CALENDAR ANOMALIES IN THE SHANGHAI STOCK EXCHANGES

Bu çalışma Haftanın Günleri Etkisi ve Tatil Öncesi Etkisi şeklinde bilinen takvimsel anomalilerin varlığını Şanghay Borsası üzerinde analiz etmektedir. Bu çalışmaının ana amacını, bahsi geçen takvimsel anomalilerin SSE’de ki varlığının 08 Ekim 2001 – 28 Eylül 2012 tarihleri arasında tespit edilmesi ve kullanılan beş alt grup ile süreklilik açısından değerlendirilmesi oluşturmaktadır. Elde edilen bulgulara göre, takvimsel anaomaliler Şanghay Borsası’ında görülmemesine karşın farklı zaman aralıklarında günlük trendler ortaya çıktığı görülmüştür. Ayrıca, SSE’de görülen takvimsel anomalilerin alt grup incelemesi yapıldığında süreklilik göstermediği ortaya çıkmıştır. Bu nedenle, gerçekleştirilen bu çalışma nazarında, Çin Piyasası’nın etkin olmadığı söylenemez. Bir başka ifadeyle, bu piyasada yatırım yapan katılımcılar, tarihsel verileri kullanarak anormal getiri elde edemezler

CALENDAR ANOMALIES IN THE SHANGHAI STOCK EXCHANGES

This paper examines the presence of the day of the week and pre-holiday effect as calendar anomalies evidences in the Shanghai Stock Exchange (SSE), and this presents a challenge to the ongoing theory of efficiency, also termed the Efficient Market Hypothesis (EMH). In particular, this paper aims to examine the presence of these calendar anomalies in SSE during the period from 08 October 2001 to 28 September 2012 and five sub-periods that is designed to determine persistency. The findings from the data analyses show that although the calendar anomalies do not exist in the market, it can be observed that the daily patten does appear days. This research investigated calendar anomalies related to SSE and we figured out that in some periods and in some types calendar pattern, although anomalies has been detected, they are not persistent. Hence, it cannot be claimed that Chinese Market is inefficient and one is expected to beat the market consistently

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MANAS Sosyal Araştırmalar Dergisi-Cover
  • ISSN: 1694-7215
  • Yayın Aralığı: Yılda 4 Sayı
  • Başlangıç: 2001
  • Yayıncı: Kırgızistan Türkiye Manas Üniversitesi