İstanbul menkul kıymetler borsası'nda bankalar endeksi için ay etkisi üzerine ampirik bir çalışma

Fama (1965, 1970, 1991) tarafından geliştirilen "Etkin Piyasalar Hipotezi", menkul kıymet fiyatlarının ilgili menkul kıymetlere ilişkin tüm bilgileri yansıttığını dolayısıyla piyasada işlem yapan hiçbir yatırımcının bir takım teknikler kullanarak normalüstü (ortalamadan fazla) getiri elde edemeyeceğini söyler. Bu çalışma, dönemsel anomalilerden en önemlisi sayılabilecek Ocak ayı etkisinin İMKB Bankalar Endeksi'nde gözlenip gözlenmediğini araştırmaktadır. Çalışmada finansal getiri serilerinde sıklıkla gözlemlenen normal dağılıma aykırılık, volatilitenin zaman içerisinde değişim göstermesi'gibi ampirik gözlemleri de dikkate alan GARCH modelleri kullanılmaktadır. İnceleme sonucunda Ocak ayı etkisi tespit edilememiştir. Diğer taraftan %5 anlamlılık düzeyinde Şubat, Ağustos, Eylül, Ekim ve Aralık aylarında oluşan istatistiksel olarak anlamlı getirilerin, piyasa etkinliği ve rasyonel fiyatlandırma modeli çerçevesinde piyasa risk faktörü tarafından açıklanamadığı belirlenmiştir. Getirilerin yılın belirli aylarına bağlı bir yapıya sahip olduğunu destekleyen bu çalışmanın sonuçları, İMKB'de alım-satım kararlarının zamanlaması ile riske göre düzeltilmiş getiri elde edilebileceği yönünde yatırımcılara kanıtlar sunmaktadır.

An empirical study: Monthly effects for İstanbul stock exchange banks indices

Efficient Market Hypothesis developed by Fama (1965,1970,1991) claims that stock prices reflect all available information thus any investor operating in the market cannot provide excess returns using some techniques. This study investigates the existence of January effect, considered one of the most important anomalies, in return series of Banks Indices (XBANK) in Istanbul Stock Exchange Market (ISE). In the review GARCH models are used that takes into account such empirical observations like non-normal distribution and changing volatility which are often observed in financial return series. As a result of the study, January Effect could not be identified. On the other hand, statistically significant returns with a level of 5% confidence observed in months February, August, September and December could not be explained by market efficiency and rational pricing model within the framework determined by the market risk factor. The results of this study support that the returns are acting systematically during certain time periods. And some evidences are presented to the investors for timing decisions of purchase and sales so risk-adjusted returns could be obtained.

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