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Testing the Calendar Anomalies for BIST City Indexes with Symmetric and Asymmetric GARCH Models

Author

Listed:
  • Öyküm Esra AŞKIN

    (Yıldız Teknik Üniversitesi)

  • Ali Hakan BÜYÜKLÜ

    (Yıldız Teknik Üniversitesi)

Abstract

Except from being an indicator of regional development, city indexes formed in the area of finance by Borsa Istanbul might be a significant guide for investors while deciding on an investment in the relevant city. Due to the fact that the main purpose of these indexes is to monitor the price and return performances of companies in the same city, it is possible to compare the performances on the basis of the cities. In this study, the existence of the dayof-the-week (DOW) anomaly is investigated with GARCH and EGARCH specifications for each city indexes. According to estimated model results, EGARCH specification gives more consistent results for Bursa, Istanbul, Izmir and Kayseri city index series. However, positive Monday effect is observed on mean returns for Bursa city index which mostly contains stocks of manufacturing sector. Further, the results provide evidence that return volatility changes through weekdays in Antalya, Kayseri and Tekirdag city indexes

Suggested Citation

  • Öyküm Esra AŞKIN & Ali Hakan BÜYÜKLÜ, 2014. "Testing the Calendar Anomalies for BIST City Indexes with Symmetric and Asymmetric GARCH Models," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 29(336), pages 59-82.
    • Handle: RePEc:iif:iifjrn:v:29:y:2014:i:336:p:59-82
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    More about this item

    Keywords

    BIST City Indexes; Day Of The Week Effect; GARCH; EGARCH; Volatility;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • R10 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - General

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