Aşırı tepki hipotezinin test edilmesi: Borsa İstanbul örneği

Bu çalışmada Ocak 1998-Aralık 2012 döneminde Borsa İstanbul'da Aşırı Tepki Hipotezinin varlığı, borsanın Ulusal Pazarında 1998 yılından beri kesintisiz olarak işlem gören 146 adet hisse senedi üzerinde, senetlerin Borsa İstanbul'un resmi internet sitesinden alınan aylık getirileri kullanılarak araştırılmıştır. Söz konusu dönem, 36 aydan oluşan 4 periyodu kapsamaktadır. Yapılan ampirik çalışmanın sonuçlarına test dönemleri itibariyle bakıldığında bu dönemlerin tamamı dikkate alındığında kaybeden portföyün aylık ortalama kümülatif anormal getirisi -%1,07'den, %2,728 artışla %1,658'e çıkmıştır. Benzer şekilde kazanan portföyün aylık ortalama kümülatif anormal getirisi %5,951'den, %4,754 azalışla %1,197 olarak gerçekleşmiştir. Bu bulgular Borsa İstanbul'da Aşırı Tepki Hipotezi'nin varlığını desteklemektedir

Testiıng of the overreaction hypothesis: The case of bourse İstanbul

In this paper, whether The Overreaction Hypothesis is valid for Bourse Istanbul in the period of January 2000-May 2011 by using monthly returns of 146 stocks which have been contuniously traded in The National Market since 1998. The monthly returns of 146 securities was collected from The Bourse Istanbul's official web site monthly average abnormal return of looser portfolio has reached to 1,658% from -1,07% with an increase of 2,728%. Similarly, the average monthly cumulative abnormal return of the winner portfolio has reached to 1.197% from 4,754% with a decrease of 1.197%. These findings support that The Overreaction Hypothesis is valid for Bourse Istanbul

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