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Halloween Etkisinin İstanbul Menkul Kıymetler Borsasında Geçerliliğinin Testi

The Validity of the Halloween Effect in the Istanbul Stock Exchange

Journal Name:

  • Siyaset, Ekonomi ve Yönetim Araştırmaları Dergisi

Publication Year:

  • 2013

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
In this study, we analyze the validity of Halloween effect in Istanbul Stock Exchange (ISE) between January 1990 - December 2010 which implies stock returns are lower during the May-October period versus the November-April period. As well as the Least Squares Method, we use Huber’s M-estimator which is a robust estimator against to outliers, and conclude that there is no Halloween effect in the ISE which shows the finding of Bouman and Jacobsen (2002) is due to disregarding outliers.
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Abstract (Original Language): 
Bu çalışmada, Kasım-Nisan döneminde gerçekleşen hisse senedi getirilerinin Mayıs- Ekim döneminde gerçekleşen getirilere göre daha yüksek olduğunu ifade eden ve ilk kez Bouman ve Jacobsen (2002) tarafından incelenen Halloween etkisinin varlığı Ocak 1990-Aralık 2010 dönemi için İstanbul Menkul Kıymetler Borsası’nda (İMKB) en küçük kareler yönteminin yanı sıra aykırı değerlere karşı güçlü tahminciler veren Huber’in M-tahminci tekniğiyle araştırılmıştır. Elde edilen sonuçlar İMKB’de Halloween etkisinin olmadığını, Bouman ve Jacobsen (2002) tarafından İMKB’de bulunan etkinin esas sebebinin aykırı değerler olduğunu göstermektedir.
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  • 1
21-30
  • Turkish

JEL Codes:

REFERENCES

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Halloween Etkisinin İstanbul Menkul Kıymetler Borsasında Geçerliliğinin Testi
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