İMKB’DE HİSSE SENEDİ GETİRİLERİNİN AŞIRI TEPKİSİ ÜZERİNE AMPİRİK BİR İNCELEME

Year 2001, Volume: 19 Issue: 1, 29 - 46, 01.07.2001

Mehmet Baha Karan , Şahap Armağan Tarım

Abstract

Aşırı Tepki
Hipotezi’ne göre, bir dönem düşük getiri sağlayan hisse senetleri bu dönemi
takip eden dönemde normalin üzerinde pozitif getiri sağlarken, yüksek getiri
sağlayan hisse senetleri takip eden dönemde normalin altında negatif getiri
sağlamaktadır. Günlük fiyat limiti uygulaması aşırı tepki hipotezine dayanmakta
ve bu uygulama ile fiyatlarda oluşabilecek aşırı tepki sınırlanarak, ertesi gün
sözkonusu olabilecek fiyat değişiminin azaltılması amaçlanmaktadır. Bu
çalışmada fiyat limiti uygulamasının yapıldığı İstanbul Menkul Kıymetler
Borsası'nda değinilen uygulamanın etkinliği incelenmiştir. 

Keywords

Hisse senedi, İMKB

An Empirical Investigation of the Overreaction in Stock Returns in the İstanbul Stock Exchange

Abstract

Overreaction
hypothesis asserts that stocks with poor performance in the previous period
earn positive risk-adjusted abnormal returns in the subsequent period. In
contrast, stocks that perform better in the previous period earn negative
risk-adjusted abnormal returns in the subsequent period. The imposition of the
daily price limits is based upon the overreaction hypothesis, and its is assumed
that by means of the daily price limits the overrreaction is bounded and hence
the volatility is reduced. This paper tests the efficiency of the price limits
by examining the price behaviour following limit moves in the İstanbul Stock
Exchange, where the price limits are in practice. 

Keywords

İstanbul Stock Exchange

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