BORSA İSTANBUL’DA HAFTANIN GÜNÜ ANOMALİSİ; GARCH MODEL ANALİZİ

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dc.contributor.authorÖncü, Mehmet Akif
dc.contributor.authorÜnal, Aslıhan
dc.contributor.authorDemirel, Oğuz
dc.date.accessioned2025-03-24T19:47:07Z
dc.date.available2025-03-24T19:47:07Z
dc.date.issued2017
dc.departmentDüzce Üniversitesi
dc.description.abstractThe 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
dc.description.abstractThe 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.
dc.identifier.doi10.17130/ijmeb.2017331332
dc.identifier.endpage534
dc.identifier.issn2147-9208
dc.identifier.issn2147-9194
dc.identifier.issue3
dc.identifier.startpage521
dc.identifier.urihttps://doi.org/10.17130/ijmeb.2017331332
dc.identifier.urihttps://hdl.handle.net/20.500.12684/18494
dc.identifier.volume13
dc.language.isotr
dc.publisherZonguldak Bülent Ecevit Üniversitesi
dc.relation.ispartofUluslararası Yönetim İktisat ve İşletme Dergisi
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_DergiPark_20250324
dc.subjectDay of the Week Effect|GARCH Model|BIST-100 Index|Haftanın Günü Anomalisi|GARCH Model|BIST-100 Endeksi
dc.titleBORSA İSTANBUL’DA HAFTANIN GÜNÜ ANOMALİSİ; GARCH MODEL ANALİZİ
dc.title.alternativeTHE DAY OF THE WEEK EFFECT IN BORSA ISTANBUL; A GARCH MODEL ANALYSIS
dc.typeArticle

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