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Bu çalışmada, 23 ülkenin hisse senedi piyasalarında Ocak ayı anomalisinin (January effect) görülüp görülmediği araştırılmıştır. Bu doğrultuda, ülke piyasalarını temsil eden endekslerin ay sonu kapanış verileri (Aralık 2009-Aralık 2019 dönemi için) ve Gu (2003) tarafından geliştirilen ‘’Güç Oranı’’ tekniği kullanılmıştır. Gerçekleştirilen analizler neticesinde, 18 piyasada (ABD, Brezilya, İngiltere, İspanya ve Hindistan hariç) Ocak ayı anomalisi tespit edilmiştir. Bu sonuçlar, piyasalarda Ocak ayı anomalisi olduğunu ileri süren çalışmaları destekler niteliktedir. Bununla beraber, Ocak ayı anomalisinin en fazla gözlemlendiği yıllar 2012 ve 2019 olup, en az gözlemlendiği yıl ise 2016’dır. Öte yandan, yalnızca İspanya, İtalya ve Danimarka piyasalarının güç oranları alçalan bir trend izlemektedir. Dolayısıyla, bu piyasaların etkinliklerinin artmakta olduğu ve ilerleyen yıllarda İtalya ile Danimarka piyasalarından Ocak ayı anomalisinin kaybolma olasılığının bulunduğu belirtilebilmektedir. Ocak ayı anomalisi gözlemlenmeyen ABD, Brezilya, İngiltere ve Hindistan piyasalarında ise, güç oranlarının yukarı yönlü trendleri kuvvetlenmektedir ve bu piyasalarda gelecek dönemlerde Ocak ayı anomalisi görülme ihtimalinin yükselmekte olduğu söylenebilmektedir.
This study has studied whether the January effect (January effect) was observed in the stock markets of 23 countries. In this regard, the end-moon closing data of the indicators representing the country’s markets (for the December 2009–December 2019 period) and the “Power Rate” technique developed by Gu (2003) were used. According to the results of the analysis, January anomaly was detected in 18 markets (except in the US, Brazil, the UK, Spain and India). These findings support the research that suggests that the markets have an anomaly in January. However, the years in which January anomaly is most observed are 2012 and 2019, and the year in which it is least observed is 2016. On the other hand, only the power rates of the markets in Spain, Italy and Denmark are following a declining trend. Therefore, the activity of these markets is increasing and in the coming years there is a possibility of the January anomaly from the Italian and Danish markets to disappear. In the US, Brazil, Britain and India markets where the anomaly of January is not observed, the upward trends of power rates are increasing and the possibility of the anomaly of January is increasing in the coming periods.
In this study, it was investigated whether January anomaly (January effect) is seen in the stock markets of 23 countries. Accordingly, the end-month closing data (for the period of December 2009-December 2019) of indices representing the country markets and the "Power Ratio" technique developed by Gu (2003) were used. As a result of the analyzes carried out, it has been determined that there is January anomaly in 18 markets (excluding USA, Brazil, England, Spain, India). These results support the studies claiming that there is a January anomaly in the markets. However, the years in which January anomaly was observed most are 2012 and 2019, and the year in which it was observed least is 2016. On the other hand, only the power ratios of the Spain, Italy and Denmark markets follow a decreasing trend. Therefore, it can be stated that the efficiency of these markets is increasing and that the January anomaly may be lost from the markets of Italy and Denmark in the following years. In the USA, Brazil, England and India markets where no January anomaly was observed, the upward trends of power ratios are getting stronger and it can be stated that the probability of January anomaly being seen is increasing in these markets in the future.
Field : Sosyal, Beşeri ve İdari Bilimler
Journal Type : Uluslararası
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