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Journals / Finans Politik ve Ekonomik Yorumlar Dergisi / 2017 / Cilt: 54 - Sayı: 632

The Day of the Week Effect at BIST 100: An Econometric Analysis

BİST 100'de Haftanın Günü Anomalisi: Ekonometrik Bir Analiz

ALİ ARI
Özge YÜKSEL
Pages
77–89
DOI
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AI Summary & Key Takeaways

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

Hence, we might affirm that BİST 100 is efficient in the weak form.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The Efficient Market Hypothesis claims that the prices which emerge in the market cannot be estimated and returns higher than the market returns cannot be obtained by using the information about the stock.
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Key Findings & Data:In this sense, we use 3.389 day closing data of BİST 100 over the period 03/01/2003-01/07/2016 to analyze the-day-of-week effect through OLS, GARCH and EGARCH methods.
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Conclusion & Impact:Hence, we might affirm that BİST 100 is efficient in the weak form.
🔬Design:Modeling & Simulation
📍Scope:2003 Verileri
⚙️Variables:Domain Parameters

Abstract

The Efficient Market Hypothesis claims that the prices which emerge in the market cannot be estimated and returns higher than the market returns cannot be obtained by using the information about the stock. However, some important empirical studies present conflicting results concerning this hypothesis. These conflicting results with the Efficient Market Hypothesis are called anomaly which means the deviation from the normality. In this paper, we aim to examine empirically periodic anomalies in the Istanbul Stock Exchange. In this sense, we use 3.389 day closing data of BİST 100 over the period 03/01/2003-01/07/2016 to analyze the-day-of-week effect through OLS, GARCH and EGARCH methods. Estimation results obtained from different models indicate that there is no theday-of-week effect in BİST 100. Hence, we might affirm that BİST 100 is efficient in the weak form.

Özet

Etkin Piyasa Hipotezi menkul kıymet pazarlarında oluşan fiyatların tahmin edilemeyeceğini dolayısıyla pazar getirisinin üzerinde aşırı kazanç elde edilemeyeceğini iddia eder. Yapılan araştırmaların bir kısmı bu hipotezi desteklerken azımsanmayacak bir kısmı ise bu hipotez ile çelişen sonuçlar ortaya koymuştur. Etkin Piyasa Hipotezi ile çelişen bulgular ise normalden uzaklaşma anlamına gelen anomali kavramı ile açıklanmıştır. Bu çalışmanın amacı Borsa İstanbul'daki olası dönemsel anomalileri OLS, GARCH ve EGARCH yöntemleri ile ampirik olarak ortaya koymaktır. Bu çerçevede BİST 100'e ait 03/01/2003-01/07/2016 tarihleri arasındaki 3.389 günlük kapanış verileri kullanılarak haftanın günü etkisinin varlığı araştırılmaktadır. Farklı model sonuçlarına göre BİST 100'de haftanın günü etkisine rastlanmamaktadır. Bu bağlamda BİST'in zayıf formda etkin olduğu ifade edilebilir.

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Cite This Article

ARI, A., YÜKSEL, Ö. (2017). The Day of the Week Effect at BIST 100: An Econometric Analysis. Finans Politik ve Ekonomik Yorumlar Dergisi, Cilt: 54 - Sayı: 632, 77–89. https://ajindex.com/articles/162512

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