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AVRUPA VE ASYA-PASİFİK HİSSE SENEDİ PAZARLARINDA ZAYIF FORMDA PAZAR ETKİNLİĞİ VE TAKVİM ANOMALİLERİ

Year 2016, Volume: 16 Issue: 3, 149 - 166, 27.09.2016

Meziyet Sema Erdem

https://doi.org/10.11616/basbed.vi.455306
Cited By: 2

Abstract

Bu çalışmada, 01/01/2013 - 01/09/2016 tarih aralığında, Avrupa ve Asya-Pasifik bölgelerinde faaliyet gösteren belli başlı menkul kıymet pazarlarında Zayıf Formda Pazar Etkinliği test edilmiş, 01/01/2013 - 01/09/2016 tarih aralığında takvim anomalilerinden haftanın günü, Ocak 2004 ile Eylül 2016 tarih aralığında ise yılın ayı anomalilerinin bu pazarlarda mevcudiyeti araştırılmıştır. Elde edilen bulgulara göre; araştırmaya konu olan pazarların çoğunluğunun zayıf formda etkin pazarlar oldukları, bununla birlikte haftanın günü ve yılın ayı anomalilerinin bazı Avrupa ve Asya-Pasifik hisse senedi pazarlarında mevcudiyetini koruduğu tespit edilmiştir.

Keywords

Etkin Pazar Hipotezi Zayıf Formda Pazar Etkinliği Takvim Anomalileri

References

  • Agrawal, Raj & Pietra Rivolli (1989). “Seasonal and Day-of-the-Week Effects in Four Emerging Stock Markets” The Financial Review, 24 (4), 541-550.
  • Agrawal, Anup & Kishore Tandon (1994). “Anomalies or Illusions? Evidence from Stock Markets in Eighteen Countries”, Journal of International Money and Finance, 13, 83-106.
  • Ariel, Robert. A. (1987). “A Monthly Effect in Stock Returns” Journal of Financial Economics, 18, 161-174.
  • Barkoulas, John T. & Baum, Christopher F. Baum (1996). “Long Term Dependence İn Stock Returns”, Economics Letters, 53, 253-259.
  • Basher Syed A. & Sadorsky Perry (2006). “Day-of-the-week effects in Emerging Stock Markets”, Applied Economics Letters, 13, 621-628.
  • Berument, Hakan & Kıymaz, Halil (2001). “The Day-of-the-Week Effect on Stock Market Volatility”, Journal of Economics and Finance, 25(2), 181-193.
  • Brown, Robert (1828). “A Brief Account of Microscopical Observations: Made in the Months of June, July, and August 1827, on the Particles Contained in the Pollen of Plants; and on the General Existence of Active Molecules in Organic and Inorganic Bodies.”, The Edinburgh New Philosophical Journal, July–September, 358-371.
  • Cadsby, C. Bram (1989). Canadian Calendar Anomalies and the Capital Asset Pricing Model, in R. M. C. Guimaraes, B. G. Kingsman and S. J. Taylor, Reappraisal of The Efficiency of Financial Markets, Springer-Verlag, 99-226.
  • Cham, Kam C., Gup, Benton E. & Pan, Ming Shıung (1997). “International Stock Market Efficiency and Integration: A Study of Eighteen Nations”, Journal of Business Finance & Accounting, 24 (6), 803-813.
  • Chen, Gongmeng, Kwok Chuck C. Y. & Rui, Oliver M. (2001). “The Day-Of-The-Week Regularity İn the Stock Markets of China”, Journal of Multinational Financial Management, 11 (2), 139-163.
  • Cho, Young Hyun, Linton, Oliver & Whang,Yoon Jae (2007). “Are There Monday Effects in Stock Returns: A Stochastic Dominance Approach”, Journal of Empirical Finance, 14 (5), 736-755.
  • Condoyanni, L. O'Hanlon, J. & Ward,C.W.R. (1987). “Day of the Week Effects on Stock Returns: International Evidence”, Journal of Business Finance &Accounting, 14 (2), 159-174.
  • Cooper, David, J. (1982). “World Stock Markets: Same Random Walk Tests”, Applied Economics, 14, 515-531.
  • Cross, Frank (1973). “The Behavior of Stock Prices on Fridays and Mondays”, Financial Analysts Journal, 29 (6), 67-69.
  • Demireli, Erhan, Akkaya Göktug Cenk & Elif İbas (2010). “Finansal Piyasa Etkinliği: S&P 500 Üzerine Bir Uygulama”, C.Ü. İktisadi ve İdari Bilimler Dergisi, 11 (2), 53-67.
  • Dickey, David.A. & Wayne A. Fuller (1979). “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, 74, 427-431.
  • Dorina, Lazar & Simina, Ureche (2007). “Testing Efficiency of the Stock Market in Emerging Economies”, The Journal of the Faculty of Economics – Economic Science Series 2, 827-831.
  • Fama, Eugene F. (1965). “Behavior of Stock Market Prices”, Journal of Business, 38 (1), 55-59.
  • Fama, Eugene F. (1970). “Efficient Capital Markets: A Review of Theory and Empirical Works”, The Journal of Finance, 25 (2), 383-417.
  • French, Kenneth. R. (1980). “Stock Returns and the Weekend Effect”, Journal of Financial Economics, 8, 55-69.
  • Gibbons, Michael, R. & Hess, Patrick (1981). “Day of the Week Effects and Asset Returns”, Journal of Business, 54 (4), 579-596.
  • Gujaratı, Damodar N. (Çev: Ümit Senesen-Gülay Günlük Senesen) (2006). Temel Ekonometri, Literatür Yayınları, İstanbul.
  • Gültekin, Mustafa N. & Gültekin, N. Bülent (1983). “Stock Market seasonality: International Evidence”, Journal of Financial Economics, 12, 469-81.
  • Haugen, Robert A. & Jorion, Philippe (1996). “The January Effect: Still There after All These Years”, Financial Analysts Journal, 52 (1), 27-31.
  • Jaffe, Jeffrey & Westerfield, Randolph (1985). “The Week-End Effect in Common Stock Returns: The International Evidence”, The Journal of Finance, 40 (2), 433-454.
  • Jeon, Bang N. & Chiang, Thomas C. C. (1991). “A System of Stock Prices in World Stock Exchanges: Common Stochastic Trends for 1975–1990”, Journal of Economics and Business, 43 (4), 329-338.
  • Keim, Donald. B., & Stambaugh, Robert F. (1984). “A Further Investigation of Weekend Effects in Stock Returns”, Journal of Finance, 39, 819-840.
  • Lo, Andrew W. & MacKinlay, Craig, A (1988). “Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test”, Review of Financial Studies, and Oxford University Press for Society for Financial Studies, 1(1), 41-66.
  • Lock, Dat Bue (2007). “The Taiwan Stock Market Does Follow A Random Walk”, Economics Bulletin, 7 (3), 1-8.
  • Moosa, Imad A. (2007). “The Vanishing January Effect”, International Research Journal of Finance and Economics, 7, 92-103.
  • Narayan, Paresh Kumar (2008). “Do Shocks To G7 Stock Prices Have A Permanent Effect? Evidence from Panel Unit Root Tests with Structural Change”, Mathematics and Computers in Simulation, 77 (4), 369-373.
  • Niederhoffer Victor & M. F. M. Osborne (1966). “Market Making and Reversal on the Stock Exchange”, Journal of the American Statistical Association, 61 (316).
  • Pan, M.S., Chiou, J.R., Hocking, R. & Rim, H.K (1991). “An Examination of Mean-Reverting Behavior of Stock Prices in Pacific-Basin Stock Markets”, Pacific-Basin Capital Market Research, 2, 333-343.
  • Phillips, Peter. C. B. & Perron, Pierre (1988). “Testing For a Unit Root in Time Series Regression”, Biometrica, 75, 335-346.
  • Raj, M. & Thurston, D. (1994). “January or April? Test Of The Turn Of The Year Effect İn The New Zealand Stock Market”, Applied Economics Letters, 1-8.
  • Roll, R. (1983). Vas ist das? The Turn-of-the-Year Effect and the Return Premia of Small Firms, Journal of Portfolio Management, 18-28.
  • Rogalski, Richard. J. (1984). “New Findings Regarding Day-of-the-Week Returns over Trading and Non- Trading Periods: A Note”, Journal of Finance, 35, 1603-1614.
  • Rozeff, Michael, S. & William R. Kinney (1976). “Capital Market Seasonality: The Case of Stock Returns”, Journal of Financial Economics, 3 (4), 379-402.
  • Smith, Graham & Ryoo Hyun-Jung (2003). “Variance Ratio Tests Of the Random Walk Hypothesis for European Emerging Stock Markets”, European Journal of Finance, 9 (3), 290-300.
  • Smirlock Michael & Starks, Laura (1986). “Day-Of-The-Week and İntraday Effects İn Stock Returns”, Journal of Financial Economics, 17 (1), 197-210.
  • Solnik Buruna & Bousquet, Laurance (1990). “Day of the week effect on the Paris Bourse”, Journal of Banking and Finance, 14 (2-3), 461-468.
  • Tan, Ruth Seoe K. & Tat, Wong N. (1998). “The Diminishing Calendar Anomalies in the Stock Exchange of Singapore”, Applied Financial Economics, 8, 119-125.
  • Thaler, Richard H. (1987). “Anomalies: Seasonal Movements in Security Prices II: Weekend, Holiday, Turn of the Month, and Intraday Effects”, Journal of Economic Perspectives, 1(2), 169-177.
  • Thaler, Richard H (1992). Behavioral Economics, NBER Reporter, Fall, 9-13.
  • Theobald, Michael & Price,Vera (1984). “Seasonality Estimation in Thin Markets”, Journal of Finance, 39 (2), 377-392.
  • Wachtel, Sidney, B. (1942). “Certain Observations on Seasonal Movements in Stock Prices”, Journal of Business, 15 (2), 184-93.
  • Wong, Kea Ann, Hui, Kee Tak and Chan, Choy, Yin (1992). “Day-of-the-Week Effects: Evidence From Developing Stock Markets” Applied Financial Economics, 2 (1).
  • Worthington, Andrew and Higgs, Helen (2003). “Random Walks and Market Efficiency in European Equity Markets”, Global Journal of Finance and Economics, 1 (1), 59-78.

Year 2016, Volume: 16 Issue: 3, 149 - 166, 27.09.2016

Meziyet Sema Erdem

https://doi.org/10.11616/basbed.vi.455306
Cited By: 2

Abstract

References

  • Agrawal, Raj & Pietra Rivolli (1989). “Seasonal and Day-of-the-Week Effects in Four Emerging Stock Markets” The Financial Review, 24 (4), 541-550.
  • Agrawal, Anup & Kishore Tandon (1994). “Anomalies or Illusions? Evidence from Stock Markets in Eighteen Countries”, Journal of International Money and Finance, 13, 83-106.
  • Ariel, Robert. A. (1987). “A Monthly Effect in Stock Returns” Journal of Financial Economics, 18, 161-174.
  • Barkoulas, John T. & Baum, Christopher F. Baum (1996). “Long Term Dependence İn Stock Returns”, Economics Letters, 53, 253-259.
  • Basher Syed A. & Sadorsky Perry (2006). “Day-of-the-week effects in Emerging Stock Markets”, Applied Economics Letters, 13, 621-628.
  • Berument, Hakan & Kıymaz, Halil (2001). “The Day-of-the-Week Effect on Stock Market Volatility”, Journal of Economics and Finance, 25(2), 181-193.
  • Brown, Robert (1828). “A Brief Account of Microscopical Observations: Made in the Months of June, July, and August 1827, on the Particles Contained in the Pollen of Plants; and on the General Existence of Active Molecules in Organic and Inorganic Bodies.”, The Edinburgh New Philosophical Journal, July–September, 358-371.
  • Cadsby, C. Bram (1989). Canadian Calendar Anomalies and the Capital Asset Pricing Model, in R. M. C. Guimaraes, B. G. Kingsman and S. J. Taylor, Reappraisal of The Efficiency of Financial Markets, Springer-Verlag, 99-226.
  • Cham, Kam C., Gup, Benton E. & Pan, Ming Shıung (1997). “International Stock Market Efficiency and Integration: A Study of Eighteen Nations”, Journal of Business Finance & Accounting, 24 (6), 803-813.
  • Chen, Gongmeng, Kwok Chuck C. Y. & Rui, Oliver M. (2001). “The Day-Of-The-Week Regularity İn the Stock Markets of China”, Journal of Multinational Financial Management, 11 (2), 139-163.
  • Cho, Young Hyun, Linton, Oliver & Whang,Yoon Jae (2007). “Are There Monday Effects in Stock Returns: A Stochastic Dominance Approach”, Journal of Empirical Finance, 14 (5), 736-755.
  • Condoyanni, L. O'Hanlon, J. & Ward,C.W.R. (1987). “Day of the Week Effects on Stock Returns: International Evidence”, Journal of Business Finance &Accounting, 14 (2), 159-174.
  • Cooper, David, J. (1982). “World Stock Markets: Same Random Walk Tests”, Applied Economics, 14, 515-531.
  • Cross, Frank (1973). “The Behavior of Stock Prices on Fridays and Mondays”, Financial Analysts Journal, 29 (6), 67-69.
  • Demireli, Erhan, Akkaya Göktug Cenk & Elif İbas (2010). “Finansal Piyasa Etkinliği: S&P 500 Üzerine Bir Uygulama”, C.Ü. İktisadi ve İdari Bilimler Dergisi, 11 (2), 53-67.
  • Dickey, David.A. & Wayne A. Fuller (1979). “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, 74, 427-431.
  • Dorina, Lazar & Simina, Ureche (2007). “Testing Efficiency of the Stock Market in Emerging Economies”, The Journal of the Faculty of Economics – Economic Science Series 2, 827-831.
  • Fama, Eugene F. (1965). “Behavior of Stock Market Prices”, Journal of Business, 38 (1), 55-59.
  • Fama, Eugene F. (1970). “Efficient Capital Markets: A Review of Theory and Empirical Works”, The Journal of Finance, 25 (2), 383-417.
  • French, Kenneth. R. (1980). “Stock Returns and the Weekend Effect”, Journal of Financial Economics, 8, 55-69.
  • Gibbons, Michael, R. & Hess, Patrick (1981). “Day of the Week Effects and Asset Returns”, Journal of Business, 54 (4), 579-596.
  • Gujaratı, Damodar N. (Çev: Ümit Senesen-Gülay Günlük Senesen) (2006). Temel Ekonometri, Literatür Yayınları, İstanbul.
  • Gültekin, Mustafa N. & Gültekin, N. Bülent (1983). “Stock Market seasonality: International Evidence”, Journal of Financial Economics, 12, 469-81.
  • Haugen, Robert A. & Jorion, Philippe (1996). “The January Effect: Still There after All These Years”, Financial Analysts Journal, 52 (1), 27-31.
  • Jaffe, Jeffrey & Westerfield, Randolph (1985). “The Week-End Effect in Common Stock Returns: The International Evidence”, The Journal of Finance, 40 (2), 433-454.
  • Jeon, Bang N. & Chiang, Thomas C. C. (1991). “A System of Stock Prices in World Stock Exchanges: Common Stochastic Trends for 1975–1990”, Journal of Economics and Business, 43 (4), 329-338.
  • Keim, Donald. B., & Stambaugh, Robert F. (1984). “A Further Investigation of Weekend Effects in Stock Returns”, Journal of Finance, 39, 819-840.
  • Lo, Andrew W. & MacKinlay, Craig, A (1988). “Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test”, Review of Financial Studies, and Oxford University Press for Society for Financial Studies, 1(1), 41-66.
  • Lock, Dat Bue (2007). “The Taiwan Stock Market Does Follow A Random Walk”, Economics Bulletin, 7 (3), 1-8.
  • Moosa, Imad A. (2007). “The Vanishing January Effect”, International Research Journal of Finance and Economics, 7, 92-103.
  • Narayan, Paresh Kumar (2008). “Do Shocks To G7 Stock Prices Have A Permanent Effect? Evidence from Panel Unit Root Tests with Structural Change”, Mathematics and Computers in Simulation, 77 (4), 369-373.
  • Niederhoffer Victor & M. F. M. Osborne (1966). “Market Making and Reversal on the Stock Exchange”, Journal of the American Statistical Association, 61 (316).
  • Pan, M.S., Chiou, J.R., Hocking, R. & Rim, H.K (1991). “An Examination of Mean-Reverting Behavior of Stock Prices in Pacific-Basin Stock Markets”, Pacific-Basin Capital Market Research, 2, 333-343.
  • Phillips, Peter. C. B. & Perron, Pierre (1988). “Testing For a Unit Root in Time Series Regression”, Biometrica, 75, 335-346.
  • Raj, M. & Thurston, D. (1994). “January or April? Test Of The Turn Of The Year Effect İn The New Zealand Stock Market”, Applied Economics Letters, 1-8.
  • Roll, R. (1983). Vas ist das? The Turn-of-the-Year Effect and the Return Premia of Small Firms, Journal of Portfolio Management, 18-28.
  • Rogalski, Richard. J. (1984). “New Findings Regarding Day-of-the-Week Returns over Trading and Non- Trading Periods: A Note”, Journal of Finance, 35, 1603-1614.
  • Rozeff, Michael, S. & William R. Kinney (1976). “Capital Market Seasonality: The Case of Stock Returns”, Journal of Financial Economics, 3 (4), 379-402.
  • Smith, Graham & Ryoo Hyun-Jung (2003). “Variance Ratio Tests Of the Random Walk Hypothesis for European Emerging Stock Markets”, European Journal of Finance, 9 (3), 290-300.
  • Smirlock Michael & Starks, Laura (1986). “Day-Of-The-Week and İntraday Effects İn Stock Returns”, Journal of Financial Economics, 17 (1), 197-210.
  • Solnik Buruna & Bousquet, Laurance (1990). “Day of the week effect on the Paris Bourse”, Journal of Banking and Finance, 14 (2-3), 461-468.
  • Tan, Ruth Seoe K. & Tat, Wong N. (1998). “The Diminishing Calendar Anomalies in the Stock Exchange of Singapore”, Applied Financial Economics, 8, 119-125.
  • Thaler, Richard H. (1987). “Anomalies: Seasonal Movements in Security Prices II: Weekend, Holiday, Turn of the Month, and Intraday Effects”, Journal of Economic Perspectives, 1(2), 169-177.
  • Thaler, Richard H (1992). Behavioral Economics, NBER Reporter, Fall, 9-13.
  • Theobald, Michael & Price,Vera (1984). “Seasonality Estimation in Thin Markets”, Journal of Finance, 39 (2), 377-392.
  • Wachtel, Sidney, B. (1942). “Certain Observations on Seasonal Movements in Stock Prices”, Journal of Business, 15 (2), 184-93.
  • Wong, Kea Ann, Hui, Kee Tak and Chan, Choy, Yin (1992). “Day-of-the-Week Effects: Evidence From Developing Stock Markets” Applied Financial Economics, 2 (1).
  • Worthington, Andrew and Higgs, Helen (2003). “Random Walks and Market Efficiency in European Equity Markets”, Global Journal of Finance and Economics, 1 (1), 59-78.
There are 48 citations in total.

Details

Primary Language Turkish
Journal Section Reasearch Articles
Authors

Meziyet Sema Erdem

Publication Date September 27, 2016
Submission Date November 21, 2016
Published in Issue Year 2016 Volume: 16 Issue: 3

Cite

APA Erdem, M. S. (2016). AVRUPA VE ASYA-PASİFİK HİSSE SENEDİ PAZARLARINDA ZAYIF FORMDA PAZAR ETKİNLİĞİ VE TAKVİM ANOMALİLERİ. Bolu Abant İzzet Baysal Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 16(3), 149-166. https://doi.org/10.11616/basbed.vi.455306
AMA Erdem MS. AVRUPA VE ASYA-PASİFİK HİSSE SENEDİ PAZARLARINDA ZAYIF FORMDA PAZAR ETKİNLİĞİ VE TAKVİM ANOMALİLERİ. ASBİ. September 2016;16(3):149-166. doi:10.11616/basbed.vi.455306
Chicago Erdem, Meziyet Sema. “AVRUPA VE ASYA-PASİFİK HİSSE SENEDİ PAZARLARINDA ZAYIF FORMDA PAZAR ETKİNLİĞİ VE TAKVİM ANOMALİLERİ”. Bolu Abant İzzet Baysal Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 16, no. 3 (September 2016): 149-66. https://doi.org/10.11616/basbed.vi.455306.
EndNote Erdem MS (September 1, 2016) AVRUPA VE ASYA-PASİFİK HİSSE SENEDİ PAZARLARINDA ZAYIF FORMDA PAZAR ETKİNLİĞİ VE TAKVİM ANOMALİLERİ. Bolu Abant İzzet Baysal Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 16 3 149–166.
IEEE M. S. Erdem, “AVRUPA VE ASYA-PASİFİK HİSSE SENEDİ PAZARLARINDA ZAYIF FORMDA PAZAR ETKİNLİĞİ VE TAKVİM ANOMALİLERİ”, ASBİ, vol. 16, no. 3, pp. 149–166, 2016, doi: 10.11616/basbed.vi.455306.
ISNAD Erdem, Meziyet Sema. “AVRUPA VE ASYA-PASİFİK HİSSE SENEDİ PAZARLARINDA ZAYIF FORMDA PAZAR ETKİNLİĞİ VE TAKVİM ANOMALİLERİ”. Bolu Abant İzzet Baysal Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 16/3 (September 2016), 149-166. https://doi.org/10.11616/basbed.vi.455306.
JAMA Erdem MS. AVRUPA VE ASYA-PASİFİK HİSSE SENEDİ PAZARLARINDA ZAYIF FORMDA PAZAR ETKİNLİĞİ VE TAKVİM ANOMALİLERİ. ASBİ. 2016;16:149–166.
MLA Erdem, Meziyet Sema. “AVRUPA VE ASYA-PASİFİK HİSSE SENEDİ PAZARLARINDA ZAYIF FORMDA PAZAR ETKİNLİĞİ VE TAKVİM ANOMALİLERİ”. Bolu Abant İzzet Baysal Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, vol. 16, no. 3, 2016, pp. 149-66, doi:10.11616/basbed.vi.455306.
Vancouver Erdem MS. AVRUPA VE ASYA-PASİFİK HİSSE SENEDİ PAZARLARINDA ZAYIF FORMDA PAZAR ETKİNLİĞİ VE TAKVİM ANOMALİLERİ. ASBİ. 2016;16(3):149-66.

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