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Journals / Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi / 2014 / Cilt: 19 - Sayı: 2

Küresel Finansal Kriz Sürecinde BİST 100 Endeksi’nde Haftanın Günleri Etkisinin Analizi

KÜRESEL FİNANSAL KRİZ SÜRECİNDE BİST 100 ENDEKSİ’NDE HAFTANIN GÜNLERİ ETKİSİNİN ANALİZİ

Öğr.Gör.Fatih KONAK
Doç.Dr.Selçuk KENDİRLİ
Pages
275–286
Publication Date
2014-06-01
DOI
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AI Summary & Key Takeaways

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

According to the outcomes, even though we have figured out different negative and positive results for the main period and sub-periods, only the negative Monday value appeared in the main period is statistically significant at 10% level

📌 3 Key Takeaways

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Objective & Hypothesis:This paper examines the presence of the day of the week effect as calendar anomaly in the BIST 100 index Before and after the Global Financial Crisis.
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Key Findings & Data:In this context, GARCH (1,1) model is employed on the main period (January 2005– December 2012) and three sub-periods which are pre-crisis period: January 2005-January 2008, crisis period: January 2008- December 2009 and post-crisis period: January 2010-December 2012.
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Conclusion & Impact:According to the outcomes, even though we have figured out different negative and positive results for the main period and sub-periods, only the negative Monday value appeared in the main period is statistically significant at 10% level
🔬Design:Modeling & Simulation
📍Scope:2005 Verileri
⚙️Variables:Haftanın Günleri Etkisi · BİST 100 · GARCH (1

Abstract

This paper examines the presence of the day of the week effect as calendar anomaly in the BIST 100 index Before and after the Global Financial Crisis. In this context, GARCH (1,1) model is employed on the main period (January 2005– December 2012) and three sub-periods which are pre-crisis period: January 2005-January 2008, crisis period: January 2008- December 2009 and post-crisis period: January 2010-December 2012. According to the outcomes, even though we have figured out different negative and positive results for the main period and sub-periods, only the negative Monday value appeared in the main period is statistically significant at 10% level

Özet

Bu çalışmada, Küresel Finansal Kriz öncesinde ve sonrasında “Haftanın Günleri Etkisi’nin” varlığı BİST 100 Endeksi’nde araştırılmıştır. Bu amaç doğrultusunda GARCH (1,1) modeli kullanılarak analiz edilecek günlük veri setleri ana örneklem ve alt gruplar için; a)Ana kütle: Ocak 2005–Aralık 2012, b)Kriz öncesi: Ocak 2005-Ocak 2008, c)Kriz dönemi için Ocak 2008- Aralık 2009, d)Kriz sonrası: Ocak 2010-Aralık 2012, şeklinde bölümlenmiştir. Analiz sonuçlarına göre, ana kütle ve alt gruplarda farklı negatif ve pozitif değerler elde edilmesine rağmen yalnızca ana kütlede görülen negatif Pazartesi değeri %10 anlamlılık düzeyinde istatistiksel olarak önemli çıkmıştır

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Cite This Article

KONAK, Ö., KENDİRLİ, D. (2014). Küresel Finansal Kriz Sürecinde BİST 100 Endeksi’nde Haftanın Günleri Etkisinin Analizi. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt: 19 - Sayı: 2, 275–286. https://ajindex.com/articles/803480

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