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Journals / Üçüncü Sektör Sosyal Ekonomi / 2019 / Cilt: 54 - Sayı: 3

Holiday Anomalies In Security Markets: An Application On The BIST Banking Index

Hisse Senedi Piyasalarında Tatil Anomalisi: BIST Bankacılık Endeksi Üzerine Bir Uygulama

Gamze GÖÇMEN YAĞCILAR
Zühal ARSLAN
Pages
1114–1134
DOI
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AI Summary & Key Takeaways

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

Results suggest that holiday effect is exists for a number of bank stocks and the anomalies occur especially the 2.-5. days before holidays.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study aims to evaluate “holiday effect” for stocks traded at BIST Banking index during 03.01.2013-30.09.2018 period.
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Key Findings & Data:In this context, at least three-day-long religious and national holidays with no transaction, whether or not involving weekends, are determined.
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Conclusion & Impact:Results suggest that holiday effect is exists for a number of bank stocks and the anomalies occur especially the 2.-5. days before holidays.
🔬Design:Research Article
📍Scope:2013 Verileri
⚙️Variables:Domain Parameters

Abstract

This study aims to evaluate “holiday effect” for stocks traded at BIST Banking index during 03.01.2013-30.09.2018 period. In this context, at least three-day-long religious and national holidays with no transaction, whether or not involving weekends, are determined. Investigation of any anomaly is not limited with the last transaction days before and first days after holidays but extended till the fifth day before holidays. Results suggest that holiday effect is exists for a number of bank stocks and the anomalies occur especially the 2.-5. days before holidays.

Özet

Çalışmanın amacı, 02.01.2013-30.09.2018 döneminde BIST Bankacılık Endeksinde işlem gören banka hisse senetleri için Tatil Anomalisini değerlendirmektir. Bu bağlamda dini bayramlar ve resmi tatiller nedeniyle, hafta sonlarını kapsayıp kapsamadığına bakılmaksızın, işlem yapılmayan en az üç günlük dönem, “tatil” olarak değerlendirilmiştir. Anomalinin araştırılması tatil öncesi son ve tatil sonrası ilk işlem günleri ile sınırlı tutulmamış, tatilden beş işlem günü öncesine kadar araştırılmıştır. Bulgular tatil etkisinin banka hisse senetlerinin bir kısmında geçerli olduğunu ve tatil anomalisinin tatilden önceki 2.-5. işlem günlerinde ortaya çıktığını göstermektedir.

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Cite This Article

YAĞCILAR, G. G., ARSLAN, Z. (2019). Holiday Anomalies In Security Markets: An Application On The BIST Banking Index. Üçüncü Sektör Sosyal Ekonomi, Cilt: 54 - Sayı: 3, 1114–1134. https://ajindex.com/articles/320343

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