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.
Alan : Sosyal, Beşeri ve İdari Bilimler
Dergi Türü : Uluslararası
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