Halloween Etkisinin İstanbul Menkul Kıymetler Borsasında Geçerliliğinin Testi

Yıl 2013, Cilt: 1 Sayı: 1, 21 - 30, 01.01.2013

Veli Yılancı

Öz

Bu çalışmada, Kasım-Nisan döneminde gerçekleşen hisse senedi getirilerinin Mayıs-Ekim döneminde gerçekleşen getirilere göre daha yüksek olduğunu ifade eden ve ilk kez Bouman ve Jacobsen 2002 tarafından incelenen Halloween etkisinin varlığı Ocak 1990-Aralık 2010 dönemi için İstanbul Menkul Kıymetler Borsası’nda İMKB en küçük kareler yönteminin yanı sıra aykırı değerlere karşı güçlü tahminciler veren Huber’in M-tahminci tekniğiyle araştırılmıştır. Elde edilen sonuçlar İMKB’de Halloween etkisinin olmadığını, Bouman ve Jacobsen 2002 tarafından İMKB’de bulunan etkinin esas sebebinin aykırı değerler olduğunu göstermektedir.

Anahtar Kelimeler

Halloween Etkisi, Ocak Ayı Etkisi, Aykırı Değer, Etkin Piyasa

The Validity of the Halloween Effect in the Istanbul Stock Exchange

Öz

In this study, we analyze the validity of Halloween effect in Istanbul Stock Exchange ISE between January 1990 - December 2010 which implies stock returns are lower during the May-October period versus the November-April period. As well as the Least Squares Method, we use Huber’s M-estimator which is a robust estimator against to outliers, and conclude that there is no Halloween effect in the ISE which shows the finding of Bouman and Jacobsen 2002 is due to disregarding outliers

Anahtar Kelimeler

Halloween effect, January effect, outlier, market efficiency

Kaynakça

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