Mevsimsel Değişkenliklerin Borsa İstanbul Üzerindeki Oynaklık Etkisi: Ramazan Ayı Örneği

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.

Anahtar Kelimeler:

Hisse Senetleri Getirisi, Takvimsel Oynaklık, Ramazan Etkisi

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

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.

Keywords:

Stock Returns, Calendar Anomaly, Ramadan Effect,

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