Araştırma Makalesi
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İSLAMİ HİSSE SENEDİ PİYASALARINDA TAKVİM ANOMALİLERİNİN İNCELENMESİ: HAFTANIN GÜNÜ ETKİSİ

Yıl 2022, Cilt: 7 Sayı: 4, 828 - 839, 31.12.2022

Hilmi Tunahan Akkuş

https://doi.org/10.29106/fesa.1196753

Öz

Bu çalışmanın amacı, Morgan Stanley Capital International (MSCI) İslami endekslerinden küresel sermaye endeksini temsil eden All Country World Index (ACWI)’te takvim anomalilerinden haftanın günü etkisinin araştırılmasıdır. Bu amaçla MSCI İslami ACWI endeksi, koşullu değişen varyans modellerinden Nelson (1991) tarafından geliştirilen EGARCH yöntemi ile analiz edilmiştir. Araştırma sonucunda MSCI İslami ACWI endeksinde haftanın günleri etkisinden sadece Pazartesi günü etkisinin varlığına ilişkin kanıtlara ulaşılmıştır. Bu sonuç aynı zamanda söz konusu İslami endekste Müslümanlar için diğer günlere göre İslami açıdan daha önemli sayılan Cuma günü etkisinin bulunmadığını da göstermektedir. Böylece bu piyasanın Etkin Piyasalar Hipotezi (EPH) kuramından saptığı, uygun yatırım zamanlamasıyla bu piyasada normal üstü bir getiri elde etmenin mümkün olduğu düşünülebilir.

Anahtar Kelimeler

Etkin Piyasalar Hipotezi Davranışsal Finans Haftanın Günü Etkisi EGARCH Modeli

Teşekkür

Emekleriniz için teşekkür ederim.

Kaynakça

  • ABDULLAH, R. N. J. R., BAHARUDDIN, N. S., SHAMSUDIN, N., MAHMOOD, W. M. W. and SAHUDIN, Z. (2011). The Day of the Week Effect on Bursa (Bourse) Malaysia Shariah-Compliant Market. Interdisciplinary Journal of Research in Business, 1 (4), 29-36.
  • ABIDIN, S. N. Z. and MAHMOOD, W. M. W. (2007). Day-of-the-Week Effect on the Bursa (Bourse) Malaysia: Further Evidence from Robust Estimations. Munich Personal RePEc Archive: MPRA Paper No. 13326, 1-10.
  • AKHTER, A., SANDHU, A. and BUTT, S. (2015). Islamic Calendar Effect on Market Risk and Return Evidence from Islamic Countries. Journal of Business & Financial Affairs, 4 (2), 2-5.
  • AL-BARRAK, A. M. (2009). Day-of-the-Week Effect in Some of Gulf Cooperation Council (GCC) Stock Markets. Scientific Journal of King Faisal University (Humanities and Management Sciences), 10 (2), 255-265.
  • ALI, I., AKHTER, W. and ASHRAF, N. (2017). Impact of Muslim Holy Days on Asian Stock Markets: An Empirical Evidence. Cogent Economics & Finance, 5 (1), 1-10.
  • ALY, H., MEHDIAN, S. and PERRY, M. J. (2004). An Analysis of Day of the Week Effect in the Egyptian Stock Market. International Journal of Business, 9 (3), 301-308.
  • ARI, A. and YÜKSEL, Ö. (2017). BİST 100’de Haftanın Günü Anomalisi: Ekonometrik Bir Analiz. Finans Politik & Ekonomik Yorumlar, 54 (632), 77-89.
  • ARISS, R. T., REZVANIAN, R. and MEHDIAN, S. M. (2011). Calendar anomalies in the Gulf Cooperation Council Stock Markets. Emerging Markets Review, 12, 293-307.
  • ASLAM, F., HUNJRA, A. I., TAYACHI, T., VERHOEVEN, P. and TARIQ, Y. (2022). Calendar Anomalies in Islamic Frontier Markets. SAGE Open, 12 (2), 1-16.
  • AVCI, E. (2016). Day of the Week Effect in Convantional and Islamic Stock Indexes. International Journal of Commerce and Finance, 2 (2), 71-83.
  • BACHELIER, L. (1900). The Theory of Speculation (Translated by D. May). https://pdfs.semanticscholar.org/bba7/101ed8278893a5bd205614fce948628af8e3.pdf (E.T: 01.06.2019).
  • BILDIK, R. (2000). Hisse Senedi Piyasalarında Dönemsellikler ve İMKB Üzerine Ampirik Bir Çalışma. İstanbul: İstanbul Menkul Kıymetler Borsası Yayınları.
  • BROOKS, C. (2014). Introductory Econometrics for Finance (Third Edition). Cambridge: Cambridge University Press.
  • ÇIL YAVUZ, N. (2015). Finansal Ekonometri. İstanbul: Der Yayınları.
  • CROSS, F. (1973). The Behaviour of Stock Prices on Fridays and Mondays. Financial Analysts Journal, 29 (6), 67-69.
  • DICKEY, D. A. and FULLER, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with A Unit Root, Econometrica, 49 (4), 1057-1072.
  • FAMA, E. (1965). Random Walks in Stock Market Prices, Financial Analysts Journal, 21 (5), 55-59.
  • FRENCH, K. R. (1980). Stock Returns and the Weekend Effect. Journal of Financial Economics, 8, 55-69.
  • GHARAIBEH, A. M. O. and AZMI, A. A. T. S. A. (2015). Test of the Day of the Week Effect: The Case of Kuwait Stock Exchange. Asian Economic and Financial Review, 5 (5), 757-765.
  • GÜRSOY, C. T. (2014). Finansal Yönetim İlkeleri. İstanbul: Beta Yayıncılık.
  • IQBAL, M. S., KOUSER, R. and AZEEM, M. (2013). Conventional and Islamic Anomalies in Karachi Stock Exchange. Sciences International (Lahore), 25 (4), 999-1007.
  • KAFOU, A. and CHAKIR, A. (2015). The Day of the Week Effect on Islamic Stock Market Returns: Evidence from Dow Jones Islamic Market Index. Journal of Islamic Economics, Banking and Finance, 11 (3), 25-46.
  • KARAN, M. B. (2013). Yatırım Analizi ve Portföy Yönetimi. Ankara: Gazi Kitabevi.
  • KARCIOĞLU, R. and ÖZER, N. (2017). BIST’de Haftanın Günü ve Tatil Etkisi Anomalilerinin Getiri ve Oynaklık Üzerindeki Etkisinin İncelenmesi. Karadeniz Teknik Üniversitesi Sosyal Bilimler Enstitüsü Sosyal Bilimler Dergisi, 7 (14), 457-483.
  • KWIATKOWSKI, D., PHILLIPS, P. C. B., SCHMIDT, P. and SHIN, Y. (1992). Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root. Journal of Econometrics, 54, 159-178.
  • LEAN, H. H. and TAN, V. K. M. (2010). Existence of the Day-of-the-Week Effect in FTSE Bursa Malaysia. Jurnal Pengurusan, 31, 3-11.
  • MAJID, M. S. A., RUSMAN, WINDASWARI, C. and ELIANA (2018). A Comparative Examination of Calender Anomalies between Islamic and Conventional Stock Markets in Indonesia. The International Journal of Business & Management, 6 (8), 259-266.
  • NELSON, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica: Journal of the Econometric Society, 59 (2), 347-370.
  • ÖZTÜRK, M. B., UYSAL, M., ARSLAN, H. and KAYHAN, T. (2018). The Impact of Calendar Anomalies on Stock Return and Volatılıty_Evidence from Turkish Stock Market. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 11 (1), 221-238.
  • PHILLIPS, P. C. B. and PERRON, P. (1988). Testing for Unit Roots in Time Series Regression, Biometrica, 75, 335-346.
  • SHAH, N., QURESHI, M. N. and ASLAM, Y. (2017). An Empirical Investigation of Islamic Calendar Effect in Global Islamic Equity Indices. International Journal of Economics and Finance, 9 (6), 57-68.
  • WEBER, C. S. and NICKOL, P. (2016). More on Calender Effects on Islamic Stock Markets. Review of Middle East Economics and Finance, 12 (1), 65-113.
  • WENHUI, D., YUSOF, Z. and SIENG, C. C. (2009). Calender Effect in Shariah-Compliant Stocks Returns; Evidence from FTSE Bursa Malaysia Hijrah Shariah Index. Proceedings of 2009 International Conference on Economics, Business Management and Marketing, Singapore, 9-11 October, 270-274.
  • www.msci.com (Date Accessed: May 18, 2019).

AN INVESTIGATION OF CALENDAR ANOMALIES IN ISLAMIC STOCK MARKETS: THE DAY-OF-THE-WEEK EFFECT

Yıl 2022, Cilt: 7 Sayı: 4, 828 - 839, 31.12.2022

Hilmi Tunahan Akkuş

https://doi.org/10.29106/fesa.1196753

Öz

The aim of this study is to investigate the day-of-the-week effect of calendar anomalies on the All Country World Index (ACWI), which represents the global capital index from Morgan Stanley Capital International (MSCI) Islamic indices. For this purpose, MSCI Islamic ACWI index was analyzed by EGARCH method developed by Nelson (1991), one of the conditional heteroscedasticity models. As a result of the study, the day-of-the-week effect in the MSCI Islamic ACWI index was found only on Monday. This result also shows that there is no effect of Friday, which is considered to be more important for Muslims. Thus, it can be considered that this market deviates from the theory of Efficient Markets Hypothesis (EMH), and it is possible to obtain an extraordinary return in this market with appropriate investment timing.

Anahtar Kelimeler

Efficient Market Hypothesis Behavioral Finance Day-of-the-Week Effect

Kaynakça

  • ABDULLAH, R. N. J. R., BAHARUDDIN, N. S., SHAMSUDIN, N., MAHMOOD, W. M. W. and SAHUDIN, Z. (2011). The Day of the Week Effect on Bursa (Bourse) Malaysia Shariah-Compliant Market. Interdisciplinary Journal of Research in Business, 1 (4), 29-36.
  • ABIDIN, S. N. Z. and MAHMOOD, W. M. W. (2007). Day-of-the-Week Effect on the Bursa (Bourse) Malaysia: Further Evidence from Robust Estimations. Munich Personal RePEc Archive: MPRA Paper No. 13326, 1-10.
  • AKHTER, A., SANDHU, A. and BUTT, S. (2015). Islamic Calendar Effect on Market Risk and Return Evidence from Islamic Countries. Journal of Business & Financial Affairs, 4 (2), 2-5.
  • AL-BARRAK, A. M. (2009). Day-of-the-Week Effect in Some of Gulf Cooperation Council (GCC) Stock Markets. Scientific Journal of King Faisal University (Humanities and Management Sciences), 10 (2), 255-265.
  • ALI, I., AKHTER, W. and ASHRAF, N. (2017). Impact of Muslim Holy Days on Asian Stock Markets: An Empirical Evidence. Cogent Economics & Finance, 5 (1), 1-10.
  • ALY, H., MEHDIAN, S. and PERRY, M. J. (2004). An Analysis of Day of the Week Effect in the Egyptian Stock Market. International Journal of Business, 9 (3), 301-308.
  • ARI, A. and YÜKSEL, Ö. (2017). BİST 100’de Haftanın Günü Anomalisi: Ekonometrik Bir Analiz. Finans Politik & Ekonomik Yorumlar, 54 (632), 77-89.
  • ARISS, R. T., REZVANIAN, R. and MEHDIAN, S. M. (2011). Calendar anomalies in the Gulf Cooperation Council Stock Markets. Emerging Markets Review, 12, 293-307.
  • ASLAM, F., HUNJRA, A. I., TAYACHI, T., VERHOEVEN, P. and TARIQ, Y. (2022). Calendar Anomalies in Islamic Frontier Markets. SAGE Open, 12 (2), 1-16.
  • AVCI, E. (2016). Day of the Week Effect in Convantional and Islamic Stock Indexes. International Journal of Commerce and Finance, 2 (2), 71-83.
  • BACHELIER, L. (1900). The Theory of Speculation (Translated by D. May). https://pdfs.semanticscholar.org/bba7/101ed8278893a5bd205614fce948628af8e3.pdf (E.T: 01.06.2019).
  • BILDIK, R. (2000). Hisse Senedi Piyasalarında Dönemsellikler ve İMKB Üzerine Ampirik Bir Çalışma. İstanbul: İstanbul Menkul Kıymetler Borsası Yayınları.
  • BROOKS, C. (2014). Introductory Econometrics for Finance (Third Edition). Cambridge: Cambridge University Press.
  • ÇIL YAVUZ, N. (2015). Finansal Ekonometri. İstanbul: Der Yayınları.
  • CROSS, F. (1973). The Behaviour of Stock Prices on Fridays and Mondays. Financial Analysts Journal, 29 (6), 67-69.
  • DICKEY, D. A. and FULLER, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with A Unit Root, Econometrica, 49 (4), 1057-1072.
  • FAMA, E. (1965). Random Walks in Stock Market Prices, Financial Analysts Journal, 21 (5), 55-59.
  • FRENCH, K. R. (1980). Stock Returns and the Weekend Effect. Journal of Financial Economics, 8, 55-69.
  • GHARAIBEH, A. M. O. and AZMI, A. A. T. S. A. (2015). Test of the Day of the Week Effect: The Case of Kuwait Stock Exchange. Asian Economic and Financial Review, 5 (5), 757-765.
  • GÜRSOY, C. T. (2014). Finansal Yönetim İlkeleri. İstanbul: Beta Yayıncılık.
  • IQBAL, M. S., KOUSER, R. and AZEEM, M. (2013). Conventional and Islamic Anomalies in Karachi Stock Exchange. Sciences International (Lahore), 25 (4), 999-1007.
  • KAFOU, A. and CHAKIR, A. (2015). The Day of the Week Effect on Islamic Stock Market Returns: Evidence from Dow Jones Islamic Market Index. Journal of Islamic Economics, Banking and Finance, 11 (3), 25-46.
  • KARAN, M. B. (2013). Yatırım Analizi ve Portföy Yönetimi. Ankara: Gazi Kitabevi.
  • KARCIOĞLU, R. and ÖZER, N. (2017). BIST’de Haftanın Günü ve Tatil Etkisi Anomalilerinin Getiri ve Oynaklık Üzerindeki Etkisinin İncelenmesi. Karadeniz Teknik Üniversitesi Sosyal Bilimler Enstitüsü Sosyal Bilimler Dergisi, 7 (14), 457-483.
  • KWIATKOWSKI, D., PHILLIPS, P. C. B., SCHMIDT, P. and SHIN, Y. (1992). Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root. Journal of Econometrics, 54, 159-178.
  • LEAN, H. H. and TAN, V. K. M. (2010). Existence of the Day-of-the-Week Effect in FTSE Bursa Malaysia. Jurnal Pengurusan, 31, 3-11.
  • MAJID, M. S. A., RUSMAN, WINDASWARI, C. and ELIANA (2018). A Comparative Examination of Calender Anomalies between Islamic and Conventional Stock Markets in Indonesia. The International Journal of Business & Management, 6 (8), 259-266.
  • NELSON, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica: Journal of the Econometric Society, 59 (2), 347-370.
  • ÖZTÜRK, M. B., UYSAL, M., ARSLAN, H. and KAYHAN, T. (2018). The Impact of Calendar Anomalies on Stock Return and Volatılıty_Evidence from Turkish Stock Market. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 11 (1), 221-238.
  • PHILLIPS, P. C. B. and PERRON, P. (1988). Testing for Unit Roots in Time Series Regression, Biometrica, 75, 335-346.
  • SHAH, N., QURESHI, M. N. and ASLAM, Y. (2017). An Empirical Investigation of Islamic Calendar Effect in Global Islamic Equity Indices. International Journal of Economics and Finance, 9 (6), 57-68.
  • WEBER, C. S. and NICKOL, P. (2016). More on Calender Effects on Islamic Stock Markets. Review of Middle East Economics and Finance, 12 (1), 65-113.
  • WENHUI, D., YUSOF, Z. and SIENG, C. C. (2009). Calender Effect in Shariah-Compliant Stocks Returns; Evidence from FTSE Bursa Malaysia Hijrah Shariah Index. Proceedings of 2009 International Conference on Economics, Business Management and Marketing, Singapore, 9-11 October, 270-274.
  • www.msci.com (Date Accessed: May 18, 2019).
Toplam 34 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Finans
Bölüm Araştırma Makaleleri
Yazarlar

Hilmi Tunahan Akkuş 0000-0002-8407-1580

Erken Görünüm Tarihi 31 Aralık 2022
Yayımlanma Tarihi 31 Aralık 2022
Gönderilme Tarihi 30 Ekim 2022
Kabul Tarihi 25 Aralık 2022
Yayımlandığı Sayı Yıl 2022 Cilt: 7 Sayı: 4

Kaynak Göster

APA Akkuş, H. T. (2022). AN INVESTIGATION OF CALENDAR ANOMALIES IN ISLAMIC STOCK MARKETS: THE DAY-OF-THE-WEEK EFFECT. Finans Ekonomi Ve Sosyal Araştırmalar Dergisi, 7(4), 828-839. https://doi.org/10.29106/fesa.1196753
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