Yıl: 2010 Cilt: 12 Sayı: 45 Sayfa Aralığı: 61 - 119 Metin Dili: Türkçe

Hisse senedi piyasalarında takvim etkileri ve İstanbul Menkul Kıymetler Borsasına ilişkin bir uygulama

Öz:
ermaye piyasalarının etkin olması; fiyatların geçmiş fiyat hareketleri ile tahmin edilemeyeceği ve bu yolla piyasanın üzerinde getiri elde edilmesinin mümkün olmadığı anlamına gelmektedir. Ancak piyasaların etkinliği ile ilgili dünya finans piyasaları için yapılan çalışmalarda "Etkin Pazar Hipotezi"nin temel varsayımları ile ters düşen ve "Anomali" olarak tanımlanan bulgulara rastlanmıştır. Çalışmanın konusunu oluşturan zamana bağlı olarak ortaya çıkan anomaliler, "Takvim Etkileri" olarak adlandırılmaktadır. Takvim etkileri; haftanın farklı günlerinde, yılın farklı aylarında ya da ayların belli dönemlerinde hisse senedi fiyatlarında mevsimsel trendler, başka bir ifade ile dönemsellikler görülebileceğini ifade etmektedir.Bu çalışmada dünya hisse senedi piyasalarında görülen dönemselliklerin "İstanbul Menkul Kıymetler Borsası" (İMKB) için varlığı araştırılmıştır. Detaylı bir literatür incelemesinin ardından; İMKB'de günlere ve aylara dayalı başlıca takvim etkilerinin varlığı 04.01.1988 - 31.12.2007 dönemi için sayısal olarak incelenmiştir. Sayısal analizler sonucunda; İMKB için "Haftanın Günü Etkisi", "Yılın Ayı Etkisi", "Ay Dönüşü Etkisi", "Yıl Dönüşü Etkisi" ve "Ay İçi Etkisi"nin varlığını önemli ölçüde destekleyen sonuçlara ulaşılmıştır. Bunun yanında varlığı tespit edilen takvim etkilerine dayalı olarak oluşturulan yatırım stratejileri ile yine oldukça yüksek bir oranda piyasanın üzerinde getiri elde edilebildiği tespit edilmiştir. Bu sonuç İMKB'nin "Güçlü Formda Etkin" olmadığı yorumunu beraberinde getirmektedir.
Anahtar Kelime:

Öz:
Capital Market Efficiency states that stock prices cannot be predicted based on the information set containing past price movements, publicly available information and even inside information. In addition to this, it is impossible to attain returns higher than the market return. On the other hand, in related literature on market efficiency, there is empirical evidence that state that there are some unexplained market movements called "stock market anomalies". These anomalies that are studied in this paper those related to the "The Calendar Effects". Calendar effects mean that, seasonality can be seen at different days of the week, different months of the year and some parts of months in stock prices.In this paper, seasonalities that are seen in financial markets throughout the world are researched for Istanbul Stock Exchange Market (ISEM). After investigating the related literature with regard to Efficient Market Hypothesis, existence of calendar effects in ISEM were researched with an empirical analysis during the period 04.01.1988 and 31.12.2007. The empirical results suggest that, "Day of the Week Effect", "Month of the Year Effect", "Turn of the Year Effect", "Turn of the Month Effect" and "Intra Month Effect" exists in ISEM. The empirical evidence found also states that it is possible to earn higher return than market return by using the alternative investment strategies related to Calendar Effect tested in this paper. That is to say that ISEM is not efficient.
Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA EKEN M, ÜNER T (2010). Hisse senedi piyasalarında takvim etkileri ve İstanbul Menkul Kıymetler Borsasına ilişkin bir uygulama. İ M K B Dergisi, 12(45), 61 - 119.
Chicago EKEN Mehmet Hasan,ÜNER Taylan Özgür Hisse senedi piyasalarında takvim etkileri ve İstanbul Menkul Kıymetler Borsasına ilişkin bir uygulama. İ M K B Dergisi 12, no.45 (2010): 61 - 119.
MLA EKEN Mehmet Hasan,ÜNER Taylan Özgür Hisse senedi piyasalarında takvim etkileri ve İstanbul Menkul Kıymetler Borsasına ilişkin bir uygulama. İ M K B Dergisi, vol.12, no.45, 2010, ss.61 - 119.
AMA EKEN M,ÜNER T Hisse senedi piyasalarında takvim etkileri ve İstanbul Menkul Kıymetler Borsasına ilişkin bir uygulama. İ M K B Dergisi. 2010; 12(45): 61 - 119.
Vancouver EKEN M,ÜNER T Hisse senedi piyasalarında takvim etkileri ve İstanbul Menkul Kıymetler Borsasına ilişkin bir uygulama. İ M K B Dergisi. 2010; 12(45): 61 - 119.
IEEE EKEN M,ÜNER T "Hisse senedi piyasalarında takvim etkileri ve İstanbul Menkul Kıymetler Borsasına ilişkin bir uygulama." İ M K B Dergisi, 12, ss.61 - 119, 2010.
ISNAD EKEN, Mehmet Hasan - ÜNER, Taylan Özgür. "Hisse senedi piyasalarında takvim etkileri ve İstanbul Menkul Kıymetler Borsasına ilişkin bir uygulama". İ M K B Dergisi 12/45 (2010), 61-119.