Mevsimsel Değişkenliklerin Borsa İstanbul Üzerindeki Oynaklık Etkisi: Ramazan Ayı Örneği

Year 2017, Volume: 4 Issue: 4, 18 - 34, 28.12.2017

Alper Yılmaz , Zeliha Can Ergün

https://doi.org/10.30803/adusobed.354767

Abstract

Bu
çalışmanın amacı Borsa İstanbul’da işlem gören teknoloji, mali, hizmetler ve
sanayi olmak üzere dört temel sektör bazındaki getiriler üzerinde Ramazan
ayının herhangi bir oynaklık etkisi yaratıp yaratmadığını 2000-2017 dönemleri
arasında incelemektir. Literatürde hisse senetleri üzerinde hareketli takvim
etkisine dair çeşitli çalışmalar mevcut olup Ramazan ayının etkisi bu çerçevede
incelenebilir, çünkü bu ayda oruç tutma, artan dini aktiviteler veya borsa
işlemlerinin bir çeşit kumar olduğuna dair artan negatif algı etkili
olabilmektedir. Bu çerçevede, Ramazan ayına ait olası etkileri araç değişken
kullanıldığı regresyon ve GARCH modelleri ile tahmin edilmiştir. Bulgulara göre
söz konusu ayda hisse senedi piyasası getirilerinin değişikliğe uğramadığı ve bu
ayda oynaklığın arttığı gözlemlense de hizmet sektörü haricinde bulgular
istatistiksel olarak anlamlı değildir.

Keywords

Hisse Senetleri Getirisi, Takvimsel Oynaklık, Ramazan Etkisi

Volatility Effect of Seasonal Variation on Borsa Istanbul: The Ramadan Case

Abstract

This study aims to investigate the volatility effect
of seasonality during Muslim’s holy month of Ramadan in Borsa Istanbul (BIST)
at the basis of four main return indices of technology, service, industry and
financial sector for the period 2000-2017. In the literature, it is emphasized
that those moving calendar anomalies such as Ramadan may affect the volatility
of stock returns due to Islamic beliefs of investors such as fasting, increase
in religious rituals or increase in negative perception on speculative trading.
In this study, Ramadan effect on stock returns and volatility are analysed by
using dummy variables in regression and GARCH model respectively. An
examination of trading data shows that average rates of return are unaffected
during the month of Ramadan, and although it seems there is an increase in
volatility, except in service sector it is not statistically significant.

Keywords

Stock Returns, Calendar Anomaly, Ramadan Effect

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