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Journals / IBAD Sosyal Bilimler Dergisi / 2022 / Sayı: 12

Is There the Day of the Week Effect on New Food Indices?

Yeni Gıda Endekslerinde Haftanın Günü Etkisi Var mı?

İhsan Erdem KAYRAL
Levent AKSOY
Pages
461–476
Publication Date
2022-08-02
DOI
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AI Summary & Key Takeaways

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

Thus, it is thought that the developments in the markets will reflect on the index prices in a way that does not impair market efficiency.

📌 3 Key Takeaways

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Objective & Hypothesis:The aim of this study is to examine the existence of the day of the week effect TURIB Barley (TRBARP), TURIB Wheat (TRBBGD), and TURIB Corn (TRBMSR) Indices on newly created in Turkey.
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Key Findings & Data:For this purpose, the return series of the indices were used in the period between 01.04.2021 (the first trading day of the indices) and 24.01.2022.
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Conclusion & Impact:Thus, it is thought that the developments in the markets will reflect on the index prices in a way that does not impair market efficiency.
🔬Design:Modeling & Simulation
📍Scope:2021 Verileri
⚙️Variables:Haftanın günü etkisi · arpa · buğday

Abstract

The aim of this study is to examine the existence of the day of the week effect TURIB Barley (TRBARP), TURIB Wheat (TRBBGD), and TURIB Corn (TRBMSR) Indices on newly created in Turkey. For this purpose, the return series of the indices were used in the period between 01.04.2021 (the first trading day of the indices) and 24.01.2022. The analyzes are performed using the GARCH (1,1) model, since the heteroscedasticity problem is detected in the index returns. As a result of the analyzes, it is found that there is a potential to obtain abnormal returns on Mondays and Tuesdays in the TURIB Barley (TRBARP) index, on Mondays and Thursdays in the TURIB Wheat (TRBBGD) index, and Mondays in the TURIB Corn (TRBMSR) index. It is supposed that the trading volume in the indices will increase as the potential to obtain abnormal returns on the days when the anomaly is detected by other investors. With this increase, it is thought that the efficiency of the indices (TURIB Barley, TURIB Wheat, and TURIB Corn) that are the subject of the study will increase gradually. As a result, it has been evaluated that the abnormal return will gradually disappear. Thus, it is thought that the developments in the markets will reflect on the index prices in a way that does not impair market efficiency.

Özet

Bu çalışmanın amacı, Türkiye’de TÜRİB Arpa (TRBARP), TÜRİB Buğday (TRBBGD) ve TÜRİB Mısır (TRBMSR) endekslerinde haftanın günü etkisinin varlığını incelemektir. Bu amaçla 01.04.2021 (endekslere ait ilk işlem günü) ile 24.01.2022 arasındaki dönemde endekslerin getiri serileri kullanılmıştır. Endeks getirilerinde değişen varyans (heteroskedastisite) sorunu tespit edilmesi nedeniyle, analizler GARCH (1,1) modeli kullanılarak gerçekleştirilmiştir. Analizler sonucunda, TÜRIB Arpa (TRBARP) endeksinde pazartesi ve salı günleri, TÜRIB Buğday (TRBBGD) endeksinde pazartesi ve perşembe günleri, TÜRİB Mısır (TRBMSR) endeksinde pazartesi günleri normal üstü getiri elde etme potansiyelinin bulunduğu ve bu yönüyle haftanın günü etkisinin görüldüğü tespit edilmiştir. Anomali tespit edilen günlerde normal üstü getiri elde etme potansiyelinin diğer yatırımcılar tarafından görülmesiyle endekslerde işlem hacminin artması beklenmektedir. Bu artış ile çalışmaya konu olan endekslerin (TÜRIB Arpa, TÜRİB Buğday ve TÜRİB Mısır) etkinliğinin kademeli olarak artacağı düşünülmektedir. Bunun sonucunda normal üstü getirinin aşamalı olarak ortadan kalkacağı değerlendirilmiştir. Böylelikle, piyasalardaki gelişmelerin endeks fiyatlarına piyasa etkinliğini bozmayacak şekilde yansıyacağı düşünülmektedir.

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Cite This Article

KAYRAL, İ. E., AKSOY, L. (2022). Is There the Day of the Week Effect on New Food Indices?. IBAD Sosyal Bilimler Dergisi, Sayı: 12, 461–476. https://ajindex.com/articles/764003

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