Borsa İstanbul ve Haftanın Günü Etkisi: Getiri ve Volatilite Analizi

Year 2023, Volume: 18 Issue: 71, 277 - 292, 31.07.2023

Nurhan Hande Sevgi

Abstract

Haftanın günü etkisi üzerine çeşitli teoriler geliştirilmiştir. Genellikle Pazartesi Etkisi olarak adlandırılan bu durum Pazartesi günleri düşük veya negatif getirilerin haftanın diğer günlerinde ise ortalamanın üzerinde getirilerin görülmesi durumunu tanımlar. Bu çalışmada haftanın günü etkisi BİST 100 endeksini de kapsayan dokuz Borsa İstanbul endeksi için hem getiride hem de volatilitede 2.01.1997 ve 1.06.2023 dönemi için incelemektedir. Çalışmada koşullu varyans modellemesinde GARCH(1,1) spesifikasyonu kullanışmış, Pazartesi günlerinin Cuma günlerine göre daha düşük getiri beklentisinin dokuz endeks için olan gözlemlerde literatür ile paralel bir şekilde Pazartesi günü volatilitesinin Cuma günlerine göre yüksek olduğu gözlenmiştir.

Keywords

Haftanın Günü Etkisi, Borsa İstanbul, Getiri, Volatilite

Borsa İstanbul and the Day of the Week Effect: Return and Volatility Analysis

Abstract

Various theories have been developed on the day of the week effect. This situation, which is often called the Monday Effect, describes the situation where low or negative returns are seen on Mondays and above-average returns are seen on other days of the week. In this study, the effect of the day of the week is examined for both the return and volatility for the period of 2.01.1997 and 1.06.2023 for nine Borsa İstanbul indices, including the BIST 100 index. In the study, the GARCH(1,1) specification was used in the conditional variance modeling, and it was observed that the volatility on Mondays is higher than on Fridays, in line with the literature, in the observations for nine indices with a lower return expectation on Mondays than on Fridays.

Keywords

Day of the Week Effect, Borsa İstanbul, Return, Volatility

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