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Journals / Tarsus Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi / 2026 / Cilt: 7 Sayı: 1

MARKET DEVELOPMENT LEVEL AND THE JANUARY EFFECT: EVIDENCE FROM DEVELOPED, EMERGING AND FRONTIER MARKETS

Piyasa Gelişmişlik Düzeyi ve Ocak Etkisi: Gelişmiş, Gelişmekte Olan ve Sınır Piyasalardan Elde Edilen Bulgular

Emre Kılıç(NİŞANTAŞI ÜNİVERSİTESİ)0000-0003-2900-5123
Şevket Pazarcı0000-0002-3675-909X
Sümeyya Altuntaş(PAMUKKALE ÜNİVERSİTESİ)0009-0002-0197-0212
Pages
1–16
Publication Date
2026-06-18
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AI Summary & Key Takeaways

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

The research findings show that the January effect is not static; rather, depending on the level of market development, cyclical conditions, and investor behaviour, it evolves over time, offering important insights for international portfolio management strategies.

📌 3 Key Takeaways

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Objective & Hypothesis:This study examines the existence and evolution of the January effect, one of the most debated calendar anomalies in stock markets, over time and across different levels of market development.
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Key Findings & Data:Data from Morgan Stanley Capital International (MSCI) indices (January 2003-December 2024) were used to examine the January effect in developed (DM), emerging (EM), and frontier (FM) markets using the power ratio method of Gu (2003).
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Conclusion & Impact:The research findings show that the January effect is not static; rather, depending on the level of market development, cyclical conditions, and investor behaviour, it evolves over time, offering important insights for international portfolio management strategies.
🔬Design:Araştırma Makalesi
📍Scope:2003 Verileri
⚙️Variables:Ocak Etkisi · Takvimsel Anomaliler · MSCI Endeksleri

Abstract

This study examines the existence and evolution of the January effect, one of the most debated calendar anomalies in stock markets, over time and across different levels of market development. Data from Morgan Stanley Capital International (MSCI) indices (January 2003-December 2024) were used to examine the January effect in developed (DM), emerging (EM), and frontier (FM) markets using the power ratio method of Gu (2003). The results of the analysis reveal that the January effect exhibits an inverse relationship with market maturity: it is relatively weak and stable in developed markets, but stronger and more sensitive to macroeconomic shocks in emerging markets. Frontier markets exhibited the highest volatility, with dramatic fluctuations observed across all market groups during the global financial crisis of 2008-2009. The research findings show that the January effect is not static; rather, depending on the level of market development, cyclical conditions, and investor behaviour, it evolves over time, offering important insights for international portfolio management strategies.

Özet

Bu çalışma, hisse senedi piyasalarında en çok tartışılan takvimsel anomalilerden biri olan Ocak etkisinin varlığını ve zaman içinde ve farklı piyasa gelişmişlik düzeylerinde nasıl değiştiğini incelemektedir. MSCI (Morgan Stanley Capital International) endekslerinden elde edilen veriler (Ocak 2003-Aralık 2024) kullanılarak, Gu (2003) tarafından geliştirilen güç oranı yöntemi ile gelişmiş (DM), gelişmekte olan (EM) ve sınır (FM) piyasalarda Ocak etkisi incelenmektedir. Analiz sonuçları, Ocak etkisinin piyasa olgunluğu ile ters orantılı olduğunu ortaya koymaktadır: gelişmiş piyasalarda nispeten zayıf ve istikrarlıdır, ancak gelişmekte olan piyasalarda daha güçlüdür ve makroekonomik şoklara karşı daha duyarlıdır. Sınır piyasaları en yüksek volatiliteyi sergilemiş olup, 2008-2009 küresel finansal krizi sırasında tüm piyasa gruplarında dramatik dalgalanmalar gözlemlenmektedir. Araştırma bulguları, Ocak etkisinin statik olmadığını göstermektedir; piyasa gelişmişlik düzeyi, döngüsel koşullar ve yatırımcı davranışına bağlı olarak zaman içinde evrimleşen bu etki, uluslararası portföy yönetimi stratejileri için önemli içgörüler sunmaktadır.

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Cite This Article

Kılıç, E., Pazarcı, Ş., Altuntaş, S. (2026). MARKET DEVELOPMENT LEVEL AND THE JANUARY EFFECT: EVIDENCE FROM DEVELOPED, EMERGING AND FRONTIER MARKETS. Tarsus Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt: 7 Sayı: 1, 1–16. https://doi.org/10.56400/tarsusiibfdergisi.1944422

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