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TAKVİMSEL ANOMALİLERİN VARSAYIMI ALTINDA ANORMAL GETİRİ ELDE ETMEK MÜMKÜN MÜ?

Year 2021, Volume: 5 Issue: 2, 492 - 505, 05.05.2021

Ersin Kanat

https://doi.org/10.47525/ulasbid.875780

Abstract

Bu çalışmada birçok araştırmacının üzerinde durduğu bir konu olan takvimsel anomaliler incelenmektedir. Bir piyasada anomali algısı ile normal üstü getiri sağlamanın mümkün olup olmayacağı araştırılmaktadır. Bu sebeple, Event Study yönteminden yararlanılmakta olup, tatil etkisi anomalisi üzerinde durulmaktadır. Araştırma kapsamında Türkiye’deki milli ve dini bayramlar ele alınmıştır. Çalışmada, 01.01.2017-31.12.2019 tarihlerini kapsayan günlük veriler kullanılmıştır. Böylelikle, Türkiye’de anormal getiri sağlayabilecek bir tatil anomalisi olup olmadığı tespit edilmeye çalışılmıştır. Sektör bazlı yapılan araştırma sonuçları, hizmet sektörü hariç diğer sektörlerde herhangi bir önemli durum ortaya koymamaktadır. Hizmet sektöründe ise milli bayramlar öncesi negatif, dini bayramlar öncesi ise pozitif anormal getirilerin meydana geldiği gözlenmiştir. Kısaca, dört ana sektörden birine yatırım yapılırken tatil dönemleri çevresinde özellikle hizmet sektörüne dikkat edilmesi gerekmektedir. Tatil dönemlerine yakın zamanlarda hizmet sektöründen normalüstü getiri elde etme imkânı olduğu gibi bu dönemlerde sektör, riski de daha fazla barındırmaktadır.

Keywords

Anomali Borsa Event Study Anormal Getiri Tatil Etkisi

References

  • Ahmed, M., & Choudhury, N. (2017). Anomaly Detection on Big Data in Financial Markets. ASONAM '17: Proceedings of the 2017 IEEE/ACM International Conference on Advances in Social Networks Analysis and Mining 2017 (s. 998-1001). Sydney: (Doi: http://dx.doi.org/10.1145/3110025.3119402).
  • Al-Khazali, O., & Mirzaei, A. (2017). Stock Market Anomalies, Market Efficiency and the Adaptive Market Hypothesis: Evidence from Islamic Stock Indices. Journal of International Financial Markets, Institutions & Money, 51, 190-208. (Doi: https://doi.org/10.1016/j.intfin.2017.10.001).
  • Andrieş, A. M., Ihnatov, I., & Sprincean, N. (2017). Do Seasonal Anomalies Still Exist in Central and Eastern European Countries? A Conditional Variance Approach. Romanian Journal of Economic Forecasting, 20(4), 60-83.
  • Baş, R. (2018). Borsa İstanbul İçin Yapılan Yarı-Güçlü Formda Piyasa Etkinliği Testi Çalışmaları Üzerine Bir Literatür İncelemesi. İşletme Bilimi Dergisi (JOBS), 6(2), 253-285. (Doi: https://www.doi.org/10.22139/jobs.363286).
  • Benninga, S. (2014). Financial Modeling. London: MIT Press.
  • Caporale, G. M., & Zakirova, V. (2017). Calendar Anomalies in the Russian Stock Market. Russian Journal of Economics, 3(1), 101-108. (Doi: http://dx.doi.org/10.1016/j.ruje.2017.02.007).
  • Chandra, A. (2008). Decision Making in the Stock Market: Incorporating Psychology with Finance. National Conference on Forecasting Financial Markets of India. https://ssrn.com/abstract=1501721.
  • Close, L., & Kashef, R. (2020). Combining Artificial Immune System and Clustering Analysis: A Stock Market Anomaly Detection Model. Journal of Intelligent Learning Systems and Applications, 12, 83-108. (Doi: https://doi.org/10.4236/jilsa.2020.124005).
  • Daver, G., Karacaer, M., & Ünlü, H. (2013). Testing of Bist and Turkdex: Random Walk and Market Efficiency, International Journal of Economics and Finance Studies, 5(2). 10-22.
  • Eppli, M. J., & Tu, C. C. (2005). An Event Study Analysis of Mall Renovation and Expansion. Journal of Shopping Center Research, 12(2), 117-130.
  • Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383-417.
  • Gül, Y. (2020). Ocak Ayı Anomalisi Gerçekten Var mı? Erciyes Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 48, 135-160.
  • Gürbüz, S., & Şahbaz, A. (2019). Ramazan Ayı ve Dini Bayramların Bist 100 Endeksine Etkileri: Piyasa Anomalilerinin İncelenmesi. Uluslararası Yönetim İktisat ve İşletme Dergisi, 15(4), 951-964. (Doi: http://dx.doi.org/10.17130/ijmeb.2019456392).
  • Jebran, K., & Chen, S. (2017). Examining anomalies in Islamic equity market of Pakistan. Journal of Sustainable Finance & Investment, 7(3), 275-289. (Doi: https://doi.org/10.1080/20430795.2017.1289455).
  • KAP. (2020). Kamuyu Aydınlatma Platformu: https://www.kap.org.tr/tr/Endeksler (19.11.2020).
  • Karcıoğlu, R., & Özer, N. (2017). Bist'de Haftanın Günü ve Tatil Etkisi Anomalilerinin Getiri ve Oynaklık Üzerindeki Etkisinin İncelenmesi. Karadeniz Teknik Üniversitesi Sosyal Bilimler Enstitüsü Sosyal Bilimler Dergisi, 7(4), 457-483.
  • Kothari, S. P., & Warner, J. B. (2007). Econometrics Of Event Studies. Handbook of Corporate Finance: Empirical Corporate Finance. içinde North-Holland: Elsevier.
  • Marisa, O. (2017). Anomali Monday Effect Pada Ihsg Di Bursa Efek Indonesia Periode 2009-2011. Jurnal Akuntansi Bisnis, 6(1), 88-108.
  • Qadan, M., Aharon, D. Y., & Eichel, R. (2019). Seasonal Patterns and Calendar Anomalies in the Commodity Market for Natural Resources. Resources Policy, 63, 1-22. (Doi: https://doi.org/10.1016/j.resourpol.2019.101435).
  • Rossi, M., & Gunardi, A. (2018). Efficient Market Hypothesis And Stock Market Anomalies: Empirical Evidence In Four European Countries. The Journal of Applied Business Research, 34(1), 183-192.
  • Salamudin, N., Ariff, M., & Nassir, A. M. (1999). Economic influence on rights issueannouncement behavior in Malaysia. Pacific-Basin Finance Journal, 7(3), 405-427.
  • Seif, M., Docherty, P., & Shamsuddin, A. (2017). Seasonal Anomalies in Advanced Emerging Stock Markets. The Quarterly Review of Economics and Finance, 66, 169-181. (Doi: http://dx.doi.org/10.1016/j.qref.2017.02.009).
  • Serra, A. P. (2002). Event Study Tests- A Brief Survey. Working Papers da FEP no. 117. Faculdade de Economia do Porto - Universidade do Porto.

IS IT POSSIBLE TO GET ABNORMAL RETURN UNDER THE ASSUMPTION OF CALENDAR ANOMALIES?

Year 2021, Volume: 5 Issue: 2, 492 - 505, 05.05.2021

Ersin Kanat

https://doi.org/10.47525/ulasbid.875780

Abstract

In this study, calendar anomalies, a topic that many researchers focus on, are examined. It is being investigated whether it is possible to obtain an abnormal return with the perception of anomaly in a market. For this reason, the Event Study method is used and the holiday effect anomaly is emphasized. Within the scope of the study, national and religious holidays in Turkey were discussed. In the study; daily data were used for the years 2017, 2018 and 2019. Thus, it has tried to determine whether there is a holiday anomaly could provide abnormal returns in Turkey. Sector-based research results do not reveal any important situation in other sectors except the service sector. In the service sector, it has been observed that abnormal returns are predominantly positive before national holidays and negative abnormal returns before religious holidays. Briefly, it is necessary to pay attention especially to the service sector around the holiday periods. In the near-holiday periods, there is an opportunity in order to obtain an extraordinary return from the service sector, as well as the sector risks more during these periods.

Keywords

Anomaly Stock Market Event Study Abnormal Return Holiday Effect

References

  • Ahmed, M., & Choudhury, N. (2017). Anomaly Detection on Big Data in Financial Markets. ASONAM '17: Proceedings of the 2017 IEEE/ACM International Conference on Advances in Social Networks Analysis and Mining 2017 (s. 998-1001). Sydney: (Doi: http://dx.doi.org/10.1145/3110025.3119402).
  • Al-Khazali, O., & Mirzaei, A. (2017). Stock Market Anomalies, Market Efficiency and the Adaptive Market Hypothesis: Evidence from Islamic Stock Indices. Journal of International Financial Markets, Institutions & Money, 51, 190-208. (Doi: https://doi.org/10.1016/j.intfin.2017.10.001).
  • Andrieş, A. M., Ihnatov, I., & Sprincean, N. (2017). Do Seasonal Anomalies Still Exist in Central and Eastern European Countries? A Conditional Variance Approach. Romanian Journal of Economic Forecasting, 20(4), 60-83.
  • Baş, R. (2018). Borsa İstanbul İçin Yapılan Yarı-Güçlü Formda Piyasa Etkinliği Testi Çalışmaları Üzerine Bir Literatür İncelemesi. İşletme Bilimi Dergisi (JOBS), 6(2), 253-285. (Doi: https://www.doi.org/10.22139/jobs.363286).
  • Benninga, S. (2014). Financial Modeling. London: MIT Press.
  • Caporale, G. M., & Zakirova, V. (2017). Calendar Anomalies in the Russian Stock Market. Russian Journal of Economics, 3(1), 101-108. (Doi: http://dx.doi.org/10.1016/j.ruje.2017.02.007).
  • Chandra, A. (2008). Decision Making in the Stock Market: Incorporating Psychology with Finance. National Conference on Forecasting Financial Markets of India. https://ssrn.com/abstract=1501721.
  • Close, L., & Kashef, R. (2020). Combining Artificial Immune System and Clustering Analysis: A Stock Market Anomaly Detection Model. Journal of Intelligent Learning Systems and Applications, 12, 83-108. (Doi: https://doi.org/10.4236/jilsa.2020.124005).
  • Daver, G., Karacaer, M., & Ünlü, H. (2013). Testing of Bist and Turkdex: Random Walk and Market Efficiency, International Journal of Economics and Finance Studies, 5(2). 10-22.
  • Eppli, M. J., & Tu, C. C. (2005). An Event Study Analysis of Mall Renovation and Expansion. Journal of Shopping Center Research, 12(2), 117-130.
  • Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383-417.
  • Gül, Y. (2020). Ocak Ayı Anomalisi Gerçekten Var mı? Erciyes Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 48, 135-160.
  • Gürbüz, S., & Şahbaz, A. (2019). Ramazan Ayı ve Dini Bayramların Bist 100 Endeksine Etkileri: Piyasa Anomalilerinin İncelenmesi. Uluslararası Yönetim İktisat ve İşletme Dergisi, 15(4), 951-964. (Doi: http://dx.doi.org/10.17130/ijmeb.2019456392).
  • Jebran, K., & Chen, S. (2017). Examining anomalies in Islamic equity market of Pakistan. Journal of Sustainable Finance & Investment, 7(3), 275-289. (Doi: https://doi.org/10.1080/20430795.2017.1289455).
  • KAP. (2020). Kamuyu Aydınlatma Platformu: https://www.kap.org.tr/tr/Endeksler (19.11.2020).
  • Karcıoğlu, R., & Özer, N. (2017). Bist'de Haftanın Günü ve Tatil Etkisi Anomalilerinin Getiri ve Oynaklık Üzerindeki Etkisinin İncelenmesi. Karadeniz Teknik Üniversitesi Sosyal Bilimler Enstitüsü Sosyal Bilimler Dergisi, 7(4), 457-483.
  • Kothari, S. P., & Warner, J. B. (2007). Econometrics Of Event Studies. Handbook of Corporate Finance: Empirical Corporate Finance. içinde North-Holland: Elsevier.
  • Marisa, O. (2017). Anomali Monday Effect Pada Ihsg Di Bursa Efek Indonesia Periode 2009-2011. Jurnal Akuntansi Bisnis, 6(1), 88-108.
  • Qadan, M., Aharon, D. Y., & Eichel, R. (2019). Seasonal Patterns and Calendar Anomalies in the Commodity Market for Natural Resources. Resources Policy, 63, 1-22. (Doi: https://doi.org/10.1016/j.resourpol.2019.101435).
  • Rossi, M., & Gunardi, A. (2018). Efficient Market Hypothesis And Stock Market Anomalies: Empirical Evidence In Four European Countries. The Journal of Applied Business Research, 34(1), 183-192.
  • Salamudin, N., Ariff, M., & Nassir, A. M. (1999). Economic influence on rights issueannouncement behavior in Malaysia. Pacific-Basin Finance Journal, 7(3), 405-427.
  • Seif, M., Docherty, P., & Shamsuddin, A. (2017). Seasonal Anomalies in Advanced Emerging Stock Markets. The Quarterly Review of Economics and Finance, 66, 169-181. (Doi: http://dx.doi.org/10.1016/j.qref.2017.02.009).
  • Serra, A. P. (2002). Event Study Tests- A Brief Survey. Working Papers da FEP no. 117. Faculdade de Economia do Porto - Universidade do Porto.
There are 23 citations in total.

Details

Primary Language English
Journal Section Articles
Authors

Ersin Kanat 0000-0002-9361-4495

Publication Date May 5, 2021
Submission Date February 6, 2021
Published in Issue Year 2021 Volume: 5 Issue: 2

Cite

APA Kanat, E. (2021). IS IT POSSIBLE TO GET ABNORMAL RETURN UNDER THE ASSUMPTION OF CALENDAR ANOMALIES?. Uluslararası Anadolu Sosyal Bilimler Dergisi, 5(2), 492-505. https://doi.org/10.47525/ulasbid.875780
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