bildirimleri Çerçevesinde Bir İnceleme. Uluslararası Muhasebe ve Finans Araştırmaları Dergisi, 4(2), 154-184.

Borsa İstanbul and the Day of the Week Effect: Return and Volatility Analysis

Yıl 2023, Cilt: 18 Sayı: 71, 277 - 292, 31.07.2023

Nurhan Hande Sevgi

Öz

Various theories have been developed on the day of the week effect. This situation, which is often called the Monday Effect, describes the situation where low or negative returns are seen on Mondays and above-average returns are seen on other days of the week. In this study, the effect of the day of the week is examined for both the return and volatility for the period of 2.01.1997 and 1.06.2023 for nine Borsa İstanbul indices, including the BIST 100 index. In the study, the GARCH(1,1) specification was used in the conditional variance modeling, and it was observed that the volatility on Mondays is higher than on Fridays, in line with the literature, in the observations for nine indices with a lower return expectation on Mondays than on Fridays.

Anahtar Kelimeler

Day of the Week Effect Borsa İstanbul Return Volatility

Kaynakça

  • Al-Loughani, N. ve Chappell, D. (2001). Modelling the Day of the Week Effect in Kuwait Stock Exchange: A Non-Linear GARCH Representation. Applied Financial Economics, 11(4), 353-359.
  • Al-Rjoub, S. (2004). The Daily Return Pattern in the Amman Stock Exchange and the Weekend Effect. Journal of Economic Cooperation, 25(1), 99-114.
  • Aggarwal, R. ve Rivoli, P. (1989). Seasonal and Day of the Week Effects in Four Emerging Stock Markets. Financial Review, 24(4), 541-550.
  • Ariel, R. A. (1987). A Monthly Effect in Stock Returns. Journal of Financial Economics, 18(1), 161-174.
  • Arman, A. ve Lestari, D. A. (2019). Testing the Monday Effect in the Banking Sector in Indonesia Stock Exchange. In 3rd International Conference on Accounting, Management and Economics 2018, Atlantis Press, 95-100.
  • Aslam, F., Memon, B. A. ve Mughal, K. S. (2020). Risk-Adjusted and Bonferroni-Adjusted Seasonality in Emerging Asian Stock Markets. Economic Journal of Emerging Markets, 12(1), 80-92.
  • Aygün, D. F. ve Altay, E. (2023). Borsa İstanbul’da Takvim Anomalilerinin Varlığının Zaman İçindeki Gelişiminin Analizi. İstanbul Gelişim Üniversitesi Sosyal Bilimler Dergisi, 10(1), 33-72.
  • Berument, H. ve Kiymaz, H. (2001). The Day of the Week Effect on Stock Market Volatility. Journal of Economics ve Finance, 25(2), 181-193.
  • Bollerslev, T. ve Wooldridge, J. M. (1992). Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time-Varying Covariances. Econometric Reviews, 11(2), 143-172.
  • Campbell, J. Y. ve Hentschel, L. (1992). No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns. Journal of Financial Economics, 31(3), 281-318.
  • Chan, H. L. ve Woo, K. Y. (2012). Day of the Week Effect on the Return and Conditional Variance of the H-shares index in Hong Kong. Applied Economics Letters, 19(3), 243-249.
  • Chiah, M. ve Zhong, A. (2021). Tuesday Blues ve the Day of the Week Effect in Stock Returns. Journal of Banking ve Finance, 133(2021), 106243.
  • Cross, F. (1973). The Behavior of Stock Prices on Fridays ve Mondays. Financial Analysts Journal, 29(6), 67-69.
  • Dai, P. F., Xiong, X., Liu, Z., Huynh, T. L. D. ve Sun, J. (2021). Preventing Crash in Stock Market: The Role of Economic Policy Uncertainty During COVID-19. Financial Innovation, 7, 1-15.
  • Demirer, R. ve Karan, M. B. (2002). An Investigation of the Day of the Week Effect on Stock Returns in Turkey. Emerging Markets Finance and Trade, 38(6), 47-77.
  • Draper, P. ve Paudyal, K. (2002). Explaining Monday Returns. Journal of Financial Research, 25(4), 507-520. Drogalas, G., Athianos, S., Bakas, G. ve George, E. (2007). Seasonalities in Stock Markets: The Day of the Week Effect. Paper presented at MIBES 2007 International Conference, Larissa, Greece.
  • Dubois, M. ve Louvet, P. (1996). The Day of the Week Effect: The International Evidence. Journal of Banking ve Finance, 20(9), 1463-1484.
  • Du Toit, E., Hall, J. H. ve Pradhan, R. P. (2018). The Day of the Week Effect: South African Stock Market Indices. African Journal of Economic ve Management Studies, 9(2), 197-212.
  • French, K. R. (1980). Stock Returns ve the Weekend Effect. Journal of Financial Economics, 8(1), 55-69.
  • French, K. R. ve Roll, R. (1986). Stock Return Variances: The Arrival of Information AND the Reaction of Traders. Journal of Financial Economics, 17(1), 5-26.
  • French, K. R., Schwert, G. W. ve Stambaugh, R. F. (1987). Expected Stock Returns and Volatility. Journal of Financial Economics, 19(1), 3-29.
  • Gayaker, S., Yalcin, Y. ve Berument, M. H. (2020). The Day of the Week Effect and Interest Rates. Borsa Istanbul Review, 20(1), 55-63.
  • Gbeda, J. M. ve Peprah, J. A. (2018). Day of the Week Effect and Stock Market Volatility in Ghana ve Nairobi Stock Exchanges. Journal of Economics ve Finance, 42, 727-745.
  • Gibbons, M.R. ve Hess, P. (1981). Day of the Week Effects and Asset Returns. Journal of Business, 54(4), 579-596.
  • Glosten, L. R., Jagannathan, R. ve Runkle, D. E. (1993). On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. The Journal of Finance, 48(5), 1779-1801.
  • Hamilton, J. D. (1994). Time Series Analysis. Princeton University Press, New Jersey.
  • Harvey, C. R. and Siddique, A. (1999). Autoregressive Conditional Skewness. Journal of Financial and Quantitative Analysis, 34(4), 465-487.
  • Kamara, A. (1997). New Evidence on the Monday Seasonal in Stock Returns. Journal of Business, 70(1), 63-84.
  • Kamstra, M. J., Kramer, L. A. ve Levi, M. D. (2003). Winter Blues: A Sad Stock Market Cycle. American Economic Review, 93(1), 324-343.
  • Karcıoğlu, R. ve Özer, N. (2017). BİST'de Haftanın Günü ve Tatil Etkisi Anomalilerinin Getiri ve Oynaklık Üzerindeki Etkisinin İncelenmesi. Karadeniz Teknik Üniversitesi Sosyal Bilimler Enstitüsü Sosyal Bilimler Dergisi, 7(14), 457-483.
  • Khan, B., Aqil, M., Alam Kazmi, S. H. ve Zaman, S. I. (2023). Day of the Week Effect and Market Liquidity: A Comparative Study from Emerging Stock Markets of Asia. International Journal of Finance & Economics, 28(1), 544-561.
  • Kiymaz, H. ve Berument, H. (2003). The Day of the Week Effect on Stock Market Volatility and Volume: International Evidence. Review of Financial Economics, 12(4), 363-380.
  • Lakonishok, J. ve Levi, M. (1982). Weekend Effects on Stock Returns: A Note. The Journal of Finance, 37(3), 883-889.
  • Lakonishok, J. ve Smidt, S. (1988). Are Seasonal Anomalies Real? A Ninety-Year Perspective. The Review of Financial Studies, 1(4), 403-425.
  • LeRoy, S. F. ve Porter, R. D. (1981). The Present-Value Relation: Tests Based on Implied Variance Bounds. Econometrica: Journal of the Econometric Society, 49(3), 555-574.
  • Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica: Journal of the Econometric Society, 59(2), 347-370.
  • Paital, R. R.ve Panda, A. K. (2018). Day of the Week and Weekend Effect in the Indian Stock Market. Theoretical Economics Letters, 8(11), 2559.
  • Plastun, A., Sıbande, X., Gupta, R. ve Wohar, M. E. (2019). Rise and Fall of Calendar Anomalies Over a Century. North American Journal of Economics and Finance, 49, 181-205.
  • Saeed, S. (2017). Day of Week Effects in Asian Emerging Stock Markets: A Comparative Study. NUML International Journal of Business ve Management, 12(1), 28-44.
  • Sahoo, M. (2021). COVID‐19 Impact on Stock Market: Evidence from the Indian Stock Market. Journal of Public Affairs, 21(4), 2621.
  • Shiller, R. J. (1981). Alternative Tests of Rational Expectations Models: The Case of the Term Structure. Journal of Econometrics, 16(1), 71-87.
  • Solnik, B. ve Bousquet, L. (1990). Day of the Week Effect on the Paris Bourse. Journal of Banking ve Finance, 14(2-3), 461-468.
  • Yılmaz, C. (2023). Borsa İstanbul’da Pazartesi Sendromu: Getiri, İşlem Hacmi ve Kamuyu Aydınlatma Platformu Bildirimleri Çerçevesinde Bir İnceleme. Uluslararası Muhasebe ve Finans Araştırmaları Dergisi, 4(2), 154-184.
Toplam 43 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Sermaye Piyasaları, Finansal Öngörü ve Modelleme
Bölüm Makaleler
Yazarlar

Nurhan Hande Sevgi 0000-0003-2347-5503

Erken Görünüm Tarihi 29 Ağustos 2023
Yayımlanma Tarihi 31 Temmuz 2023
Yayımlandığı Sayı Yıl 2023 Cilt: 18 Sayı: 71

Kaynak Göster

APA Sevgi, N. H. (2023). Borsa İstanbul ve Haftanın Günü Etkisi: Getiri ve Volatilite Analizi. Yaşar Üniversitesi E-Dergisi, 18(71), 277-292.
AMA Sevgi NH. Borsa İstanbul ve Haftanın Günü Etkisi: Getiri ve Volatilite Analizi. Yaşar Üniversitesi E-Dergisi. Temmuz 2023;18(71):277-292.
Chicago Sevgi, Nurhan Hande. “Borsa İstanbul Ve Haftanın Günü Etkisi: Getiri Ve Volatilite Analizi”. Yaşar Üniversitesi E-Dergisi 18, sy. 71 (Temmuz 2023): 277-92.
EndNote Sevgi NH (01 Temmuz 2023) Borsa İstanbul ve Haftanın Günü Etkisi: Getiri ve Volatilite Analizi. Yaşar Üniversitesi E-Dergisi 18 71 277–292.
IEEE N. H. Sevgi, “Borsa İstanbul ve Haftanın Günü Etkisi: Getiri ve Volatilite Analizi”, Yaşar Üniversitesi E-Dergisi, c. 18, sy. 71, ss. 277–292, 2023.
ISNAD Sevgi, Nurhan Hande. “Borsa İstanbul Ve Haftanın Günü Etkisi: Getiri Ve Volatilite Analizi”. Yaşar Üniversitesi E-Dergisi 18/71 (Temmuz 2023), 277-292.
JAMA Sevgi NH. Borsa İstanbul ve Haftanın Günü Etkisi: Getiri ve Volatilite Analizi. Yaşar Üniversitesi E-Dergisi. 2023;18:277–292.
MLA Sevgi, Nurhan Hande. “Borsa İstanbul Ve Haftanın Günü Etkisi: Getiri Ve Volatilite Analizi”. Yaşar Üniversitesi E-Dergisi, c. 18, sy. 71, 2023, ss. 277-92.
Vancouver Sevgi NH. Borsa İstanbul ve Haftanın Günü Etkisi: Getiri ve Volatilite Analizi. Yaşar Üniversitesi E-Dergisi. 2023;18(71):277-92.
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