BORSA İSTANBUL’DA HAFTANIN GÜNÜ ANOMALİSİ; GARCH MODEL ANALİZİ
Küçük Resim Yok
Tarih
2017
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Zonguldak Bülent Ecevit Üniversitesi
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
The aim of this study is to investigate the Day of the Week Effect DWE in Borsa Istanbul BIST-100 Index. For this purpose, a dataset of closing prices of the firms was gathered from January 03.2005 to November 06.2015. The data were transformed to return series bytaking logarithmic differences, and analyzed with GARCH 1,1 Model. According to the findings, although the coefficients representing the returns of Monday and Thursday are statistically significant, the returns of the trading days of the week are equal. Consequently, for the related period, DWE was not detected in BIST-100 Index
The aim of this study is to investigate the Day of the Week Effect DWE in Borsa Istanbul BIST-100 Index. For this purpose, the dataset of closing prices of the firms was gathered from 03.01.2005 to 06.11.2015. The data transformed to return series by taking logarithmic differences, and analyzed with GARCH 1,1 Model. According to the findings, although the coefficients representing the returns of Monday and Thursday are statistically significant, the returns of the trading days of the week are equal. Consequently, for the related period, DWE did not detected in BIST-100 Index.
The aim of this study is to investigate the Day of the Week Effect DWE in Borsa Istanbul BIST-100 Index. For this purpose, the dataset of closing prices of the firms was gathered from 03.01.2005 to 06.11.2015. The data transformed to return series by taking logarithmic differences, and analyzed with GARCH 1,1 Model. According to the findings, although the coefficients representing the returns of Monday and Thursday are statistically significant, the returns of the trading days of the week are equal. Consequently, for the related period, DWE did not detected in BIST-100 Index.
Açıklama
Anahtar Kelimeler
Day of the Week Effect|GARCH Model|BIST-100 Index|Haftanın Günü Anomalisi|GARCH Model|BIST-100 Endeksi
Kaynak
Uluslararası Yönetim İktisat ve İşletme Dergisi
WoS Q Değeri
Scopus Q Değeri
Cilt
13
Sayı
3
