S&P 500 ENDEKSİNDE TAKVİM ANOMALİSİ: MARK TWAIN (EKİM) ETKİSİ ÜZERİNE BİR İNCELEME

Öz

Çalışmada, S&P 500 endeksinde Mark Twain (Ekim Etkisi) etkisinin olup olmadığını Ocak 1927 – Aralık 2020 dönemi arasındaki getiri verileri kullanılarak incelenmiştir. Takvim etkisi literatüründe yaygın olarak yer alan Ocak ayı etkisi yerine Ekim ayı anomalisi incelenmektedir. Etkinin sınanmasında, parametrik testlerden kukla değişkenli regresyon modelleri ve Mann Whitney U testi (parametrik olmayan test) kullanılmıştır. Çalışmanın neticesinde S&P 500 endeksinde ilgili dönem için Mark Twain etkisine rastlanmamıştır ve bu bulgu Mann Whitney U testi ile teyit edilmiştir.

Anahtar Kelimeler

• Takvimsel Anomaliler
• Etkin Piyasalar Hipotezi
• Mark Twain Etkisi
• Ekim Etkisi
• S&P 500 Endeksi

THE CALENDAR ANOMALY IN THE S&P 500 INDEX: A STUDY ON THE MARK TWAIN (OCTOBER) EFFECT

Abstract

In the study, it is investigated whether there is a Mark Twain (October Effect) effect on the S&P 500 index using the return data between January 1927 and December 2020. Instead of the January effect, which is common in the calendar effect literature, the October month anomaly is examined. Dummy variable regression models from parametric tests and Mann Whitney U test (nonparametric test) were used to test the effect. As a result, no Mark Twain effect was found for the relevant period in the S&P 500 index, and this finding was confirmed by the Mann Whitney U test.

Keywords

• Market Efficiency
• Calendar Anomalies
• Efficient Markets Hypothesis
• Mark Twain Effect
• October Effect
• S&P 500 Index

Kaynakça

1. Agrawal, A. ve Tandon, K. (1994). Anomalies or illusions? Evidence from stock markets in eighteen countries. Journal of International Money and Finance, 13(1), 83-106.
2. Akbalık, M. ve Özkan, N. (2016). Haftanın günü etki̇si̇ : Bist 30 endeksi̇ payları üzerine bi̇r araştırma. Finansal Araştırmalar Ve Çalışmalar Dergisi, 8(14), 1.
3. Ariel, R. (1987). A monthly effect on stock returns, Journal of Financial Economics, 18, 161-174.
4. Balaban, E. (1995). January effect, yes! What about mark twain effect. TheCentral Bank of The Republic of Turkey Research, Discussion Paper No: 9509.
5. Bouman, S. ve Jacobsen, B. (2002). The halloween indicator, "sell in May and go away": Another Puzzle. The American Economic Review, 92(5), 1618-1635.
6. Cadsby, C.B. (1988), The CAPM and the calendar: A systematic treatment of empirical anomalies, University of Guelph, Discussion Paper 1988–9.
7. Cadsby, C.B. (1988). Canadian calendar anomalies and the capital asset pricing model, University of Guelph, Working Papers 1988-12.
8. Cadsby, C.B. ve F. Tapon, (1987). Risk and return on the Toronto Stock Exchange: January versus the rest of the year, University of Guelph, Discussion Paper 1987–1.

9. Çinko, M. (2008). İstanbul Menkul Kıymetler Borsasında Ocak ayı etkisi. Doğuş Üniversitesi Dergisi, 9(1), 47-54.
10. Davidsson, M. (2006). Stock market anomalies : a literature review and estimation of calendar affects on the S&P 500 index (Yüksek Lisans Tezi). Jönköping International Business School, Jönköping.
11. Dimson, E. ve Marsh, P. (1999). Murphy's law and market anomalies. The Journal of Portfolio Management, 25(2), 53-69.
12. Dzhabarov, C. ve Ziemba, W. (2010). Do seasonal anomalies still work?. Journal of Portfolio Management, 36(3), 93-104.
13. Fama, E. (1965). The behaviour of stock market prices, Journal of Business, 38(1), 34-105.
14. Fama, E. (1997). Market efficiency, long-term returns and behavioral finance, Journal of Financial Economics, 49, 283-306.
15. Freund, J. ve G. A. Simon, (1997) Modern Elementary Statistics, Prentice-Hall International Inc, 9. Edition, 571.
16. Gu, A. Y. (2003). The declining January effect: evidences from the US equity markets. The Quarterly Review of Economics, 43(2), 395- 404.
17. Guimaraes, R.M.C. Kingsman, B. G. ve Taylor, S.J. (1989). A reappraisal of the efficiency of financial markets. Berlin: Springer-Verlag.
18. Gultekin, M.N. ve N.B.Gultekin, (1983), Stock market seasonality: international evidence, Journal of Financial Economics, 12, 469–81.
19. Jacobsen, B. ve Visaltanachoti, N. (2006). The Halloween effect in US sectors. Financial Review, 44, 437-459.
20. Jones, C. ve Lundstrum, L. (2009). Is sell in May and go away a valid strategy for U.S. equity allocation? Journal of Wealth Management, 12(3), 104-112
21. Kasuya, E. (2001). Mann Whitney U test when variances are unequal. Animal Behavior, 61(6), 1247-1249.
22. Lakonishok, J. ve Smidt, S. (1988). Are seasonal anomalies real? A ninety-year perspective. The review of Financial Studies, 1(4), 403-425.
23. Mann, H. B. ve Whitney, D. R. (1947). On a test of whether one of two random variables is stochastically larger than the other. Annals of Mathematical Statistics, 18, 50-60.
24. Marquering, W., Nisser, J., ve Valla, T. (2006). Disappearing anomalies: A dynamic analysis of the persistence of anomalies. Applied Financial Economics, 16 (4), 291– 302.
25. Mehdian, S. ve M.J. Perry (2002). Anomalies in US equity markets: A re-examination of the January effect. Applied Financial Economics, 12, 141-145.
26. Nachar, N. (2008). The Mann-Whitney U: A test for assessing whether two independent samples come from the same distribution. Tutorials in Quantitative Methods for Psychology, 4(1), 13-20.
27. Oran, J. (2019). Açıklamalı Davranışçı Finans Sözlüğü İngilizce-Türkçe, Türkçe – İngilizce. İstanbul: Çağlayan Yayınevi.
28. Özkan, N. ve Akbalık, M. (2018). Hicri takvim etkisi: Borsa İstanbul gıda-içecek, hizmetleri ve ulaştırma endekslerinde yer alan paylar üzerine bir araştırma. Journal of Yaşar University, 13(49), 9-21.
29. Patel, N. ve Sewell, M. (2015). Calendar anomalies: a survey of the literature. International Journal of Behavioural Accounting and Finance, 5(2), 99-121.
30. Plastun, O., Sibande, X., Gupta, R., ve Wohar, M. E. (2019). Historical evolution of monthly anomalies in international stock markets. SSRN Electronic Journal, 1-42.
31. Plastun, O., Sibande, X., Gupta, R., ve Wohar, M. E. (2019). Rise and fall of calendar anomalies over a century. SSRN Electronic Journal, 1-44.
32. Santa, C. ve Valkanov, R. (2003). The presidential puzzle: political cycles and the stock market, Journal of Finance, 58, 1841-1872.
33. Szakmary, A. C. ve Kiefer, D. B. (2004). The disappearing January/turn of the year effect: evidence from stock index futures and cash markets. Journal of Futures Markets, 24, 755-784.
34. Thaler, R.H. (1987). Seasonal movements in security prices II: weekend, holiday, turn of the month, and intraday effects, Journal of Economic Perspectives Fall, 1, 169–177.
35. Thaler, R.H. (1987). The January effect, Journal of Economic Perspectives Summer, 1, 197–201.
36. Twain, M. (1998). Pudd'nhead Wilson; Those extraordinary twins; The man that corrupted Hadleyburg. New York: Oxford University Press.
37. Wachtel, S.B. (1942). Certain observations on seasonal movements in stock prices, The Journal of Business, University of Chicago Press, 15, 184-193.