Research Article
BibTex RIS Cite

Does the january anomaly really exist?

Year 2020, Issue: 48, 135 - 160, 30.06.2020

Abstract

In this study, it was
investigated whether January anomaly (January effect) is seen in the stock
markets of 23 countries. Accordingly, the end-month closing data (for the
period of December 2009-December 2019) of indices representing the country
markets and the "Power Ratio" technique developed by Gu (2003) were
used. As a result of the analyzes carried out, it has been determined that
there is January anomaly in 18 markets (excluding USA, Brazil, England, Spain,
India). These results support the studies claiming that there is a
January anomaly in the markets. However, the years in which January anomaly was
observed most are 2012 and 2019, and the year in which it was observed least is
2016. On the other hand, only the power ratios of the Spain, Italy and Denmark
markets follow a decreasing trend. Therefore, it can be stated that the
efficiency of these markets is increasing and that the January anomaly may be lost
from the markets of Italy and Denmark in the following years. In the USA,
Brazil, England and India markets where no January anomaly was observed, the
upward trends of power ratios are getting stronger and it can be stated that the probability of January
anomaly being seen is increasing in these markets in the future.

References

  • Abdioğlu, Z., & Değirmenci, N. (2013). İstanbul Menkul Kıymetler Borsasında mevsimsel anomaliler. Business and Economics Research Journal, 4(3), 55-73.
  • Ariel, R.A. (1987). A monthly effect in stock returns. Journal of Financial Economics, 18(1), 161-174.
  • Ariel, R.A. (1990). High stock returns before holidays: existence and evidence on possible causes. The Journal of Finance, 45(5), 1611-1626.
  • Atakan, T. (2008). İstanbul Menkul Kıymetler Borsası’nda haftanın günü etkisi ve Ocak ayı anomalilerinin ARCH-GARCH modelleri ile test edilmesi. İstanbul Üniversitesi İşletme Fakültesi Dergisi, 37(2), 98-110.
  • Aytekin, S., & Sakarya, Ş. (2014). Ocak ayı anomalisi: Borsa İstanbul endeksleri üzerine bir uygulama. Uluslararası Yönetim İktisat ve İşletme Dergisi, 10(23), 137-155.
  • Barak, O. (2008). İMKB’de aşırı reaksiyon anomalisi ve davranışsal finans modelleri kapsamında değerlendirilmesi. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 10(1), 207-229.
  • Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49(3), 307-343.
  • Barone, E. (1990). The Italian stock market: efficiency and calendar anomalies. Journal of Banking & Finance, 14(2&3), 483-510.
  • Bauman, W.S. (1964). Investment experience with less popular common stocks. Financial Analysts Journal, 20(2), 79-88.
  • Bouman, S., & Jacobsen, B. (2002). The Halloween indicator, ‘’sell in May and go away’’: another puzzle. American Economic Review, 92(5), 1618-1635.
  • Bozkurt, İ. (2015). Gelişmiş ve gelişmekte olan piyasalarda anomali varlığının incelenmesi. Business and Economics Research Journal, 6(4), 19-37.
  • Chatterjee, A., & Maniam, B. (1997). Market anomalies revisited. Journal of Applied Business Research, 13(4), 47-56.
  • Cross, F. (1973). The behavior of stock prices on Fridays and Mondays. Financial Analysts Journal, 29(6), 67-69.
  • De Bondt, W.F.M., & Thaler, R. (1985). Does the stock market overreact? The Journal of Finance, 40(3), 793-805.
  • Dichev, I.D., & Janes, T.D. (2003). Lunar cycle effects in stock returns. The Journal of Private Equity, 6(4), 8-29.
  • Ege, İ., Topaloğlu, E.E., & Coşkun, D. (2012). Davranışsal finans ve anomaliler: Ocak ayı anomalisinin İMKB’de test edilmesi. Muhasebe ve Finansman Dergisi, (56), 175-190.
  • Ergün, B. (2009). Piyasa anomalileri ve aşırı tepki hipotezinin İMKB’de araştırılması. Yayımlanmamış Yüksek Lisans Tezi. Çukurova Üniversitesi, Sosyal Bilimler Enstitüsü, Adana.
  • Gerlach, J.R. (2007). Macroeconomic news and stock market calendar and weather anomalies. The Journal of Financial Research, 30(2), 283-300.
  • Gibbons, M.R., & Hess, P. (1981). Day of the week effects and asset returns. The Journal of Business, 54(4), 579-596.
  • Gu, A.Y. (2003). The declining January effect: evidences from the U.S. equity markets. The Quarterly Review of Economics and Finance, 43(2), 395-404.
  • Harris, L. (1986). A transaction data study of weekly and intradaily patterns in stock returns. Journal of Financial Economics, 16(1), 99-117.
  • Heininen, P., & Puttonen, V. (2008). Stock market effiency in the transition economies through the lens of calendar anomalies. EACES 10th Conference on Patterns of Transition and New Agenda for Comparative Economics. Hgher School of Economics, Moscow, Russia. 28-30 Ağustos.
  • Jacobs, B.I., & Levy, K.N. (1988). Calendar anomalies: abnormal returns at calendar turning points. Financial Analysts Journal, 44(6), 28-39.
  • Jaffe, J., & Westerfield, R. (1985). Patterns in Japanese common stock returns: day of the week and turn of the year effects. The Journal of Financial and Quantitative Analysis, 20(2), 261-272.
  • Karan, M.B. (2001). İstanbul Menkul Kıymet Borsası anomalileri. Ege Academic Review, 1(2), 83-94.
  • Kato, K., & Schallheim, J.S. (1985). Seasonal and size anomalies in the Japanese stock market. The Journal of Financial and Quantitative Analysis, 20(2), 243-260.
  • Keim, D.B. (1983). Size-related anomalies and stock return seasonality: further empirical evidence. Journal of Financial Economics, 12(1), 13-32.
  • Kıyılar, M., & Karakaş, C. (2005). İstanbul Menkul Kıymetler Borsası’nda zamana dayalı anomalilere yönelik bir inceleme. İstanbul Üniversitesi İşletme Fakültesi İşletme İktisadi Enstitüsü Yönetim Dergisi, 16(52), 17-25.
  • Kolb, R.W., & Rodriguez, R.J. (1987). Friday the thirteenth: ‘part VII’ – a note. The Journal of Finance, 42(5), 1385-1387.
  • Kuria, A.M., & Riro, G.K. (2013). Stock market anomalies: a study of seasonal effects on average returns of Nairobi Securities Exchange. Research Journal of Finance and Accounting, 4(7), 207-215.
  • Küçüksille, E. (2012). İMKB endekslerinde Ocak ayı etkisinin test edilmesi. Muhasebe ve Finansman Dergisi, (53), 129-138.
  • Lakonishok, J., & Smidt, S. (1988). Are seasonal anomalies real? a ninety-year perspective. The Review of Financial Studies, 1(4), 403-425.
  • Lauterbach, B., & Ungar, M. (1992). Calendar anomalies: some perspectives from the behavior of the Israeli stock market. Applied Financial Economics, 2(1), 57-60.
  • Lim, S.Y., Ho, C.M., & Dollery, B. (2010). An empirical analysis of calendar anomalies in the Malaysian stock market. Applied Financial Economics, 20(3), 255-264.
  • Lyroudi, K., Subeniotis, D., & Komisopoulos, G. (2002). Market anomalies in the A.S.E: the day of the week effect. European Financial Management Association 2002 Annual Meetings London.
  • Maghayereh, A. (2003). Seasonality and January effect anomalies in an emerging capital market. Arab Bank Review, 5(2), 25-32.
  • Mehdian, S., & Perry, M.J. (2002). Anomalies in US equity markets: a re-examination of the January effect. Applied Financial Economics, 12(2), 141-145.
  • Nishat, M., & Mustafa, K. (2002). Anomalies in Karachi stock market: day of the week effect. The Bangladesh Development Studies, 28(3), 55-64.
  • Öztin, T. (2007). Dünya borsalarında gözlemlenen dönemsel anomaliler ve 1996-2006 dönemi için İMKB’de dönemsel anomalilerin incelenmesi. Yayımlanmamış Yüksek Lisans Tezi. İstanbul Üniversitesi, Sosyal Bilimler Enstitüsü, İstanbul.
  • Reinganum, M.R. (1982). A direct test of Roll’s conjecture on the firm size effect. The Journal of Finance, 37(1), 27-35.
  • Saunders JR, E.M. (1993). Stock prices and Wall Street weather. The American Economic Review, 83(5), 1337-1345.
  • Silva, P.M. (2010). Calendar ‘’anomalies’’ in the Portuguese stock market. Investment Analysts Journal, 39(71), 37-50.
  • Stock, D. (1990). Winner and loser anomalies in the German stock market. Journal of Institutional and Theoretical Economics, 146(3), 518-529.
  • Taner, A.T., & Kayalıdere, K. (2002). 1995-2000 döneminde İMKB’de anomali araştırması. Yönetim ve Ekonomi: Celal Bayar Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(1&2), 1-24.
  • Tatoğlu, F.Y. (2006). İMKB’de firma büyüklüğü etkisinin (anomalisinin) panel veri modelleri ile analizi. Maliye Araştırma Merkezi Konferansları, (49), 164-184.
  • Ünal, S., & Akbey, F. (2016). Firma büyüklüğü ve piyasa değeri/defter değeri anomalilerinin birlikte incelenmesi: Borsa İstanbul örneği. Celal Bayar Üniversitesi Sosyal Bilimler Dergisi, 14(2), 257-282.
  • Wong, W.K., Agarwal, A., & Wong, N.T. (2006). The disappearing calendar anomalies in the Singapore Stock Market. The Lahore Journal of Economics, 11(2), 123-139.

Ocak ayı anomalisi gerçekten var mı?

Year 2020, Issue: 48, 135 - 160, 30.06.2020

Abstract

Bu çalışmada, 23 ülkenin
hisse senedi piyasalarında Ocak ayı anomalisinin (January effect) görülüp
görülmediği araştırılmıştır. Bu doğrultuda, ülke piyasalarını temsil eden endekslerin
ay sonu kapanış verileri (Aralık 2009-Aralık 2019 dönemi için) ve Gu (2003)
tarafından geliştirilen ‘’Güç Oranı’’ tekniği kullanılmıştır. Gerçekleştirilen
analizler neticesinde, 18 piyasada (ABD, Brezilya, İngiltere, İspanya ve
Hindistan hariç) Ocak ayı anomalisi tespit edilmiştir. Bu sonuçlar, piyasalarda
Ocak ayı anomalisi olduğunu ileri süren çalışmaları destekler niteliktedir. Bununla
beraber, Ocak ayı anomalisinin en fazla gözlemlendiği yıllar 2012 ve 2019 olup,
en az gözlemlendiği yıl ise 2016’dır. Öte yandan, yalnızca İspanya, İtalya ve
Danimarka piyasalarının güç oranları alçalan bir trend izlemektedir.
Dolayısıyla, bu piyasaların etkinliklerinin artmakta olduğu ve ilerleyen yıllarda
İtalya ile Danimarka piyasalarından Ocak ayı anomalisinin kaybolma olasılığının
bulunduğu belirtilebilmektedir. Ocak ayı anomalisi gözlemlenmeyen ABD,
Brezilya, İngiltere ve Hindistan piyasalarında ise, güç oranlarının yukarı
yönlü trendleri kuvvetlenmektedir ve bu piyasalarda gelecek dönemlerde Ocak ayı
anomalisi görülme ihtimalinin yükselmekte olduğu söylenebilmektedir. 

References

  • Abdioğlu, Z., & Değirmenci, N. (2013). İstanbul Menkul Kıymetler Borsasında mevsimsel anomaliler. Business and Economics Research Journal, 4(3), 55-73.
  • Ariel, R.A. (1987). A monthly effect in stock returns. Journal of Financial Economics, 18(1), 161-174.
  • Ariel, R.A. (1990). High stock returns before holidays: existence and evidence on possible causes. The Journal of Finance, 45(5), 1611-1626.
  • Atakan, T. (2008). İstanbul Menkul Kıymetler Borsası’nda haftanın günü etkisi ve Ocak ayı anomalilerinin ARCH-GARCH modelleri ile test edilmesi. İstanbul Üniversitesi İşletme Fakültesi Dergisi, 37(2), 98-110.
  • Aytekin, S., & Sakarya, Ş. (2014). Ocak ayı anomalisi: Borsa İstanbul endeksleri üzerine bir uygulama. Uluslararası Yönetim İktisat ve İşletme Dergisi, 10(23), 137-155.
  • Barak, O. (2008). İMKB’de aşırı reaksiyon anomalisi ve davranışsal finans modelleri kapsamında değerlendirilmesi. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 10(1), 207-229.
  • Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49(3), 307-343.
  • Barone, E. (1990). The Italian stock market: efficiency and calendar anomalies. Journal of Banking & Finance, 14(2&3), 483-510.
  • Bauman, W.S. (1964). Investment experience with less popular common stocks. Financial Analysts Journal, 20(2), 79-88.
  • Bouman, S., & Jacobsen, B. (2002). The Halloween indicator, ‘’sell in May and go away’’: another puzzle. American Economic Review, 92(5), 1618-1635.
  • Bozkurt, İ. (2015). Gelişmiş ve gelişmekte olan piyasalarda anomali varlığının incelenmesi. Business and Economics Research Journal, 6(4), 19-37.
  • Chatterjee, A., & Maniam, B. (1997). Market anomalies revisited. Journal of Applied Business Research, 13(4), 47-56.
  • Cross, F. (1973). The behavior of stock prices on Fridays and Mondays. Financial Analysts Journal, 29(6), 67-69.
  • De Bondt, W.F.M., & Thaler, R. (1985). Does the stock market overreact? The Journal of Finance, 40(3), 793-805.
  • Dichev, I.D., & Janes, T.D. (2003). Lunar cycle effects in stock returns. The Journal of Private Equity, 6(4), 8-29.
  • Ege, İ., Topaloğlu, E.E., & Coşkun, D. (2012). Davranışsal finans ve anomaliler: Ocak ayı anomalisinin İMKB’de test edilmesi. Muhasebe ve Finansman Dergisi, (56), 175-190.
  • Ergün, B. (2009). Piyasa anomalileri ve aşırı tepki hipotezinin İMKB’de araştırılması. Yayımlanmamış Yüksek Lisans Tezi. Çukurova Üniversitesi, Sosyal Bilimler Enstitüsü, Adana.
  • Gerlach, J.R. (2007). Macroeconomic news and stock market calendar and weather anomalies. The Journal of Financial Research, 30(2), 283-300.
  • Gibbons, M.R., & Hess, P. (1981). Day of the week effects and asset returns. The Journal of Business, 54(4), 579-596.
  • Gu, A.Y. (2003). The declining January effect: evidences from the U.S. equity markets. The Quarterly Review of Economics and Finance, 43(2), 395-404.
  • Harris, L. (1986). A transaction data study of weekly and intradaily patterns in stock returns. Journal of Financial Economics, 16(1), 99-117.
  • Heininen, P., & Puttonen, V. (2008). Stock market effiency in the transition economies through the lens of calendar anomalies. EACES 10th Conference on Patterns of Transition and New Agenda for Comparative Economics. Hgher School of Economics, Moscow, Russia. 28-30 Ağustos.
  • Jacobs, B.I., & Levy, K.N. (1988). Calendar anomalies: abnormal returns at calendar turning points. Financial Analysts Journal, 44(6), 28-39.
  • Jaffe, J., & Westerfield, R. (1985). Patterns in Japanese common stock returns: day of the week and turn of the year effects. The Journal of Financial and Quantitative Analysis, 20(2), 261-272.
  • Karan, M.B. (2001). İstanbul Menkul Kıymet Borsası anomalileri. Ege Academic Review, 1(2), 83-94.
  • Kato, K., & Schallheim, J.S. (1985). Seasonal and size anomalies in the Japanese stock market. The Journal of Financial and Quantitative Analysis, 20(2), 243-260.
  • Keim, D.B. (1983). Size-related anomalies and stock return seasonality: further empirical evidence. Journal of Financial Economics, 12(1), 13-32.
  • Kıyılar, M., & Karakaş, C. (2005). İstanbul Menkul Kıymetler Borsası’nda zamana dayalı anomalilere yönelik bir inceleme. İstanbul Üniversitesi İşletme Fakültesi İşletme İktisadi Enstitüsü Yönetim Dergisi, 16(52), 17-25.
  • Kolb, R.W., & Rodriguez, R.J. (1987). Friday the thirteenth: ‘part VII’ – a note. The Journal of Finance, 42(5), 1385-1387.
  • Kuria, A.M., & Riro, G.K. (2013). Stock market anomalies: a study of seasonal effects on average returns of Nairobi Securities Exchange. Research Journal of Finance and Accounting, 4(7), 207-215.
  • Küçüksille, E. (2012). İMKB endekslerinde Ocak ayı etkisinin test edilmesi. Muhasebe ve Finansman Dergisi, (53), 129-138.
  • Lakonishok, J., & Smidt, S. (1988). Are seasonal anomalies real? a ninety-year perspective. The Review of Financial Studies, 1(4), 403-425.
  • Lauterbach, B., & Ungar, M. (1992). Calendar anomalies: some perspectives from the behavior of the Israeli stock market. Applied Financial Economics, 2(1), 57-60.
  • Lim, S.Y., Ho, C.M., & Dollery, B. (2010). An empirical analysis of calendar anomalies in the Malaysian stock market. Applied Financial Economics, 20(3), 255-264.
  • Lyroudi, K., Subeniotis, D., & Komisopoulos, G. (2002). Market anomalies in the A.S.E: the day of the week effect. European Financial Management Association 2002 Annual Meetings London.
  • Maghayereh, A. (2003). Seasonality and January effect anomalies in an emerging capital market. Arab Bank Review, 5(2), 25-32.
  • Mehdian, S., & Perry, M.J. (2002). Anomalies in US equity markets: a re-examination of the January effect. Applied Financial Economics, 12(2), 141-145.
  • Nishat, M., & Mustafa, K. (2002). Anomalies in Karachi stock market: day of the week effect. The Bangladesh Development Studies, 28(3), 55-64.
  • Öztin, T. (2007). Dünya borsalarında gözlemlenen dönemsel anomaliler ve 1996-2006 dönemi için İMKB’de dönemsel anomalilerin incelenmesi. Yayımlanmamış Yüksek Lisans Tezi. İstanbul Üniversitesi, Sosyal Bilimler Enstitüsü, İstanbul.
  • Reinganum, M.R. (1982). A direct test of Roll’s conjecture on the firm size effect. The Journal of Finance, 37(1), 27-35.
  • Saunders JR, E.M. (1993). Stock prices and Wall Street weather. The American Economic Review, 83(5), 1337-1345.
  • Silva, P.M. (2010). Calendar ‘’anomalies’’ in the Portuguese stock market. Investment Analysts Journal, 39(71), 37-50.
  • Stock, D. (1990). Winner and loser anomalies in the German stock market. Journal of Institutional and Theoretical Economics, 146(3), 518-529.
  • Taner, A.T., & Kayalıdere, K. (2002). 1995-2000 döneminde İMKB’de anomali araştırması. Yönetim ve Ekonomi: Celal Bayar Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(1&2), 1-24.
  • Tatoğlu, F.Y. (2006). İMKB’de firma büyüklüğü etkisinin (anomalisinin) panel veri modelleri ile analizi. Maliye Araştırma Merkezi Konferansları, (49), 164-184.
  • Ünal, S., & Akbey, F. (2016). Firma büyüklüğü ve piyasa değeri/defter değeri anomalilerinin birlikte incelenmesi: Borsa İstanbul örneği. Celal Bayar Üniversitesi Sosyal Bilimler Dergisi, 14(2), 257-282.
  • Wong, W.K., Agarwal, A., & Wong, N.T. (2006). The disappearing calendar anomalies in the Singapore Stock Market. The Lahore Journal of Economics, 11(2), 123-139.
There are 47 citations in total.

Details

Primary Language Turkish
Subjects Business Administration
Journal Section Makaleler / Articles
Authors

Yavuz Gül 0000-0002-0208-6798

Publication Date June 30, 2020
Submission Date January 22, 2020
Acceptance Date May 5, 2020
Published in Issue Year 2020 Issue: 48

Cite

APA Gül, Y. (2020). Ocak ayı anomalisi gerçekten var mı?. Erciyes Üniversitesi Sosyal Bilimler Enstitüsü Dergisi(48), 135-160.

ERCİYES AKADEMİ | 2021 | sbedergi@erciyes.edu.tr Bu eser Creative Commons Atıf-Gayri Ticari-Türetilemez 4.0 Uluslararası Lisansı ile lisanslanmıştır.