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Borsa İstanbul Pay Endekslerinde Diğer Ocak, Şubat ve Ağustos Ayları Etkisi

Year 2022, Volume: 22 Issue: 4, 1047 - 1062, 28.12.2022
https://doi.org/10.18037/ausbd.1225875

Abstract

Bu çalışma, altı Borsa İstanbul Pay Endeksinde diğer Ocak, Şubat ve Ağustos ayı etkisinin varlığını araştırmaktadır. Bu kapsamda Ocak, Şubat ve Ağustos aylarında oluşan endeks getirilerinin, gelecek 11 aylık elde tutma dönemi getirilerini tahmin edip edemediği analiz edilmektedir. Analiz için endekslerin Ocak 1991 ile Ocak 2022 tarihleri arasındaki aylık fazla getiri verileri kullanılmaktadır. Elde edilen bulgulara göre, Borsa İstanbul Pay Endekslerinde diğer Ocak ve Ağustos ayı etkileri yoktur. Ancak diğer Şubat ayı etkisinin varlığına dair kanıtlar gösterilmektedir. Buna göre, ilgili endeksin Şubat ayı fazla getirisi ile Şubat ayından sonra oluşan 11 aylık elde tutma dönemi getirisi aynı yönde hareket etmektedir. Ayrıca endekslerin Şubat ayından sonraki 11 aylık elde tutma dönemi getirileri BIST 100 Endeksinin Şubat ayı fazla getirileriyle de açıklanabilmektedir. Bu bağlamda, yatırımcılar ve portföy yöneticileri piyasa öngörülerini ve yatırım stratejilerini oluşturmak için pozitif veya negatif Şubat ayı fazla getirilerini kullanabilir ve piyasada fazla getiriler elde edebilir.

References

  • Akbalık, M. ve Özkan N. (2017). Day of the week effect in the stock markets of fragile five countries after 2008 global financial crisis. Ü. Hacioğlu ve H. Dinçer (Ed.), Global financial crisis and its ramifications on capital markets: Opportunities and threats in volatile economic conditions (s. 507–518) içinde. Cham: Springer International Publishing. https://doi.org/10.1007/978-3-319-47021-4_35
  • Aytekin, S. ve Sakarya, Ş. (2014). Ocak ayı anomalisi: Borsa İstanbul endeksleri üzerine bir uygulama. Uluslararası Yönetim İktisat ve İşletme Dergisi, 10(23), 137–156. https://doi.org/10.17130/ijmeb.2014.10.23.683
  • Bohl, M. T. ve Salm, C. A. (2010). The other January effect: International evidence. The European Journal of Finance, 16(2), 173–182. https://doi.org/10.1080/13518470903037953
  • Cooper, M. J., Mcconnell, J. J. ve Ovtchinnikov, A. V. (2006). The other January effect. Journal of Financial Economics, 82(2), 315–341. https://doi.org/10.1016/j.jfineco.2006.03.001
  • Cooper, M. J., Mcconnell, J. J. ve Ovtchinnikov, A. V. (2010). What's the best way to trade using the January barometer? Journal of Investment Management, 8(4). Erişim adresi: https://joim.com/whats-best-way-trade-using-january-barometer/
  • Cross, F. (1973). The behavior of stock prices on Fridays and Mondays. Financial Analysts Journal, 29(6), 67–69. Erişim adresi: https://www.jstor.org/stable/4529641
  • Darrat, A. F., Li, B. ve Chung, R. (2013). The other month effect: A re-examination of the "other January" anomaly. Review of Pacific Basin Financial Markets and Policies, 16(02), 1350011. https://doi.org/10.1142/S0219091513500112
  • Easton, S. A. ve Pinder, S. M. (2007). A refutation of the existence of the other January effect. International Review of Finance, 7(3–4), 89–104. https://doi.org/10.1111/j.1468-2443.2007.00069.x
  • Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383–417. https://doi.org/10.2307/2325486
  • French, K. R. (1980). Stock returns and the weekend effect. Journal of Financial Economics, 8(1), 55–69. https://doi.org/10.1016/0304-405X(80)90021-5
  • Haugen, R. A. ve Jorion, P. (1996). The January effect: Still there after all these years. Financial Analysts Journal, 52(1), 27–31. Erişim adresi: https://www.jstor.org/stable/4479893
  • Haug, M. ve Hirschey, M. (2006). The January effect. Financial Analysts Journal, 62(5), 78–88. https://doi.org/10.2469/faj.v62.n5.4284
  • Jensen, M. C. (1978). Some anomalous evidence regarding market efficiency. Journal of Financial Economics, 6(2-3), 95-101. https://doi.org/10.1016/0304-405X(78)90025-9
  • Karan, M. B. ve Uygur, A. (2001). İstanbul Menkul Kıymetler Borsası'nda haftanın günleri ve Ocak ayı etkilerinin firma büyüklüğü açısından değerlendirilmesi. Ankara Üniversitesi SBF Dergisi, 56(2), 103–115. https://doi.org/10.1501/SBFder_0000001828
  • Kato, K. ve Schallheim, J. S. (1985). Seasonal and size anomalies in the Japanese stock market. The Journal of Financial and Quantitative Analysis, 20(2), 243–260. https://doi.org/10.2307/2330958
  • Marshall, B. R. ve Visaltanachoti, N. (2010). The other January effect: evidence against market efficiency? Journal of Banking & Finance, 34(10), 2413–2424. https://doi.org/10.1016/j.jbankfin.2010.03.019
  • Moller, N. ve Zilca, S. (2008). The evolution of the January effect. Journal of Banking & Finance, 32(3), 447–457. https://doi.org/10.1016/j.jbankfin.2007.06.009
  • Özkan, N. ve Zeytinoğlu, E. (2018). Borsa İstanbul Pay Piyasasında diğer Ocak ayı etkisi. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 58, 57–69. Erişim adresi: https://dergipark.org.tr/tr/pub/dpusbe/issue/39819/425596
  • Patel, J. B. (2014). The monthly barometer of the Indian stock market. International Business & Economics Research Journal, 13(1), 85–92. https://doi.org/10.19030/iber.v13i1.8358
  • Rozeff, M. S. ve Kinney Jr., W. R. (1976). Capital market seasonality: The case of stock returns. Journal of Financial Economics, 3(4), 379–402. https://doi.org/10.1016/0304-405X(76)90028-3
  • Stivers, C., Sun, L. ve Sun, Y. (2009). The other January effect: International, style, and subperiod evidence. Journal of Financial Markets, 12(3), 521–546. https://doi.org/10.1016/j.finmar.2009.01.001
  • Sturm, R. R. (2009). The ‘other’ January effect and the presidential election cycle. Applied Financial Economics, 19(17), 1355–1363. https://doi.org/10.1080/09603100802599589
  • Thaler, R. H. (1987). Anomalies: The January effect. The Journal of Economic Perspectives, 1(1), 197–201. doi: 10.1257/jep.1.1.197
Year 2022, Volume: 22 Issue: 4, 1047 - 1062, 28.12.2022
https://doi.org/10.18037/ausbd.1225875

Abstract

References

  • Akbalık, M. ve Özkan N. (2017). Day of the week effect in the stock markets of fragile five countries after 2008 global financial crisis. Ü. Hacioğlu ve H. Dinçer (Ed.), Global financial crisis and its ramifications on capital markets: Opportunities and threats in volatile economic conditions (s. 507–518) içinde. Cham: Springer International Publishing. https://doi.org/10.1007/978-3-319-47021-4_35
  • Aytekin, S. ve Sakarya, Ş. (2014). Ocak ayı anomalisi: Borsa İstanbul endeksleri üzerine bir uygulama. Uluslararası Yönetim İktisat ve İşletme Dergisi, 10(23), 137–156. https://doi.org/10.17130/ijmeb.2014.10.23.683
  • Bohl, M. T. ve Salm, C. A. (2010). The other January effect: International evidence. The European Journal of Finance, 16(2), 173–182. https://doi.org/10.1080/13518470903037953
  • Cooper, M. J., Mcconnell, J. J. ve Ovtchinnikov, A. V. (2006). The other January effect. Journal of Financial Economics, 82(2), 315–341. https://doi.org/10.1016/j.jfineco.2006.03.001
  • Cooper, M. J., Mcconnell, J. J. ve Ovtchinnikov, A. V. (2010). What's the best way to trade using the January barometer? Journal of Investment Management, 8(4). Erişim adresi: https://joim.com/whats-best-way-trade-using-january-barometer/
  • Cross, F. (1973). The behavior of stock prices on Fridays and Mondays. Financial Analysts Journal, 29(6), 67–69. Erişim adresi: https://www.jstor.org/stable/4529641
  • Darrat, A. F., Li, B. ve Chung, R. (2013). The other month effect: A re-examination of the "other January" anomaly. Review of Pacific Basin Financial Markets and Policies, 16(02), 1350011. https://doi.org/10.1142/S0219091513500112
  • Easton, S. A. ve Pinder, S. M. (2007). A refutation of the existence of the other January effect. International Review of Finance, 7(3–4), 89–104. https://doi.org/10.1111/j.1468-2443.2007.00069.x
  • Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383–417. https://doi.org/10.2307/2325486
  • French, K. R. (1980). Stock returns and the weekend effect. Journal of Financial Economics, 8(1), 55–69. https://doi.org/10.1016/0304-405X(80)90021-5
  • Haugen, R. A. ve Jorion, P. (1996). The January effect: Still there after all these years. Financial Analysts Journal, 52(1), 27–31. Erişim adresi: https://www.jstor.org/stable/4479893
  • Haug, M. ve Hirschey, M. (2006). The January effect. Financial Analysts Journal, 62(5), 78–88. https://doi.org/10.2469/faj.v62.n5.4284
  • Jensen, M. C. (1978). Some anomalous evidence regarding market efficiency. Journal of Financial Economics, 6(2-3), 95-101. https://doi.org/10.1016/0304-405X(78)90025-9
  • Karan, M. B. ve Uygur, A. (2001). İstanbul Menkul Kıymetler Borsası'nda haftanın günleri ve Ocak ayı etkilerinin firma büyüklüğü açısından değerlendirilmesi. Ankara Üniversitesi SBF Dergisi, 56(2), 103–115. https://doi.org/10.1501/SBFder_0000001828
  • Kato, K. ve Schallheim, J. S. (1985). Seasonal and size anomalies in the Japanese stock market. The Journal of Financial and Quantitative Analysis, 20(2), 243–260. https://doi.org/10.2307/2330958
  • Marshall, B. R. ve Visaltanachoti, N. (2010). The other January effect: evidence against market efficiency? Journal of Banking & Finance, 34(10), 2413–2424. https://doi.org/10.1016/j.jbankfin.2010.03.019
  • Moller, N. ve Zilca, S. (2008). The evolution of the January effect. Journal of Banking & Finance, 32(3), 447–457. https://doi.org/10.1016/j.jbankfin.2007.06.009
  • Özkan, N. ve Zeytinoğlu, E. (2018). Borsa İstanbul Pay Piyasasında diğer Ocak ayı etkisi. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 58, 57–69. Erişim adresi: https://dergipark.org.tr/tr/pub/dpusbe/issue/39819/425596
  • Patel, J. B. (2014). The monthly barometer of the Indian stock market. International Business & Economics Research Journal, 13(1), 85–92. https://doi.org/10.19030/iber.v13i1.8358
  • Rozeff, M. S. ve Kinney Jr., W. R. (1976). Capital market seasonality: The case of stock returns. Journal of Financial Economics, 3(4), 379–402. https://doi.org/10.1016/0304-405X(76)90028-3
  • Stivers, C., Sun, L. ve Sun, Y. (2009). The other January effect: International, style, and subperiod evidence. Journal of Financial Markets, 12(3), 521–546. https://doi.org/10.1016/j.finmar.2009.01.001
  • Sturm, R. R. (2009). The ‘other’ January effect and the presidential election cycle. Applied Financial Economics, 19(17), 1355–1363. https://doi.org/10.1080/09603100802599589
  • Thaler, R. H. (1987). Anomalies: The January effect. The Journal of Economic Perspectives, 1(1), 197–201. doi: 10.1257/jep.1.1.197
There are 23 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Nasıf Özkan

Emin Zeytinoğlu This is me

Publication Date December 28, 2022
Submission Date July 29, 2022
Published in Issue Year 2022 Volume: 22 Issue: 4

Cite

APA Özkan, N., & Zeytinoğlu, E. (2022). Borsa İstanbul Pay Endekslerinde Diğer Ocak, Şubat ve Ağustos Ayları Etkisi. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 22(4), 1047-1062. https://doi.org/10.18037/ausbd.1225875

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