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Journals / Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi / 2018 / Cilt: 6 - Sayı: 5

The Effect of the Month of Ramadan in Turkish Islamic Markets

Türkiye İslami Piyasalarında Ramazan Ayı Etkisi

Erkan ALSU
Ahmet TAŞDEMİR
Hatice Kübra ÖZYURT
Pages
707–712
Publication Date
2022-10-11
DOI
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AI Summary & Key Takeaways

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

As a result of the study, it was observed that the findings obtained indicated the presence of Ramadan effect in Turkish Islamic markets.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:Within the scope of this study, the effect of the month of Ramadan on the Turkish Islamic markets will be scrutinized.
📊
Key Findings & Data:Participation 30 (KAT30) index, which is calculated by BIST representing the Islamic markets of Turkey, was taken into account and the daily returns for this index between the dates of 17 February 2011 and 30 December 2016 were used.
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Conclusion & Impact:As a result of the study, it was observed that the findings obtained indicated the presence of Ramadan effect in Turkish Islamic markets.
🔬Design:Modeling & Simulation
📍Scope:2011 Verileri
⚙️Variables:Domain Parameters

Abstract

Within the scope of this study, the effect of the month of Ramadan on the Turkish Islamic markets will be scrutinized. Participation 30 (KAT30) index, which is calculated by BIST representing the Islamic markets of Turkey, was taken into account and the daily returns for this index between the dates of 17 February 2011 and 30 December 2016 were used. In this study, three dummy variables were generated by dividing the month of Ramadan into ten days and the effect of these dummy variables on modeling was investigated. In the study, 3 EGARCH model was set up; dummy variables in the first model are added to the mean equation, to the variance equation in the second model, and both the mean and variance equation in the third model. As a result of the study, it was observed that the findings obtained indicated the presence of Ramadan effect in Turkish Islamic markets.

Özet

Buçalışma kapsamında Ramazan ayının Türkiye İslami piyasalar üzerindeki etkisiincelenecektir. Türkiye İslami piyasalarını temsilen BİST tarafından hesaplananKatılım 30 (KAT30) endeksi, ele alınmış ve bu endekse ait 17 Şubat 2011 ile 30Aralık 2016 tarihleri arasındaki döneme ilişkin günlük getirilerkullanılmıştır. Çalışma da Ramazan Ayı on günlük dilimlere ayrılarak üç kukladeğişken oluşturulmuş ve oluşturulan bu kukla değişkenlerin modeldeki etkisiincelenmiştir. Çalışmada 3 EGARCH modeli kurulmuştur; birinci modelde kukladeğişkenler ortalama denklemine, ikinci modelde varyans denklemine, üçüncümodelde ise ortalama ve varyans denklemine eklenmiştir. Çalışma neticesinde,elde edilen bulguların Türkiye İslami piyasalarında Ramazan ayı etkisininvarlığını işaret ettiği görülmüştür.

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Cite This Article

ALSU, E., TAŞDEMİR, A., ÖZYURT, H. K. (2022). The Effect of the Month of Ramadan in Turkish Islamic Markets. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, Cilt: 6 - Sayı: 5, 707–712. https://ajindex.com/articles/440215

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