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THE INVESTIGATION OF SELL IN MAY AND GO AWAY AND JANUARY EFFECTS IN BORSA ISTANBUL: EVIDENCE FROM BIST 100

Year 2019, Issue: 24, 287 - 300, 24.07.2019
https://doi.org/10.18092/ulikidince.486852

Abstract

According to the efficient market hypothesis, financial
markets are rational because financial actors are rational. This assumption
means that investors cannot beat the market by obtaining abnormal returns. The
two basic paradigms of finance field are rationality and the expected utility
theory. With the studies carried out, it is documented that the individuals are
not as rational as they are assumed and the market anomalies arose as a result
of the transactions realized in the markets. In this study, it has been
investigated whether the January Effect and Sell in May and Go Away are valid
and whether it continues to be observed in Borsa İstanbul. In the study, the
methods of previous studies and the monthly data of BIST100 index for the
period 1990-2017 were used. As a result of the study, it is seen that January
returns in Borsa Istanbul do not differ significantly from other months,
whereas Sell in May and Go Away Effect is valid.

References

  • Andrade, S. C., Chhaochharia, V. ve Fuerst, M. E. (2013). “Sell in May and Go Away” Just Won’t Go Away. Financial Analysts Journal, 69(4), 94-105.Atakan, T. (2008). İstanbul Menkul Kıymetler Borsası'nda haftanın günü etkisi ve Ocak ayı anoma-lilerinin ARCH-GARCH modelleri ile test edilmesi. Istanbul University Journal of the School of Business, 37(2), 98-110.Aytekin, S. ve Sakarya, Ş. (2014). Ocak ayı anomalisi: Borsa İstanbul Endeksleri üzerine bir uygu-lama. Uluslararası Yönetim İktisat ve İşletme Dergisi, 10(23), 137-156Barak, O. (2008). Davranışsal finans: teori ve uygulama. Gazi Kitabevi.Beladi, H., Chao, C. C. ve Hu, M. (2016). Another January effect—Evidence from stock split anno-uncements. International Review of Financial Analysis, 44, 123-138. Bouman, S. ve Jacobsen, B. (2002). The Halloween indicator," Sell in May and go away": Another puzzle. American Economic Review, 92(5), 1618-1635.Chen, Z. ve Daves, P. R. (2018). The January sentiment effect in the US stock market. International Review of Financial Analysis, 59, 94-104.Çinko, M. (2008). İstanbul Menkul Kıymetler Borsasında Ocak Ayı Etkisi. Doğuş Üniversitesi Dergisi, 9(1), 47-54Das, P. ve Rao, S. P. Uma (2011), Value Premiums and the January Effect: International Evidence (2011). The International Journal of Business and Finance Research, 5(4), 1-15. Degenhardt T. ve R. Auer B. (2018), The “Sell in May” effect: A review and new empirical eviden-ce, The North American Journal of Economics and Finance, 43, 169-205.Ege, İ., Topaloğlu, E. E. ve Coşkun, D. (2012). Davranışsal finans ve anomaliler: Ocak ayı anomalisinin İMKB’de test edilmesi. Muhasebe ve Finansman Dergisi, (56), 175-190.Fama, 1970 E.F. Fama Efficient capital markets: A review of theory and empirical work Journal of Finance, 25 (1970), pp. 383-417Fama, E. F. (1965). The behavior of stock-market prices. The journal of Business, 38(1), 34-105Gultekin, M. N. ve Gultekin, N. B. (1983). Stock market seasonality: International evidence. Journal of Financial Economics, 12(4), 469-481.Guo, B., Luo, X. ve Zhang, Z. (2014). Sell in May and go away: Evidence from China. Finance Rese-arch Letters, 11(4), 362-368.Haug, M. ve Hirschey, M. (2006). The january effect. Financial Analysts Journal, 78-88.Haugen, R. A. ve Jorion, P. (1996). The January effect: Still there after all these years. Financial Analysts Journal, 27-31.Haugen, R. A. ve Lakonishok, J. (1988). The incredible January effect: The stock market's unsolved mystery. Business One Irwin.Hubert Dichtl, Wolfgang Drobetz, Sell in May and Go Away: Still good advice for investors?, Inter-national Review of Financial Analysis, Volume 38, 2015, Pages 29-43.Kahneman, D. ve Tversky, A. (1972). Subjective probability: A judgment of representativeness. In The concept of probability in psychological experiments (pp. 25-48). Springer, Dordrecht.Kahneman, D. ve Tversky, A. (1973). On the psychology of prediction. Psychological review, 80(4), 237.Kahneman, D. ve Tversky, A. (1983). Can irrationality be intelligently discussed?. Behavioral and Brain Sciences, 6(3), 509-510.Kayaalp, G. T., Güney, M. Ç. ve Cebeci, Z. Çoklu Doğrusal Regresyon Modelinde Değişken Seçiminin Zootekniye Uygulanışı. Çukurova Üniversitesi Ziraat Fakültesi Dergisi, 30(1), 1-8.Keim, D.B. (1983), Size related anomalies and stock return seasonality. Journal of Financial Eco-nomics, 12, 13-32.Kıyılar, M. ve Akkaya, M. (2016). Davranışsal finans. Literatür Yayıncılık, İstanbul.Küçüksille, E. (2012). İMKB endekslerinde ocak ayı etkisinin test edilmesi. Muhasebe ve Finansman Dergisi, (53), 129-138.M. S. Rozeff, W. R. Kinney, Capital Market Seasonality; The Case of Stock Returns. Journal of Fi-nancial Economics. 3, 379-402 (1976).Patel, J. B. (2016). The January effect anomaly reexamined in stock returns. Journal of Applied Business Research, 32(1), 317.Reinganum, M.R. (1983), The anomalous stock market behavior of small firms in January – empi-rical tests for tax-loss selling effects. Journal of Financial Economics, 12, 89-104.Rogalski, R. J. ve Tinic, S. M. (1986). The January size effect: anomaly or risk mismeasurement?. Financial Analysts Journal, 63-70.Roll, R. (1983), Vas ist das? The turn-of-the-year effect and the return premia of small firms. Jo-urnal of Portfolio Management, 9, 18-28.Shiller, R. J. (2003). From efficient markets theory to behavioral finance. Journal of economic perspectives, 17(1), 83-104.Simon, H. A. (1955). A behavioral model of rational choice. The quarterly journal of economics, 69(1), 99-118.Simon, H. A. (1956). Rational choice and the structure of the environment. Psychological review, 63(2), 129.Simon, H. A. (1972). Theories of bounded rationality. Decision and organization, 1(1), 161-176.Simon, H. A. (1991). Bounded rationality and organizational learning. Organization science, 2(1), 125-134.Thaler, R. H. (1987). Anomalies: the January effect. Journal of Economic Perspectives, 1(1), 197-201.Tversky, A. ve Kahneman, D. (1973). Availability: A heuristic for judging frequency and probability. Cognitive psychology, 5(2), 207-232.Tversky, A. ve Kahneman, D. (1974). Judgment under uncertainty: Heuristics and biases. science, 185(4157), 1124-1131.Tversky, A. ve Kahneman, D. (1981). The framing of decisions and the psychology of choice. sci-ence, 211(4481), 453-458.

BORSA İSTANBUL’DA “SELL IN MAY AND GO AWAY” ETKİSİ İLE OCAK AYI ETKİSİNİN ARAŞTIRILMASI: BIST 100 ÖRNEĞİ

Year 2019, Issue: 24, 287 - 300, 24.07.2019
https://doi.org/10.18092/ulikidince.486852

Abstract

Etkin piyasalar hipotezine göre piyasa
aktörlerinin rasyonel işlemleri beraberinde finansal piyasalarda rasyonel fiyat
hareketlerini getirmektedir. Bu varsayım aynı zamanda, yatırımcıların anormal
getiri elde ederek piyasayı yenemeyeceklerini ifade etmektedir. Geleneksel finans
teorilerinin iki temel paradigması olan rasyonellik ve beklenen fayda teorilerini
irdeleyen çalışmalar ile bireylerin varsayıldığı gibi tam rasyonel olmadıkları görülmüştür.
Yatırımcıların piyasalarda gerçekleştirdikleri işlemler sonucu piyasa
anomalilerinin ortaya çıktığı belgelenmiştir. Bu çalışmada davranışsal finans
alanında takvimsel veya mevsimsel anomaliler başlıkları altında ve özellikle
uluslararası literatürde yer alan ve “Sell in May and Go Away” şeklinde ifade
edilen “Mayıs Ayı Satış Etkisi” ile Ocak Ayı Etkisinin Borsa İstanbul’da geçerli
olup olmadıkları ve gözlenmeye devam edip etmedikleri araştırılmıştır. Çalışmada
daha önce yapılan çalışmaların yöntemlerinden yararlanılmış ve BIST 100 endeksi
1990-2017 yılları arası aylık verileri kullanılmıştır. Çalışma sonucunda Borsa
İstanbul’da ocak ayı getirilerinin diğer aylardan belirgin bir şekilde
farklılaşmadığı buna karşın mayıs ayı satış etkisinin geçerli olduğu
görülmüştür.

References

  • Andrade, S. C., Chhaochharia, V. ve Fuerst, M. E. (2013). “Sell in May and Go Away” Just Won’t Go Away. Financial Analysts Journal, 69(4), 94-105.Atakan, T. (2008). İstanbul Menkul Kıymetler Borsası'nda haftanın günü etkisi ve Ocak ayı anoma-lilerinin ARCH-GARCH modelleri ile test edilmesi. Istanbul University Journal of the School of Business, 37(2), 98-110.Aytekin, S. ve Sakarya, Ş. (2014). Ocak ayı anomalisi: Borsa İstanbul Endeksleri üzerine bir uygu-lama. Uluslararası Yönetim İktisat ve İşletme Dergisi, 10(23), 137-156Barak, O. (2008). Davranışsal finans: teori ve uygulama. Gazi Kitabevi.Beladi, H., Chao, C. C. ve Hu, M. (2016). Another January effect—Evidence from stock split anno-uncements. International Review of Financial Analysis, 44, 123-138. Bouman, S. ve Jacobsen, B. (2002). The Halloween indicator," Sell in May and go away": Another puzzle. American Economic Review, 92(5), 1618-1635.Chen, Z. ve Daves, P. R. (2018). The January sentiment effect in the US stock market. International Review of Financial Analysis, 59, 94-104.Çinko, M. (2008). İstanbul Menkul Kıymetler Borsasında Ocak Ayı Etkisi. Doğuş Üniversitesi Dergisi, 9(1), 47-54Das, P. ve Rao, S. P. Uma (2011), Value Premiums and the January Effect: International Evidence (2011). The International Journal of Business and Finance Research, 5(4), 1-15. Degenhardt T. ve R. Auer B. (2018), The “Sell in May” effect: A review and new empirical eviden-ce, The North American Journal of Economics and Finance, 43, 169-205.Ege, İ., Topaloğlu, E. E. ve Coşkun, D. (2012). Davranışsal finans ve anomaliler: Ocak ayı anomalisinin İMKB’de test edilmesi. Muhasebe ve Finansman Dergisi, (56), 175-190.Fama, 1970 E.F. Fama Efficient capital markets: A review of theory and empirical work Journal of Finance, 25 (1970), pp. 383-417Fama, E. F. (1965). The behavior of stock-market prices. The journal of Business, 38(1), 34-105Gultekin, M. N. ve Gultekin, N. B. (1983). Stock market seasonality: International evidence. Journal of Financial Economics, 12(4), 469-481.Guo, B., Luo, X. ve Zhang, Z. (2014). Sell in May and go away: Evidence from China. Finance Rese-arch Letters, 11(4), 362-368.Haug, M. ve Hirschey, M. (2006). The january effect. Financial Analysts Journal, 78-88.Haugen, R. A. ve Jorion, P. (1996). The January effect: Still there after all these years. Financial Analysts Journal, 27-31.Haugen, R. A. ve Lakonishok, J. (1988). The incredible January effect: The stock market's unsolved mystery. Business One Irwin.Hubert Dichtl, Wolfgang Drobetz, Sell in May and Go Away: Still good advice for investors?, Inter-national Review of Financial Analysis, Volume 38, 2015, Pages 29-43.Kahneman, D. ve Tversky, A. (1972). Subjective probability: A judgment of representativeness. In The concept of probability in psychological experiments (pp. 25-48). Springer, Dordrecht.Kahneman, D. ve Tversky, A. (1973). On the psychology of prediction. Psychological review, 80(4), 237.Kahneman, D. ve Tversky, A. (1983). Can irrationality be intelligently discussed?. Behavioral and Brain Sciences, 6(3), 509-510.Kayaalp, G. T., Güney, M. Ç. ve Cebeci, Z. Çoklu Doğrusal Regresyon Modelinde Değişken Seçiminin Zootekniye Uygulanışı. Çukurova Üniversitesi Ziraat Fakültesi Dergisi, 30(1), 1-8.Keim, D.B. (1983), Size related anomalies and stock return seasonality. Journal of Financial Eco-nomics, 12, 13-32.Kıyılar, M. ve Akkaya, M. (2016). Davranışsal finans. Literatür Yayıncılık, İstanbul.Küçüksille, E. (2012). İMKB endekslerinde ocak ayı etkisinin test edilmesi. Muhasebe ve Finansman Dergisi, (53), 129-138.M. S. Rozeff, W. R. Kinney, Capital Market Seasonality; The Case of Stock Returns. Journal of Fi-nancial Economics. 3, 379-402 (1976).Patel, J. B. (2016). The January effect anomaly reexamined in stock returns. Journal of Applied Business Research, 32(1), 317.Reinganum, M.R. (1983), The anomalous stock market behavior of small firms in January – empi-rical tests for tax-loss selling effects. Journal of Financial Economics, 12, 89-104.Rogalski, R. J. ve Tinic, S. M. (1986). The January size effect: anomaly or risk mismeasurement?. Financial Analysts Journal, 63-70.Roll, R. (1983), Vas ist das? The turn-of-the-year effect and the return premia of small firms. Jo-urnal of Portfolio Management, 9, 18-28.Shiller, R. J. (2003). From efficient markets theory to behavioral finance. Journal of economic perspectives, 17(1), 83-104.Simon, H. A. (1955). A behavioral model of rational choice. The quarterly journal of economics, 69(1), 99-118.Simon, H. A. (1956). Rational choice and the structure of the environment. Psychological review, 63(2), 129.Simon, H. A. (1972). Theories of bounded rationality. Decision and organization, 1(1), 161-176.Simon, H. A. (1991). Bounded rationality and organizational learning. Organization science, 2(1), 125-134.Thaler, R. H. (1987). Anomalies: the January effect. Journal of Economic Perspectives, 1(1), 197-201.Tversky, A. ve Kahneman, D. (1973). Availability: A heuristic for judging frequency and probability. Cognitive psychology, 5(2), 207-232.Tversky, A. ve Kahneman, D. (1974). Judgment under uncertainty: Heuristics and biases. science, 185(4157), 1124-1131.Tversky, A. ve Kahneman, D. (1981). The framing of decisions and the psychology of choice. sci-ence, 211(4481), 453-458.
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Details

Primary Language Turkish
Journal Section Articles
Authors

Bilgehan Tekin 0000-0002-4926-3317

Publication Date July 24, 2019
Published in Issue Year 2019 Issue: 24

Cite

APA Tekin, B. (2019). BORSA İSTANBUL’DA “SELL IN MAY AND GO AWAY” ETKİSİ İLE OCAK AYI ETKİSİNİN ARAŞTIRILMASI: BIST 100 ÖRNEĞİ. Uluslararası İktisadi Ve İdari İncelemeler Dergisi(24), 287-300. https://doi.org/10.18092/ulikidince.486852

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