Bu çalışmada 03/01/1994-27/07/2017 tarihleri arasında günlük verilerle BİST 100 endeksinin Ramazan ayında, Ramazan ve Kurban bayramında piyasa anomalisi gösterip göstermediği incelenmiştir. Sonuçlar, Ramazan ayı, Ramazan bayramı ve Kurban bayramında varlık getirilerinde istatistiksel olarak bir değişiklik olmadığını göstermektedir. Diğer taraftan EGARCH yöntemiyle sınanan anomalilerde Ramazan ayı ve Ramazan bayramında volatilitenin arttığı, Kurban bayramında ise volatilite üzerinde anlamlı bir etki olmadığı tespit edilmiştir.
In this study, with daily data between 03/01/1994-27/07/2017 it was studied whether the BIST 100 index showed market anomaly in the month of Ramadan, Ramadan and the Day of the Victim. The results show that there is no statistical change in the returns of assets in the month of Ramadan, Ramadan and Sacrifice. On the other hand, the anomalies tested by the EGARCH method have been found that volatility increased during the month of Ramadan and Ramadan, and that there is no significant impact on volatility during the Day of the Victim.
In this study, it was examined whether BİST 100 index showed a market anomaly during Ramadan month, Eid al-Fitr and Eid al-Adha. The daily data covered by 03/01/199427/07/2017 was used. The results show that there are not statistical changing on the return of assets during the month of Ramadan, the Eid al-Fitr and the Eid al-Adha. On the other hand, the anomalies tested by the EGARCH method have been found to have increased volatility during Ramadan month and Aid al-Fitr and no significant effect on volatility during the Eid al-Adha
Dergi Türü : Uluslararası
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