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Yaz Saati Uygulamasi Anomalisinin IMKB 100 Endeks Getirisine Etkisinin Test Edilmesi

Author

Listed:
  • Turhan KORKMAZ

    (Zonguldak Karaelmas Üniversitesi,Iktisadi ve Idari Bilimler Fakültesi Isletme Bölümü)

  • Ümit BASARAN

    (Zonguldak Karaelmas Üniversitesi,Iktisadi ve Idari Bilimler Fakültesi Isletme Bölümü)

  • Emrah Ismail CEVIK

    (Zonguldak Karaelmas Üniversitesi, Iktisadi ve Idari Bilimler Fakültesi Isletme Bölümü)

Abstract

Finansal piyasalarda Etkin Piyasalar Hipotezi’nden sapmalar olarak gozlenen ve cesitli ampirik calismalarla desteklenen anomalilerin incelendigi bu calismanin amaci, Istanbul Menkul Kiymetler Borsasi (IMKB) 100 endeks getirisi uzerinde yaz saati uygulamasi ve hafta sonu anomalilerinin etkilerini Ekim 1987-Haziran 2009 donemleri arasinda belirlemeye calismaktir. Bu amacla piyasalarda en cok gozlendigi dusunulen hafta sonu anomalisi ile son yillarda yeni bir anomali cesidi olarak literature giren yaz saati uygulamasi anomalisinin varligi GARCH tipi modeller ile test edilmistir. Analiz bulgularina gore, sadece ilkbahar donemindeki yaz saati uygulamasinin IMKB 100 endeksinin ortalama getirisi uzerinde anlamli bir etki olusturdugu sonucuna varilmistir. Bununla birlikte, IMKB’de diger gunlere oranla Pazartesi gunleri ortalama getirinin daha dusuk olarak gerceklestigi belirlenerek hafta sonu anomalisinin varligi tespit edilmistir.

Suggested Citation

  • Turhan KORKMAZ & Ümit BASARAN & Emrah Ismail CEVIK, 2010. "Yaz Saati Uygulamasi Anomalisinin IMKB 100 Endeks Getirisine Etkisinin Test Edilmesi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 10(4), pages 1139-1153.
    • Handle: RePEc:ege:journl:v:10:y:2010:i:4:p:1139-1153
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    More about this item

    Keywords

    Etkin piyasalar hipotezi; yaz saati uygulamasi anomalisi; hafta sonu anomalisi; IMKB 100 endeksi.;
    All these keywords.

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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