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Mevsimsel Değişkenliklerin Borsa İstanbul Üzerindeki Oynaklık Etkisi: Ramazan Ayı Örneği

Year 2017, Volume: 4 Issue: 4, 18 - 34, 28.12.2017
https://doi.org/10.30803/adusobed.354767

Abstract

Bu
çalışmanın amacı Borsa İstanbul’da işlem gören teknoloji, mali, hizmetler ve
sanayi olmak üzere dört temel sektör bazındaki getiriler üzerinde Ramazan
ayının herhangi bir oynaklık etkisi yaratıp yaratmadığını 2000-2017 dönemleri
arasında incelemektir. Literatürde hisse senetleri üzerinde hareketli takvim
etkisine dair çeşitli çalışmalar mevcut olup Ramazan ayının etkisi bu çerçevede
incelenebilir, çünkü bu ayda oruç tutma, artan dini aktiviteler veya borsa
işlemlerinin bir çeşit kumar olduğuna dair artan negatif algı etkili
olabilmektedir. Bu çerçevede, Ramazan ayına ait olası etkileri araç değişken
kullanıldığı regresyon ve GARCH modelleri ile tahmin edilmiştir. Bulgulara göre
söz konusu ayda hisse senedi piyasası getirilerinin değişikliğe uğramadığı ve bu
ayda oynaklığın arttığı gözlemlense de hizmet sektörü haricinde bulgular
istatistiksel olarak anlamlı değildir.

References

  • ADEBIYI, A.A., ADEWUMI, A.O. and AYO, C. (2014). Stock Price Prediction Using the ARIMA Model, In Computer Modelling and Simulation (UKSim), 2014 UKSim-AMSS 16th International Conference on (pp. 106-112). IEEE.
  • AHKING, F. (2001). Model Mis-Specification and Johansen’s Co-Integration Analysis: An Application to The US Money Demand. Journal of Macroeconomics, 24 (2002), 51–66.
  • AL-HAJIEH, H., REDHEAD, K. and RODGERS, T. (2011). Investor Sentiment and Calendar Anomaly Effects: A Case Study of The Impact of Ramadan on Islamic Middle Eastern Markets. Research in International Business and Finance. 25 (2011): 345-356.
  • Başarır, Ç. and ERÇAKAR, M. E. (2016). An Analysis of the Relationship Between Crude Oil Prices, Current Account Deficit and Exchange Rate. International Journal of Economics and Finance, 8 (11).
  • BERUMENT, H., INAMLIK, A. and KIYMAZ, H. (2004). The Day of the Week Effect on Stock Market Volatility: Istanbul Stock Exchange. http://berument.bilkent.edu.tr/iif05.pdf (Erişim tarihi:19.05.2017)
  • BODIE, Z., KANE, A. and MARCUS, A.J. (2014). Investments. 10th Ed. McGraw Hill: UK.
  • BOLLERSLEV, T., (1986). Generalized Autoregressive Conditional Heteroskedasticity (GARCH). Journal of Econometrics, 31, 307–327.
  • DECARLO, L. T. (1997). On the Meaning and Use of Kurtosis, Psychological Method. American Psychological Association, 2 (3), 292-307.
  • DOANE, P.D. and SEWARD, E. L. (2011). Measuring Skewness: A Forgotten Statistic? Journal of Statistics Education, 19 (2).
  • EJDER, U. (2011). Multivariate Garch Models, İstanbul Technical University Informatics Institute, M. Sc. Thesis, Department of Informatics Computational Science and Engineering Programme, August 2011.
  • ENGLE, R. (2014), GARCH 101: An Introduction to the Use of ARCH/GARCH models in Applied Econometrics, http://www.stern.nyu.edu/rengle/GARCH101.PDF (Erişim tarihi: 20.05.2017)
  • ENGLE, R. (2002), An Introduction to the Use of ARCH/GARCH models in Applied Econometrics, http://www.stern.nyu.edu/rengle/GARCH101.PDF (Erişim tarihi: 20.05.2017)
  • ENGLE, R. (1982). Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50, 987–1007.
  • FRYZLEWICZ, P. (2007). Lecture Notes: Financial Time Series, ARCH and GARCH Models, http://stats.lse.ac.uk/fryzlewicz/lec_notes/garch.pdf (Erişim tarihi: 20.05.2017).
  • GAVRIILIDIS, K., KALLINTERAKIS, V. and TSALAVOUTAS, I. (2015). Investor Mood Herding and the Ramadan Effect. http://ssrn.com/abstract=2568699 (Erişim tarihi: 19.5.2017).
  • GUJARATI, D. (2004). Basic Econometrics, Fourth Edition, The McGraw−Hill Companies, 2004.
  • HUSAIN, F. (1998). A Seasonality in the Pakistani Equity Market: The Ramadhan Effect. The Pakistan Development Review. 37 (1): 77-81.
  • IŞIK, N., ACAR, M. and IŞIK, H. B. (2004). Relationship Between Inflation and Exchange Rate; A Cointegration Analysis. Süleyman Demirel University Journal of Faculty of Economics and Administrative Sciences, 9 (2), 325-340.
  • KHAZALİ, O.A. (2014). Revisiting Fast Profit Investor Sentiment and Stock Returns During Ramadan. International Review of Financial Analysis, 33 (2014), 158-170.
  • LATIF, M., ARSHAD, S., FATIMA, M. and FAROOQ, S. (2011). Market Efficiency, Market Anomalies, Causes, Evidences, and Some Behavioral Aspects of Market Anomalies. Research Journal of Finance and Accounting. 2 (9).
  • MONDAL, P., LABANI, S. and SAPTARSI G. (2014), Study of Effectiveness of Time Series Modeling (Arima) In Forecasting Stock Prices. International Journal of Computer Science, Engineering and Applications (IJCSEA), 4 (2), April 2014.
  • OGUZSOY, C.B. and GUVEN, S. (2004). Holy Days Effect on Istanbul Stock Exchange. Journal of Emerging Market Finance. 3 (1): 63-75.
  • OLGUN, O. (2007). The Day of the Week Effect in Istanbul Stock Exchange During 1988-2006. Third International Student Conference. Izmir, Turkey.
  • RAMEZANI, A., POURAGHAJAN, A. and MARDANI, H. (2013). Studying Impact of Ramadan on Stock Exchange Index: A Case of Iran. World of Sciences Journal. 1 (12): 46-54.
  • SEYYED, F.J., ABRAHAM, A. and AL-HAJJI, M. (2005). Seasonality in Stock Returns and Volatility: The Ramadan Effect. Research in International Business and Finance. 19 (2005): 374-383.
  • TERASVIRTA, T. (2006). An Introduction to Univariate GARCH Models. SSE/EFI Working Papers in Economics and Finance, 646, December 7, 2006.
  • VOGLVANG, B. (2005). Econometrics Theory and Applications with E Views, Prentice Hall Financial Times, Pearson Education Limited 2005.
  • WANG, W., VAN GELDER, P.H.A.J.M., VRIJLING, J.K. and MA, J. (2005). Testing and Modelling Autoregressive Conditional Heteroskedasticity Of Streamflow Processes, Nonlinear Processes in Geophysics (2005), European Geosciences Union.

Volatility Effect of Seasonal Variation on Borsa Istanbul: The Ramadan Case

Year 2017, Volume: 4 Issue: 4, 18 - 34, 28.12.2017
https://doi.org/10.30803/adusobed.354767

Abstract

This study aims to investigate the volatility effect
of seasonality during Muslim’s holy month of Ramadan in Borsa Istanbul (BIST)
at the basis of four main return indices of technology, service, industry and
financial sector for the period 2000-2017. In the literature, it is emphasized
that those moving calendar anomalies such as Ramadan may affect the volatility
of stock returns due to Islamic beliefs of investors such as fasting, increase
in religious rituals or increase in negative perception on speculative trading.
In this study, Ramadan effect on stock returns and volatility are analysed by
using dummy variables in regression and GARCH model respectively. An
examination of trading data shows that average rates of return are unaffected
during the month of Ramadan, and although it seems there is an increase in
volatility, except in service sector it is not statistically significant.

References

  • ADEBIYI, A.A., ADEWUMI, A.O. and AYO, C. (2014). Stock Price Prediction Using the ARIMA Model, In Computer Modelling and Simulation (UKSim), 2014 UKSim-AMSS 16th International Conference on (pp. 106-112). IEEE.
  • AHKING, F. (2001). Model Mis-Specification and Johansen’s Co-Integration Analysis: An Application to The US Money Demand. Journal of Macroeconomics, 24 (2002), 51–66.
  • AL-HAJIEH, H., REDHEAD, K. and RODGERS, T. (2011). Investor Sentiment and Calendar Anomaly Effects: A Case Study of The Impact of Ramadan on Islamic Middle Eastern Markets. Research in International Business and Finance. 25 (2011): 345-356.
  • Başarır, Ç. and ERÇAKAR, M. E. (2016). An Analysis of the Relationship Between Crude Oil Prices, Current Account Deficit and Exchange Rate. International Journal of Economics and Finance, 8 (11).
  • BERUMENT, H., INAMLIK, A. and KIYMAZ, H. (2004). The Day of the Week Effect on Stock Market Volatility: Istanbul Stock Exchange. http://berument.bilkent.edu.tr/iif05.pdf (Erişim tarihi:19.05.2017)
  • BODIE, Z., KANE, A. and MARCUS, A.J. (2014). Investments. 10th Ed. McGraw Hill: UK.
  • BOLLERSLEV, T., (1986). Generalized Autoregressive Conditional Heteroskedasticity (GARCH). Journal of Econometrics, 31, 307–327.
  • DECARLO, L. T. (1997). On the Meaning and Use of Kurtosis, Psychological Method. American Psychological Association, 2 (3), 292-307.
  • DOANE, P.D. and SEWARD, E. L. (2011). Measuring Skewness: A Forgotten Statistic? Journal of Statistics Education, 19 (2).
  • EJDER, U. (2011). Multivariate Garch Models, İstanbul Technical University Informatics Institute, M. Sc. Thesis, Department of Informatics Computational Science and Engineering Programme, August 2011.
  • ENGLE, R. (2014), GARCH 101: An Introduction to the Use of ARCH/GARCH models in Applied Econometrics, http://www.stern.nyu.edu/rengle/GARCH101.PDF (Erişim tarihi: 20.05.2017)
  • ENGLE, R. (2002), An Introduction to the Use of ARCH/GARCH models in Applied Econometrics, http://www.stern.nyu.edu/rengle/GARCH101.PDF (Erişim tarihi: 20.05.2017)
  • ENGLE, R. (1982). Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50, 987–1007.
  • FRYZLEWICZ, P. (2007). Lecture Notes: Financial Time Series, ARCH and GARCH Models, http://stats.lse.ac.uk/fryzlewicz/lec_notes/garch.pdf (Erişim tarihi: 20.05.2017).
  • GAVRIILIDIS, K., KALLINTERAKIS, V. and TSALAVOUTAS, I. (2015). Investor Mood Herding and the Ramadan Effect. http://ssrn.com/abstract=2568699 (Erişim tarihi: 19.5.2017).
  • GUJARATI, D. (2004). Basic Econometrics, Fourth Edition, The McGraw−Hill Companies, 2004.
  • HUSAIN, F. (1998). A Seasonality in the Pakistani Equity Market: The Ramadhan Effect. The Pakistan Development Review. 37 (1): 77-81.
  • IŞIK, N., ACAR, M. and IŞIK, H. B. (2004). Relationship Between Inflation and Exchange Rate; A Cointegration Analysis. Süleyman Demirel University Journal of Faculty of Economics and Administrative Sciences, 9 (2), 325-340.
  • KHAZALİ, O.A. (2014). Revisiting Fast Profit Investor Sentiment and Stock Returns During Ramadan. International Review of Financial Analysis, 33 (2014), 158-170.
  • LATIF, M., ARSHAD, S., FATIMA, M. and FAROOQ, S. (2011). Market Efficiency, Market Anomalies, Causes, Evidences, and Some Behavioral Aspects of Market Anomalies. Research Journal of Finance and Accounting. 2 (9).
  • MONDAL, P., LABANI, S. and SAPTARSI G. (2014), Study of Effectiveness of Time Series Modeling (Arima) In Forecasting Stock Prices. International Journal of Computer Science, Engineering and Applications (IJCSEA), 4 (2), April 2014.
  • OGUZSOY, C.B. and GUVEN, S. (2004). Holy Days Effect on Istanbul Stock Exchange. Journal of Emerging Market Finance. 3 (1): 63-75.
  • OLGUN, O. (2007). The Day of the Week Effect in Istanbul Stock Exchange During 1988-2006. Third International Student Conference. Izmir, Turkey.
  • RAMEZANI, A., POURAGHAJAN, A. and MARDANI, H. (2013). Studying Impact of Ramadan on Stock Exchange Index: A Case of Iran. World of Sciences Journal. 1 (12): 46-54.
  • SEYYED, F.J., ABRAHAM, A. and AL-HAJJI, M. (2005). Seasonality in Stock Returns and Volatility: The Ramadan Effect. Research in International Business and Finance. 19 (2005): 374-383.
  • TERASVIRTA, T. (2006). An Introduction to Univariate GARCH Models. SSE/EFI Working Papers in Economics and Finance, 646, December 7, 2006.
  • VOGLVANG, B. (2005). Econometrics Theory and Applications with E Views, Prentice Hall Financial Times, Pearson Education Limited 2005.
  • WANG, W., VAN GELDER, P.H.A.J.M., VRIJLING, J.K. and MA, J. (2005). Testing and Modelling Autoregressive Conditional Heteroskedasticity Of Streamflow Processes, Nonlinear Processes in Geophysics (2005), European Geosciences Union.
There are 28 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Alper Yılmaz

Zeliha Can Ergün

Publication Date December 28, 2017
Acceptance Date December 11, 2017
Published in Issue Year 2017 Volume: 4 Issue: 4

Cite

APA Yılmaz, A., & Can Ergün, Z. (2017). Mevsimsel Değişkenliklerin Borsa İstanbul Üzerindeki Oynaklık Etkisi: Ramazan Ayı Örneği. Adnan Menderes Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 4(4), 18-34. https://doi.org/10.30803/adusobed.354767
AMA Yılmaz A, Can Ergün Z. Mevsimsel Değişkenliklerin Borsa İstanbul Üzerindeki Oynaklık Etkisi: Ramazan Ayı Örneği. ADUSOBIED. December 2017;4(4):18-34. doi:10.30803/adusobed.354767
Chicago Yılmaz, Alper, and Zeliha Can Ergün. “Mevsimsel Değişkenliklerin Borsa İstanbul Üzerindeki Oynaklık Etkisi: Ramazan Ayı Örneği”. Adnan Menderes Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 4, no. 4 (December 2017): 18-34. https://doi.org/10.30803/adusobed.354767.
EndNote Yılmaz A, Can Ergün Z (December 1, 2017) Mevsimsel Değişkenliklerin Borsa İstanbul Üzerindeki Oynaklık Etkisi: Ramazan Ayı Örneği. Adnan Menderes Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 4 4 18–34.
IEEE A. Yılmaz and Z. Can Ergün, “Mevsimsel Değişkenliklerin Borsa İstanbul Üzerindeki Oynaklık Etkisi: Ramazan Ayı Örneği”, ADUSOBIED, vol. 4, no. 4, pp. 18–34, 2017, doi: 10.30803/adusobed.354767.
ISNAD Yılmaz, Alper - Can Ergün, Zeliha. “Mevsimsel Değişkenliklerin Borsa İstanbul Üzerindeki Oynaklık Etkisi: Ramazan Ayı Örneği”. Adnan Menderes Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 4/4 (December 2017), 18-34. https://doi.org/10.30803/adusobed.354767.
JAMA Yılmaz A, Can Ergün Z. Mevsimsel Değişkenliklerin Borsa İstanbul Üzerindeki Oynaklık Etkisi: Ramazan Ayı Örneği. ADUSOBIED. 2017;4:18–34.
MLA Yılmaz, Alper and Zeliha Can Ergün. “Mevsimsel Değişkenliklerin Borsa İstanbul Üzerindeki Oynaklık Etkisi: Ramazan Ayı Örneği”. Adnan Menderes Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, vol. 4, no. 4, 2017, pp. 18-34, doi:10.30803/adusobed.354767.
Vancouver Yılmaz A, Can Ergün Z. Mevsimsel Değişkenliklerin Borsa İstanbul Üzerindeki Oynaklık Etkisi: Ramazan Ayı Örneği. ADUSOBIED. 2017;4(4):18-34.

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