SavedAdd your journal

Journals / Sosyoekonomi / 2018 / Cilt: 26 - Sayı: 36

An Analysis of January Effect On Different BIST Indexes In Turkish Stock Markets

Ocak Ayı Etkisinin Türk Sermaye Piyasalarında Farklı BIST Endekslerine Göre Analizi

Hakan BİLİR
Pages
145–160
Publication Date
2018-04-30
DOI
—
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Consequently, except one, existence of january effect is found at five of four indexes in Turkey stock market.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:Behavioral finance attempts to give some explanations about these anomalies as psychological and emotional factors involved in the stock market and that affect the behavior of investors and the market efficiency.
📊
Key Findings & Data:In this article, january effect known as market anomalies is tested by power ratio method which is developed by Gu (2003).
💡
Conclusion & Impact:Consequently, except one, existence of january effect is found at five of four indexes in Turkey stock market.
🔬Design:Research Article
📍Scope:2003 Verileri
⚙️Variables:davranışsal finans · ocak ayı etkisi · behavioral finance

Abstract

Behavioral finance attempts to give some explanations about these anomalies as psychological and emotional factors involved in the stock market and that affect the behavior of investors and the market efficiency. In this article, january effect known as market anomalies is tested by power ratio method which is developed by Gu (2003). Monthly logarithmic returns of years 2009-2016 for XU100, XUHIZ, XUMAL, XUSIN ve XUTEK Indexes are used in the analysis. Consequently, except one, existence of january effect is found at five of four indexes in Turkey stock market.

Özet

Davranışsal finans, sermaye piyasalarındaki anomalileri, yatırımcı davranışlarına ve piyasa etkinliğine yön veren psikolojik ve duygusal faktörler ile açıklamaya çalışmaktadır. Çalışmada bir piyasa anomalisi olarak kabul edilen Ocak ayı etkisi, Gu (2003) tarafından geliştirilen güç oranı yöntemiyle test edilmiştir. Analizde, 2008-2016 yıllarını kapsayan dönem bakımından XU100, XUHIZ, XUMAL, XUSIN ve XUTEK Endeksleri aylık logaritmik getirileri kullanılmıştır. İlgili dönem bakımından, bir tanesi hariç olmak üzere, beş endeksin kalan dört tanesinde Ocak ayı etkisinin varlığı saptanmıştır.

🔖

Cite This Article

BİLİR, H. (2018). An Analysis of January Effect On Different BIST Indexes In Turkish Stock Markets. Sosyoekonomi, Cilt: 26 - Sayı: 36, 145–160. https://ajindex.com/articles/139305

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (2)

  1. Andrew, W. Lo (2005). “Reconciling Efficient Markets with Behavioural Finance: The Adaptive Markets Hypothesis”, Recent Research, V.7, N.2. Ardalan, Kavous (1996). “Game Theory, Information Economics, Rational Expectations, and Efficient Market Hypothesis: Overviews and Exposition of Interconnections”, International Journal of Business, 1 (2). Atakan, Tülin (2008); “İstanbul Menkul Kıymetler Borsası’nda Haftanın Günü Etkisi ve Ocak Ayı Anomalilerinin ARCH-GARCH Modelleri İle Test Edilmesi”, İstanbul Üniversitesi İşletme Fakültesi Dergisi, Cilt/Vol:37, Sayı/No:2, 2008, 98-110, www.ifdergisi.org Aytekin, Sinan ve Şakir Sakarya (2104); “Ocak Ayı Anomalisi: Borsa İstanbul Endeksleri Üzerine Bir Uygulama”, Uluslararası Yönetim İktisat ve İşletme Dergisi, Cilt 10, Sayı 23, 2014, 137 – 156. Chuvakhin, Nikolai (2001). “Efficient Market Hypothesis And Behavioral Finance – Is A Compromise In Sight?”, http://ncbase.com/papers/EMH-BF.pdf (12.01.2016)
  2. Ege, İlhan, Emre Esat Topaloğlu ve Dilek Coşkun (2012); “Davranışsal Finans ve Anomaliler: Ocak Ayı Anomalisinin BIST’de Test Edilmesi”, Muhasebe ve Finans Dergisi, Ekim 2012, 175 – 190. Fırat, Duygu ve Sibel Fettahoğlu (2011). “Investors’ Purchasing Behaviour via Behavioural Finance Approach”, International Journal of Business and Management, V.6, N.7, July. www.cesenet.org/ijbm Güler, Sevinç (2013); “January Effect In Stock Returns: Evidence From Emerging Markets”, Interdisciplinary Journal of Contemporary Research In Business, Vol 5, No 4, August 2013, 641 -648. Gu, Anthony Yanxiang, (2003), “The Declining January Effect: Evidences from the U.S. Equity Markets”, The Quarterly Review of Economics and Finance, No. 43, 395- 404. Jain, Vaibhav (2012). “An Insight Into Behavioral Finance Models, Efficient Market Hypothesis and Its Anomalies”, Researchers World, Journal of Arts, Science & Commerce, V.III, Issue – 3(1), July. www.researchersworld.com Kulalı, İhsan (2016); “Etkin Piyasalar Hipotezi ve Davranışsal Finans Çatışması”, Finans ve Bankacılık Çalışmaları Dergisi, Özel Sayı, Cilt 5, No, 2 Küçüksille, Engin (2012); “BIST Endekslerinde Ocak Ayı Etkisinin Test Edilmesi”, Muhasebe ve Finans Dergisi, Ocak 2012, 129 – 139. Latif, Madiha, Shanza Arshad, Mariam Fatima and Samia Farooq (2011). “Market Efficiency, Market Anomalies, Causes, Evidences, and Some Behavioral Aspects of Market Anomalies, Research Journal of Finance and Accounting, Vol.2, No 9/10. Malkiel, Burton G. (2003). “The Efficient Market Hypothesis and Its Cri