Borsa İstanbul’da Gün İçi Verisinin Analizi

Year 2015, , 142 - 155, 30.04.2015

Murat Çinko

https://doi.org/10.33203/mfy.307955

Abstract

Finans literatüründe Etkin Piyasa Hipotezinin fiyatların tahmin

edilememesine yönelik önermesinin en çok rastlanılan red gerekçesi

tarih anomalileridir (haftanın günü etkisi, Ocak ayı etkisi, ayın

dönüm etkisi gibi). Gün içi verisinin incelenmesi sadece getirilerin

belirli saat dilimlerinin şeklinin anlaşılması dışında standart sapmasının

yapısını öğrenmek anlamında da önemlidir. Bu çalışmada

Borsa İstanbul 100 endeksinin gün içi getirisinin on beşer dakikalık

getirilerinin yapısı ve standart sapması incelenmiştir. Çalışmada

kullanılan veri seti işlem saatlerinin 10 Haziran 2013 tarihinde

değişmesi nedeniyle 11 Haziran 2013 tarihinden başlayarak 28

Mayıs 2014 tarihleri arasındaki 5954 gözlemi kapsamaktadır.

Standart sapmaların birinci seansta J tipi ikinci seansta ise W tipi

bir yapıya sahip olduğu bulunmuştur.

Keywords

Gün içi verisi, Etkin Piyasa Hipotezi, Borsa İstanbul, Oynaklık

An Analysis of Intraday Data on Borsa Istanbul

Abstract

Calendar anomalies (day of the week effect, January effect,

month effect) are the most frequently encountered cases for the

rejection of price unpredictability suggested by Efficient Market

Hypothesis in finance literature. Evaluation of intraday data is not

only important for understanding the hourly movement of returns

but also learning the structure of standard deviation. This study

analyses the structure of intraday returns and their standard deviations

within 15 minute time frames for BIST 100. Because the

transaction times were changed on 10 June 2013, the dataset covers

5954 observations belonging to the period between 11 June

2013 and 28 May 2014. The findings as to standard deviations

demonstrate J type and W type structures in the first and second

sessions, respectively.

Keywords

Intraday data, Efficient Market Hypothesis, Borsa Istanbul, Volatility

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