Borsa İstanbul’da Mevsimsel Duygulanım Bozukluğu

Year 2024, Volume: 9 Issue: 1, 71 - 88, 29.02.2024

Zeliha Can Ergün

https://doi.org/10.25229/beta.1325453

Abstract

Mevsimsel Duygulanım Bozukluğu (SAD), sonbahar ve kış aylarında gün ışığının azalmasından kaynaklanan şiddetli bir depresyondur. SAD, yatırımcıları daha riskten kaçınır hale getirmekte ve bu da finansal piyasaları etkilemektedir. Bu çalışma, SAD'nin Borsa İstanbul (BIST) üzerindeki etkisini Ocak 2015 - Mayıs 2023 dönemi için incelemeyi amaçlamaktadır. BIST-100 endeksi genel hisse senedi piyasasını temsil etmek için, BIST-Sınai, Mali, Teknoloji ve Gıda İçecek endeksleri ise sektörel farklılıkları değerlendirmek için kullanılmıştır. Ayrıca sonbahar, vergi kaybı satışı, pazartesi günleri ve COVID-19 salgını etkileri de modele dahil edilmiştir. Sonuçlar, BIST-100 endeks getirileri üzerinde istatistiksel olarak anlamlı ve pozitif bir SAD etkisi olduğunu göstermektedir. SAD, BIST-Gıda İçecek hariç tüm sektörel endeksler üzerinde de etkili olmaktadır. Ayrıca, hiçbir endekste sonbaharın asimetrik etkisi görülmemektedir. Kontrol değişkenlerinden Pazartesi etkisinin BIST-100, BIST-Sınai ve BIST-Teknoloji endeksleri için istatistiksel olarak anlamlı ve pozitif olduğu tespit edilmiştir. Son olarak, sadece BIST-Sınai endeksi için COVID-19 kuklası istatistiksel olarak anlamlı ve pozitiftir. Ayrıca, sağlamlık testi olarak GARCH modeli de kullanılmış ve önceki analizlerle tutarlı bulgular elde edilmiştir.

Keywords

Mevsimsel Duygulanım Bozukluğu, Mevsimsel Anomaliler, Davranışsal Finans, Borsa İstanbul

Seasonal Affective Disorder (SAD) on Borsa Istanbul

Abstract

Seasonal Affective Disorder (SAD) is a severe depression that stems from the decreased daylight hours in the autumn and winter. The SAD makes investors more risk-averse, which in turn affects the financial markets. This study aims to examine the effect of SAD on Borsa Istanbul (BIST) for the period January 2015 - May 2023. The BIST-100 index is used to represent the overall stock market, and the BIST-Industrials, Financials, Technology, and Food Beverage indices are used to evaluate any sectoral disparities. Furthermore, autumn, tax-loss selling, Mondays, and COVID-19 outbreak effects are included in the model. The results show that there is a statistically significant and positive SAD effect on BIST-100 index returns. The SAD also has an impact on every sectoral index, except for BIST-Food Beverage. Moreover, there is no asymmetrical effect of the autumn in any indices. Among the control variables, the Monday effect is determined to be statistically significant and positive for BIST-100, BIST-Industrials, and BIST-Technology indices. Finally, only for the BIST-Industrials index the COVID-19 dummy is statistically significant and positive. Additionally, the GARCH model has also been used as a robustness test, and consistent findings with the previous analysis are found.

Keywords

Seasonal Affective Disorder, Seasonal Anomalies, Behavioral Finance, Borsa Istanbul.

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