Borsa İstanbul’da Gün İçi Verisinin Analizi

Finans literatüründe Etkin Piyasa Hipotezinin fiyatların tahminedilememesine yönelik önermesinin en çok rastlanılan red gerekçesitarih anomalileridir (haftanın günü etkisi, Ocak ayı etkisi, ayındönüm etkisi gibi). Gün içi verisinin incelenmesi sadece getirilerinbelirli saat dilimlerinin şeklinin anlaşılması dışında standart sapmasınınyapısını öğrenmek anlamında da önemlidir. Bu çalışmadaBorsa İstanbul 100 endeksinin gün içi getirisinin on beşer dakikalıkgetirilerinin yapısı ve standart sapması incelenmiştir. Çalışmadakullanılan veri seti işlem saatlerinin 10 Haziran 2013 tarihindedeğişmesi nedeniyle 11 Haziran 2013 tarihinden başlayarak 28Mayıs 2014 tarihleri arasındaki 5954 gözlemi kapsamaktadır.Standart sapmaların birinci seansta J tipi ikinci seansta ise W tipibir yapıya sahip olduğu bulunmuştur.

Anahtar Kelimeler:

Gün içi verisi, Etkin Piyasa Hipotezi, Borsa İstanbul, Oynaklık

An Analysis of Intraday Data on Borsa Istanbul

Calendar anomalies (day of the week effect, January effect,month effect) are the most frequently encountered cases for therejection of price unpredictability suggested by Efficient MarketHypothesis in finance literature. Evaluation of intraday data is notonly important for understanding the hourly movement of returnsbut also learning the structure of standard deviation. This studyanalyses the structure of intraday returns and their standard deviationswithin 15 minute time frames for BIST 100. Because thetransaction times were changed on 10 June 2013, the dataset covers5954 observations belonging to the period between 11 June2013 and 28 May 2014. The findings as to standard deviationsdemonstrate J type and W type structures in the first and secondsessions, respectively.

Keywords:

Intraday data, Efficient Market Hypothesis, Borsa Istanbul, Volatility,

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