Türkiye İslami Piyasalarında Ramazan Ayı Etkisi

Alsu, Erkan; Taşdemir, Ahmet; Özyurt, Hatice Kübra

doi:10.18506/anemon.347913

Cited by 1 publication

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References 9 publications

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“…Findings indicated the effect to be significant and positive for just five sectors, with the average returns of some sectors being relatively higher than those of the BIST-100 during the month. Alsu et al (2018) found a Ramadan effect in BIST on Islamic markets for the daily returns of the Participation-30 Index between 17.02.2011 and 30.12.2016. Their findings revealed that there has been a decline in the second 10 days of Ramadan, due to investors' _____________________________________________________________________________________________________ DOI: 10.17261/Pressacademia.2020.1189 16 devoting themselves to religious rituals.…”

Section: Introductionmentioning

confidence: 94%

Does Borsa Istanbul incorporate herding and calendar anomalies an empirical evidence

Çilingirtürk¹,

Polat²,

Gogus³

2020

Pressacademia

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Purpose-Anomalies and herding rather than individual rational decisions could be detected in capital markets. Such formations' enabling abnormal returns under volatility, may be of interest in respect of Turkish capital markets. This study analyzes the herd behavior and calendar anomalies in Borsa Istanbul (BIST) by generalizing the main index and the sectoral indices. Methodology-The data set is based on the weekly closing prices, trading volume and the number of contracts of BIST-100 Index and 17 sectoral indices for the January 2012 to December 2016. A symmetric GARCH (1,1) and an asymmetric SAARCH (1,1) models have been employed for a comparative analysis. Findings-Since GARCH (1,1) findings revealed a quiet weak simultaneous interaction between volatility and return, the research was deepened through employment of the SAARCH (1,1) asymmetric estimation model, which revealed an increase in both trading volume and return when considering negative shocks. Hence, a significant herding in BIST has been confirmed. SAARCH (1,1) model has detected day of the week (DoW) and a significant January effect, as well, while both estimation models have detected Ramadan effects. Conclusion-It becomes apparent that there is a gap in the Turkish capital market-related combined studies on herding and calendar anomalies. The aim of this study, therefore, is to fill this gap, using analyses of the BIST-100 and sectoral indices. Main indices, consisting of blue-chips, are analyzed frequently; however, abnormal trading behaviors could be detected specifically on sectoral basis.

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Section: Introductionmentioning

confidence: 94%