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PİYASA ANOMALİLERİ VE BİST-100’DE OCAK AYI ANOMALİSİNİN TEST EDİLMESİ

Year 2021, Volume: 13 Issue: 25, 703 - 716, 31.07.2021
https://doi.org/10.14784/marufacd.976468

Abstract

Etkin piyasa teorisi ve hisse fiyatlarının öngörülebilirliği 1970’li yıllardan beri tartışılmaktadır. Teori, hisse senedi fiyatlarının geçmiş dönemdeki bilgiler doğrultusunda çeşitli istatistiksel teknikler ile tahmin edilemeyeceğini savunmaktadır. Ancak, fiyatlar tahmin edilebilir ise pratikte teoriye uymayan durumlarla karşılaşılmış demektir. Buna göre bir piyasanın tahmin edilebilirliği, teoriye uymayan nedenler ya da makul olmayan varsayımlarla açıklanabiliyorsa, bu durum ‘anomali’ olarak adlandırılır. Dönemsel anomaliler, hisse senetlerinin bazı ayların, günlerin ve haftaların; diğer aylar, haftalar ve günlere göre daha yüksek getiri sağladığını açıklamaya çalışan anomali türü olup, piyasalarda en yaygın görülen anomalilerdir. Çalışmada, 2013-2018 yılları arasında gerçekleşen BİST-100 Endeksi verileri baz alınarak Ocak ayı anomalisinin varlığı araştırılmıştır.

References

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  • ALONSO, A. ve RUBIO, G. (1990). “Overreaction in the Spanish Equity Market”. Journal of Banking and Finance, Volume 14, Issues 2–3, 469-481.
  • AGRAWAL, A. ve TANDON, K. (1994). “Anomalies or illusions? Evidence from Stock Markets in Eighteen Countries”. Journal of International Money and Finance, Vol. 13, Issue 1, 83-106.
  • BACHELIER, L. (1900), The Theory of Speculation, PhD Thesis, Sorbonne University, 2.
  • BANZ, R. W. (1981). “The Relationship Between Return and Market Value of Common Stock”. Journal of Financial Economics, Vol. 9, No. 1, 3-18.
  • BARONE, E. (1990). “The Italian Stock Market: Efficiency and Calendar Anomalies.” Journal of Banking and Finance 14: 483-510.
  • BARONE, R. (2003), From Efficient Markets to Behavioral Finance, University of Lecce Economics Working Paper, No. 46/24, December, 1-27. http://papers.ssrn.com/_id=493545, 17.01.2011.
  • BOZKURT, İ. (2015). “Gelişmiş ve Gelişmekte Olan Piyasalarda Anomali Varlığının İncelenmesi”. İşletme ve Ekonomi Araştırmaları Dergisi, Cilt: 6. Sayı: 4., 19-37.
  • BROWN, R. (1828). “A Brief Account of Microscopical Observations on the Particles Contained in the Pollen of Plants and the General Existence of Active Molecules in Organic and Inorganic Bodies.” Edinburgh New Philosophical Journal, 358–371.
  • CADSBY, C. & RATNER, M. (1992). “Turn-of-month and pre-holiday effects on stock returns: Some international evidence”, Journal of Banking & Finance, Vol. 16, Issue 3, 497-509.
  • CHEN, H. (2004). “All things considered, taxes drive the January effect”, The Journal of Financial Research, 37(3), 351–372.
  • CROSS, Frank, (1973). “The Behavior of Stock Prices on Fridays and Mondays”. Financial Analysts Journal, Vol.29, Issue 6, 67-69.
  • DANIEL, K., HIRSHLEIFER, D & SUBRAHMANYAM, A. (2005). “Investor Psychology and Security Market Under- and Overreactions”. Journal of Finance, 460-501.
  • EGE, İ., TOPALOĞLU, E., & COŞKUN, D. (2012). “Davranışsal Finans ve Anomaliler: Ocak Ayı Anomalisinin İMKB’de Test Edilmesi”. Muhasebe ve Finansman Dergisi, Cilt, Sayı 56, 175-189.
  • EINSTEIN, A., (1905). "Zur Elektrodynamik Bewegter Körper”, Annalen der Physik, 17, 1, 1905, pp. 891- 921; pp. 910-911.
  • FAMA, Eugene (1970). “Efficient Capital Markets: A Review of Theory and Empirical Work”. The Journal of Finance, Vol.25, No:2, 383-417.
  • FIELDS, M. J. (1931). “Stock Prices: A Problem in Verification”. The Journal of Business, Vol. 4, 415.
  • FIELDS, M. J. (1934). “Security Prices and Stock Exchange Holidays in Relation to Short Selling”. Journal of Business, Vol.7, 328-338.
  • FRENCH, K., (1980). “Stock Returns and the Weekend Effect”. Journal of Financial Economics, 55- 69.
  • GUNARATNE, P., & YONESAWA, Y. (1997). “Return reversals in the Tokyo stock exchange: A test of stock market overreaction.” Japan and the World Economy, Vol. 9., 363-384.
  • GÜLTEKİN, M., & GÜLTEKİN, B. (1983). “Stock Market Seasonality: International Evidence”. Journal of Financial Economics, 469-482.
  • HOLTON, G. (2013). “Brownian Motion (Wiener Process)”, Introductory Course on Financial Mathematics, Glyn Holton Risk Management Coach: www.glynholton.com
  • JAFFE, J., & WESTERFIELD, R. (1989). “Is There a Monthly Effect in Stock Market Returns?: Evidence from Foreign Countries,” Journal of Banking and Finance, Vol. 13, pp. 237-244.
  • KADIOĞLU, E. ve KÜÇÜKKOCAOĞLU, G. (2015). “Borsa İstanbul’da Güniçi Getiri ve Volatilite Yapısı ile Tek Fiyatlı Açılış ve Kapanış Seanslarının Etkisi”. BDDK Dergi, Cilt: 9, Sayı:1, 103-121.
  • KARAN, M. B., & UYGUR, A. (2001). “İstanbul Menkul Kıymetler Borsası’nda Haftanın Günleri ve Ocak Ayı Etkilerinin Firma Büyüklüğü Açısından Değerlendirilmesi”. A.Ü. Siyasal Bilgiler Fakültesi Dergisi, 103-115.
  • KIYILAR, M. (1997). Etkin Pazar Kuramı ve Etkin Pazar Kuramının İMKB’de İrdelenmesi-Test Edilmesi. Sermaye Piyasası Kurulu Yayınları, 16.
  • LAKONISHOK, J. & SMIDT, S. (1988). “Are Seasonal Anomalies Real? A Ninety-Year Perspective”. The Review of Financial Studies, 403-425.
  • MILLS, T. ve COUTTS, J. A., (1995). “Calender Effects in the London Stock Exchange FT-SE Indices”. The European Journal of Finance, 1995, vol. 1, issue 1, 79-93.
  • OFFICER, R.R. (1975). “Seasonality in the Australian Capital Markets: Market Efficiency and Empirical Issues”. Journal of Financial Economics, Vol 2(1), 29-52.
  • ÖZMEN, T. (1977). “Dünya Borsalarında Gözlemlenen Anomaliler ve İstanbul Menkul Kıymetler Borsası Üzerine Bir Deneme”. SPK Yayınları.
  • PANDEY, I. M. (2002). “Seasonality in the Malaysian Stock Market: 1992-2002”. Journal of Financial Management and Analysis, Vol. 15 Issue 2, 37-44.
  • PETTENGILL, G. & JORDAN, B. (1988). “A Comprehensive Examination of Volume Effects and Seasonality of Daily Security Returns”, Journal of Financial Research, Vol:11, Issue: 1, 57-70.
  • RAJ, M. & THURSTON D. (1994). “January or April? Tests of the Turn-of-the-Year Effect in the New Zealand Stock Market.” Applied Economics Letters, 1(5), 81-83.
  • REINGANUM, M. R., (1983). “The anomalous stock market behavior of small firms in January: Empirical tests for tax-loss selling effects”, Journal of Financial Economics, 1983, vol. 12, issue 1, 89-104.
  • ROLL, R. (1983). “Vas ist das? The Turn-of-the-Year Effect and the Return Premia of Small Firms”, Journal of Portfolio Management, 18-28.
  • ROZEFF, M. & KINNEY, W. (1976), “Capital Market Seasonality: The Case of Stock Returns”. Journal of Financial Economics, 379-402.
  • SZAKMARY, A., & KIEFER, D. (2004). “The Disappearing January-Turn of the Year Effect: Evidence From Stock Index Futures and Cash Markets”. Journal of Futures Markets, Vol:24, Issue:8, 755–784.
  • THALER, R., (1987). “Anomalies The January Effect”, Economic Perspectives, Vol:1, Number:1, Summer 1987, 197–201.
  • WIENER, N. (1923). “Differential Space”, Journal of Mathematical Physics, 2, 131-174.
  • YEN, G., & SHY, G. (1993). “Chinese New Year Efect in Asian Stock Markets”. NTU Management Review, 4(1), 417-436
Year 2021, Volume: 13 Issue: 25, 703 - 716, 31.07.2021
https://doi.org/10.14784/marufacd.976468

Abstract

References

  • ABDİOĞLU, Z. ve DEĞİRMENCİ, N. (2013). “İstanbul Menkul Kıymetler Borsasında Mevsimsel Anomaliler”. İşletme ve Ekonomi Araştırmaları Dergisi, Cilt: 4. Sayı: 3., 55-73.
  • ALONSO, A. ve RUBIO, G. (1990). “Overreaction in the Spanish Equity Market”. Journal of Banking and Finance, Volume 14, Issues 2–3, 469-481.
  • AGRAWAL, A. ve TANDON, K. (1994). “Anomalies or illusions? Evidence from Stock Markets in Eighteen Countries”. Journal of International Money and Finance, Vol. 13, Issue 1, 83-106.
  • BACHELIER, L. (1900), The Theory of Speculation, PhD Thesis, Sorbonne University, 2.
  • BANZ, R. W. (1981). “The Relationship Between Return and Market Value of Common Stock”. Journal of Financial Economics, Vol. 9, No. 1, 3-18.
  • BARONE, E. (1990). “The Italian Stock Market: Efficiency and Calendar Anomalies.” Journal of Banking and Finance 14: 483-510.
  • BARONE, R. (2003), From Efficient Markets to Behavioral Finance, University of Lecce Economics Working Paper, No. 46/24, December, 1-27. http://papers.ssrn.com/_id=493545, 17.01.2011.
  • BOZKURT, İ. (2015). “Gelişmiş ve Gelişmekte Olan Piyasalarda Anomali Varlığının İncelenmesi”. İşletme ve Ekonomi Araştırmaları Dergisi, Cilt: 6. Sayı: 4., 19-37.
  • BROWN, R. (1828). “A Brief Account of Microscopical Observations on the Particles Contained in the Pollen of Plants and the General Existence of Active Molecules in Organic and Inorganic Bodies.” Edinburgh New Philosophical Journal, 358–371.
  • CADSBY, C. & RATNER, M. (1992). “Turn-of-month and pre-holiday effects on stock returns: Some international evidence”, Journal of Banking & Finance, Vol. 16, Issue 3, 497-509.
  • CHEN, H. (2004). “All things considered, taxes drive the January effect”, The Journal of Financial Research, 37(3), 351–372.
  • CROSS, Frank, (1973). “The Behavior of Stock Prices on Fridays and Mondays”. Financial Analysts Journal, Vol.29, Issue 6, 67-69.
  • DANIEL, K., HIRSHLEIFER, D & SUBRAHMANYAM, A. (2005). “Investor Psychology and Security Market Under- and Overreactions”. Journal of Finance, 460-501.
  • EGE, İ., TOPALOĞLU, E., & COŞKUN, D. (2012). “Davranışsal Finans ve Anomaliler: Ocak Ayı Anomalisinin İMKB’de Test Edilmesi”. Muhasebe ve Finansman Dergisi, Cilt, Sayı 56, 175-189.
  • EINSTEIN, A., (1905). "Zur Elektrodynamik Bewegter Körper”, Annalen der Physik, 17, 1, 1905, pp. 891- 921; pp. 910-911.
  • FAMA, Eugene (1970). “Efficient Capital Markets: A Review of Theory and Empirical Work”. The Journal of Finance, Vol.25, No:2, 383-417.
  • FIELDS, M. J. (1931). “Stock Prices: A Problem in Verification”. The Journal of Business, Vol. 4, 415.
  • FIELDS, M. J. (1934). “Security Prices and Stock Exchange Holidays in Relation to Short Selling”. Journal of Business, Vol.7, 328-338.
  • FRENCH, K., (1980). “Stock Returns and the Weekend Effect”. Journal of Financial Economics, 55- 69.
  • GUNARATNE, P., & YONESAWA, Y. (1997). “Return reversals in the Tokyo stock exchange: A test of stock market overreaction.” Japan and the World Economy, Vol. 9., 363-384.
  • GÜLTEKİN, M., & GÜLTEKİN, B. (1983). “Stock Market Seasonality: International Evidence”. Journal of Financial Economics, 469-482.
  • HOLTON, G. (2013). “Brownian Motion (Wiener Process)”, Introductory Course on Financial Mathematics, Glyn Holton Risk Management Coach: www.glynholton.com
  • JAFFE, J., & WESTERFIELD, R. (1989). “Is There a Monthly Effect in Stock Market Returns?: Evidence from Foreign Countries,” Journal of Banking and Finance, Vol. 13, pp. 237-244.
  • KADIOĞLU, E. ve KÜÇÜKKOCAOĞLU, G. (2015). “Borsa İstanbul’da Güniçi Getiri ve Volatilite Yapısı ile Tek Fiyatlı Açılış ve Kapanış Seanslarının Etkisi”. BDDK Dergi, Cilt: 9, Sayı:1, 103-121.
  • KARAN, M. B., & UYGUR, A. (2001). “İstanbul Menkul Kıymetler Borsası’nda Haftanın Günleri ve Ocak Ayı Etkilerinin Firma Büyüklüğü Açısından Değerlendirilmesi”. A.Ü. Siyasal Bilgiler Fakültesi Dergisi, 103-115.
  • KIYILAR, M. (1997). Etkin Pazar Kuramı ve Etkin Pazar Kuramının İMKB’de İrdelenmesi-Test Edilmesi. Sermaye Piyasası Kurulu Yayınları, 16.
  • LAKONISHOK, J. & SMIDT, S. (1988). “Are Seasonal Anomalies Real? A Ninety-Year Perspective”. The Review of Financial Studies, 403-425.
  • MILLS, T. ve COUTTS, J. A., (1995). “Calender Effects in the London Stock Exchange FT-SE Indices”. The European Journal of Finance, 1995, vol. 1, issue 1, 79-93.
  • OFFICER, R.R. (1975). “Seasonality in the Australian Capital Markets: Market Efficiency and Empirical Issues”. Journal of Financial Economics, Vol 2(1), 29-52.
  • ÖZMEN, T. (1977). “Dünya Borsalarında Gözlemlenen Anomaliler ve İstanbul Menkul Kıymetler Borsası Üzerine Bir Deneme”. SPK Yayınları.
  • PANDEY, I. M. (2002). “Seasonality in the Malaysian Stock Market: 1992-2002”. Journal of Financial Management and Analysis, Vol. 15 Issue 2, 37-44.
  • PETTENGILL, G. & JORDAN, B. (1988). “A Comprehensive Examination of Volume Effects and Seasonality of Daily Security Returns”, Journal of Financial Research, Vol:11, Issue: 1, 57-70.
  • RAJ, M. & THURSTON D. (1994). “January or April? Tests of the Turn-of-the-Year Effect in the New Zealand Stock Market.” Applied Economics Letters, 1(5), 81-83.
  • REINGANUM, M. R., (1983). “The anomalous stock market behavior of small firms in January: Empirical tests for tax-loss selling effects”, Journal of Financial Economics, 1983, vol. 12, issue 1, 89-104.
  • ROLL, R. (1983). “Vas ist das? The Turn-of-the-Year Effect and the Return Premia of Small Firms”, Journal of Portfolio Management, 18-28.
  • ROZEFF, M. & KINNEY, W. (1976), “Capital Market Seasonality: The Case of Stock Returns”. Journal of Financial Economics, 379-402.
  • SZAKMARY, A., & KIEFER, D. (2004). “The Disappearing January-Turn of the Year Effect: Evidence From Stock Index Futures and Cash Markets”. Journal of Futures Markets, Vol:24, Issue:8, 755–784.
  • THALER, R., (1987). “Anomalies The January Effect”, Economic Perspectives, Vol:1, Number:1, Summer 1987, 197–201.
  • WIENER, N. (1923). “Differential Space”, Journal of Mathematical Physics, 2, 131-174.
  • YEN, G., & SHY, G. (1993). “Chinese New Year Efect in Asian Stock Markets”. NTU Management Review, 4(1), 417-436
There are 40 citations in total.

Details

Primary Language Turkish
Journal Section Makaleler
Authors

Özlem Özarslan Saydar

Publication Date July 31, 2021
Submission Date March 30, 2020
Published in Issue Year 2021 Volume: 13 Issue: 25

Cite

APA Özarslan Saydar, Ö. (2021). PİYASA ANOMALİLERİ VE BİST-100’DE OCAK AYI ANOMALİSİNİN TEST EDİLMESİ. Finansal Araştırmalar Ve Çalışmalar Dergisi, 13(25), 703-716. https://doi.org/10.14784/marufacd.976468

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