S&P 500 ENDEKSİNDE TAKVİM ANOMALİSİ: MARK TWAIN (EKİM) ETKİSİ ÜZERİNE BİR İNCELEME

Çalışmada, S&P 500 endeksinde Mark Twain (Ekim Etkisi) etkisinin olup olmadığını Ocak 1927 – Aralık 2020 dönemi arasındaki getiri verileri kullanılarak incelenmiştir. Takvim etkisi literatüründe yaygın olarak yer alan Ocak ayı etkisi yerine Ekim ayı anomalisi incelenmektedir. Etkinin sınanmasında, parametrik testlerden kukla değişkenli regresyon modelleri ve Mann Whitney U testi (parametrik olmayan test) kullanılmıştır. Çalışmanın neticesinde S&P 500 endeksinde ilgili dönem için Mark Twain etkisine rastlanmamıştır ve bu bulgu Mann Whitney U testi ile teyit edilmiştir.

THE CALENDAR ANOMALY IN THE S&P 500 INDEX: A STUDY ON THE MARK TWAIN (OCTOBER) EFFECT

In the study, it is investigated whether there is a Mark Twain (October Effect) effect on the S&P 500 index using the return data between January 1927 and December 2020. Instead of the January effect, which is common in the calendar effect literature, the October month anomaly is examined. Dummy variable regression models from parametric tests and Mann Whitney U test (nonparametric test) were used to test the effect. As a result, no Mark Twain effect was found for the relevant period in the S&P 500 index, and this finding was confirmed by the Mann Whitney U test.

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Trakya Üniversitesi Sosyal Bilimler Dergisi-Cover
  • ISSN: 1305-7766
  • Yayın Aralığı: Yılda 2 Sayı
  • Başlangıç: 2000
  • Yayıncı: Trakya Üniversitesi Sosyal Bilimler Enstitüsü