Mutlu Başaran ÖZTÜRK, Mustafa UYSAL, Halil ARSLAN, Temur KAYHAN

Takvim Anomalilerinin Hisse Getirileri ve Varyansı Üzerindeki Etkisi: Türkiye Hisse Senedi Piyasası Üzerinde Bir Çalışma

Son dönemde davranışsal finansa yönelik çalışmalarda bir artış gözlenmektedir. Fama’nın (1970) EMH’ne göre tüm bilgi, hisse değerlemelerinde fiyatlandığı için ucuz hisse senedinin varlığından söz edilemez. Davranışsal finans piyasada bir çok anomali bulunduğunu iddia etmektedir. Literatürde haftanın günleri, Ocak ayı etkisi ve dini günlerin hisse senedi piyasalarının getirileri ve oynaklığı üzerinde etkilerinin olabileceğine yönelik çalışmalar yer almaktadır. Türkiye örneğinde BIST100 ve İslami Endeks göstergesi olan KAT30 getirileri ve oynaklığı üzerine söz konusu anomaliler test edilmiştir. Haftanın günleri, Ocak ayı ve Ramazan ayının hem geleneksel hem de İslami hisse senedi endeksinin getirileri ve oynaklığı üzerinde herhangi bir etkisi bulunmadığı sonucuna ulaşılmıştır. Söz konusu sonuç Türk piyasasının bu anlamda daha verimli bir market olduğu ve Fama’nın EMH’ne göre hareket ettiği varsayımını güçlendirmiştir. Zamanlamanın Türk yatırımcının stratejilerinde kayda değer bir etkiye sahip olmadığı gözlenmiştir.

Anahtar Kelimeler:

Davranışsal Finans, EMH, Ramazan Etkisi, Anomaliler

THE IMPACT OF CALENDAR ANOMALIES ON STOCK RETURN AND VOLATILITY: EVIDENCE FROM TURKISH STOCK MARKET

There has been a rise in recent studies on behavioral finance. According to Fama (1970) all information is priced, so it cannot be said about the undervalued stock. However, behavioral finance asserts that there are many anomalies in the market. The effects of days of the week, January effect and religious days on the returns and volatility of the stock markets were examined in the literature. In the case of Turkey, aforementioned anomalies are tested using returns and volatility of BIST100 and KAT30 indices. As a result, days of the week, January effect and Ramadan effect have no any effect on returns and volatility of both conventional and unconventional stock indices. The result has strengthened the assumption that Turkish market is more efficient in this sense and in line with Fama’s EMH. It has been observed that timing does not have a significant effect on the strategies of Turkish investor

Keywords:

Behavioral Finance, EMH, Ramadan Efect, Anomalies,

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