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TÜRK DÖVİZ PİYASASINDA HAFTANIN GÜNÜ VE OCAK AYI ETKİLERİNİN ARAŞTIRILMASI

Yıl 2018, Cilt: 19 Sayı: 1, 176 - 187, 31.05.2018

Dr. Sinem Eyüboğlu , Dr. Kemal Eyüboğlu

Öz

Etkin Piyasalar Hipotezine göre hisse senedi fiyatlarına
tüm bilgiler yansımış olduğundan yatırımcıların aşırı getiriler elde
edemeyeceği ileri sürülmektedir. Ancak anomali adı verilen aykırı fiyat
davranışları yatırımcıların belirli zamanlarda piyasalardan aşırı getiriler
sağlayabileceğini ortaya koymuştur. Bu çalışmada hisse senedi piyasası yerine
döviz piyasasında haftanın günü ve Ocak ayı anomalilerin varlığı
2.1.2006-23.12.2016 dönemi için araştırılmıştır. Çalışmada DOLAR/TL, EURO/TL,
FRANK/TL, POUND/TL ve YUAN/TL olmak üzere beş döviz kurundan yararlanılmıştır.
Yapılan analizler sonucunda ise DOLAR/TL kurunda Pazartesi günleri elde edilen
getirilerin haftanın diğer günlerine kıyasla istatistiksel açıdan farklı ve
pozitif olduğu belirlenmiştir. İlaveten çalışmada yer alan kurlarda Ocak ayı
anomalisinin varlığına ilişkin herhangi bir bulguya rastlanılmamıştır.

Anahtar Kelimeler

Haftanın günü anomalisi Ocak ayı anomalisi döviz piyasası Türkiye

Kaynakça

  • AGNANI, Betty ve Henry ARAY (2011), “The January Effect Across Volatility Regimes”, Quantitative Finance, Vol 11; 947-953.
  • AYDOĞAN, Kürsad ve Geoffrey BOOTH (2003), “Calendar Anomalies in the Turkish Foreign Exchange Markets”, Applied Financial Economics, Vol 13; 353-360.
  • BERUMENT, Hakan; Nejat M. COSKUN ve Afşin SAHIN (2007). “Day of the Week Effect on Foreign Exchange Market Volatility: Evidence from Turkey”, Research in International Business and Finance, Vol 21; 87-97.
  • BERUMENT, Hakan ve Nukhet DOGAN (2012), “Stock Market Return and Volatility: Day-of-the-Week Effect”, Journal of Economics and Finance, 282-302.
  • CHANG, Eric C. ve Chan-Wung KIM (1988), “Day of the Week Effects and Commodity Prices Changes”, The Journal of Futures Markets, Vol 8; 229-241.
  • CORNETT, Marcia Million; Thomas V. SCHWARZ ve Andrew C. SZAKMARY (1995), “Seasonalities and Intraday Return Patterns in the Foreign Currency Futures Market”, Journal of Banking & Finance, Vol 19; 843-869.
  • DUBOIS, Michele ve Pierre LOUVET (1996), “The Day-of-The-Week Effect: The International Evidence”, Journal of Banking and Finance, Vol 20; 1463-1484.
  • ERDEM, Meziyet Sema (2016), “Avrupa ve Asya-Pasifik Hisse Senedi Pazarlarında Zayıf Formda Pazar Etkinliği ve Takvim Anomalileri”, AİBÜ Sosyal Bilimler Enstitüsü Dergisi, Cilt 16, Sayı 3; 149-166.
  • EYÜBOĞLU Kemal; Sinem EYÜBOĞLU ve Rahmi YAMAK (2016), “Predicting Intra-Day and Day of the Week Anomalies in Turkish Stock Market”, The Romanian Economic Journal, Vol 18; 73-94.
  • FLOROS, Christos (2008), “The Monthly and Trading Month Effects in Greek Stock Market Returns: 1996-2002”, Managerial Finance, Vol 34; 453-464.
  • HAUG, Mark ve Mark HIRSCHEY (2006), “The January Effect”, Financial Analysts Journal, Vol 62; 78-88.
  • https://tr.investing.com/currencies/single-currency-crosses, 24.12.2016.
  • KE, Mei-Chu; CHIANG, CHIANG Yi-Chein ve Tung Liao LIAO (2007), “Day-Of-The-Week Effect in the Taiwan Foreign Exchange Market”, Journal of Banking &Finance, Vol 31; 2847-2865.
  • KEEF, Stephen P. ve Melvin L. ROUSH (2005), “Day-Of-The-Week Effects in the Pre-Holiday Returns of the Standard and Poor’s 500 Stock Index”, Applied Financial Economics, Vol 15; 107-119.
  • KUMAR, Satish (2015), “Turn-Of-Month Effect in the Indian Currency Market”, International Journal of Managerial Finance, Vol 11; 232-243.
  • KUMAR, Satish (2016), “Revisiting Calendar Anomalies: Three Decades of Multicurrency Evidence”, Journal of Economics and Business, Vol 86; 16-32.
  • KUMAR, Satish ve Rajesh PATHAK (2016), “Do the Calendar Anomalies Still Exist? Evidence from Indian Currency Market”, Managerial Finance, Vol 42; 136-150.
  • LIANO, Kartono ve G.Wayne KELLY (1995), “Currency Futures and the Turn-Of-Month Effect”, Global Finance Journal, Vol 6; 1-7.
  • LUCEY, Brian M. ve WHELAN, Shane (2004), “Monthly and Semi-Annual Seasonality in the Irish Equity Market 1934-2000”, Applied Financial Economics, Vol 14; 203-208.
  • MCFARLAND, James W.; Richardson R. PETTIT ve Sam K SUNG, (1982), “The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement”, Journal of Finance, Vol 37; 693-715.
  • RAJ, Mahendra ve Damini KUMARI (2006), “Day-Of-The-Week and Other Market Anomalies in the Indian Stock Market”, International Journal of Emerging Markets, Vol 1; 235-246.
  • RENDON, Juan ve William T. ZIEMBA (2007), “Is the January Effect Still Alive in the Futures Markets?”, Financial Markets and Portfolio Management, Vol 21; 381-396.
  • YAMORI, Nobuyoshi ve Yutaka KURIHARA (2004), “The Day-Of-The-Week Effect in Foreign Exchange Markets: Multi-Currency Evidence”, Research in International Business and Finance, Vol 18; 51-57.

Yıl 2018, Cilt: 19 Sayı: 1, 176 - 187, 31.05.2018

Dr. Sinem Eyüboğlu , Dr. Kemal Eyüboğlu

Öz

Kaynakça

  • AGNANI, Betty ve Henry ARAY (2011), “The January Effect Across Volatility Regimes”, Quantitative Finance, Vol 11; 947-953.
  • AYDOĞAN, Kürsad ve Geoffrey BOOTH (2003), “Calendar Anomalies in the Turkish Foreign Exchange Markets”, Applied Financial Economics, Vol 13; 353-360.
  • BERUMENT, Hakan; Nejat M. COSKUN ve Afşin SAHIN (2007). “Day of the Week Effect on Foreign Exchange Market Volatility: Evidence from Turkey”, Research in International Business and Finance, Vol 21; 87-97.
  • BERUMENT, Hakan ve Nukhet DOGAN (2012), “Stock Market Return and Volatility: Day-of-the-Week Effect”, Journal of Economics and Finance, 282-302.
  • CHANG, Eric C. ve Chan-Wung KIM (1988), “Day of the Week Effects and Commodity Prices Changes”, The Journal of Futures Markets, Vol 8; 229-241.
  • CORNETT, Marcia Million; Thomas V. SCHWARZ ve Andrew C. SZAKMARY (1995), “Seasonalities and Intraday Return Patterns in the Foreign Currency Futures Market”, Journal of Banking & Finance, Vol 19; 843-869.
  • DUBOIS, Michele ve Pierre LOUVET (1996), “The Day-of-The-Week Effect: The International Evidence”, Journal of Banking and Finance, Vol 20; 1463-1484.
  • ERDEM, Meziyet Sema (2016), “Avrupa ve Asya-Pasifik Hisse Senedi Pazarlarında Zayıf Formda Pazar Etkinliği ve Takvim Anomalileri”, AİBÜ Sosyal Bilimler Enstitüsü Dergisi, Cilt 16, Sayı 3; 149-166.
  • EYÜBOĞLU Kemal; Sinem EYÜBOĞLU ve Rahmi YAMAK (2016), “Predicting Intra-Day and Day of the Week Anomalies in Turkish Stock Market”, The Romanian Economic Journal, Vol 18; 73-94.
  • FLOROS, Christos (2008), “The Monthly and Trading Month Effects in Greek Stock Market Returns: 1996-2002”, Managerial Finance, Vol 34; 453-464.
  • HAUG, Mark ve Mark HIRSCHEY (2006), “The January Effect”, Financial Analysts Journal, Vol 62; 78-88.
  • https://tr.investing.com/currencies/single-currency-crosses, 24.12.2016.
  • KE, Mei-Chu; CHIANG, CHIANG Yi-Chein ve Tung Liao LIAO (2007), “Day-Of-The-Week Effect in the Taiwan Foreign Exchange Market”, Journal of Banking &Finance, Vol 31; 2847-2865.
  • KEEF, Stephen P. ve Melvin L. ROUSH (2005), “Day-Of-The-Week Effects in the Pre-Holiday Returns of the Standard and Poor’s 500 Stock Index”, Applied Financial Economics, Vol 15; 107-119.
  • KUMAR, Satish (2015), “Turn-Of-Month Effect in the Indian Currency Market”, International Journal of Managerial Finance, Vol 11; 232-243.
  • KUMAR, Satish (2016), “Revisiting Calendar Anomalies: Three Decades of Multicurrency Evidence”, Journal of Economics and Business, Vol 86; 16-32.
  • KUMAR, Satish ve Rajesh PATHAK (2016), “Do the Calendar Anomalies Still Exist? Evidence from Indian Currency Market”, Managerial Finance, Vol 42; 136-150.
  • LIANO, Kartono ve G.Wayne KELLY (1995), “Currency Futures and the Turn-Of-Month Effect”, Global Finance Journal, Vol 6; 1-7.
  • LUCEY, Brian M. ve WHELAN, Shane (2004), “Monthly and Semi-Annual Seasonality in the Irish Equity Market 1934-2000”, Applied Financial Economics, Vol 14; 203-208.
  • MCFARLAND, James W.; Richardson R. PETTIT ve Sam K SUNG, (1982), “The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement”, Journal of Finance, Vol 37; 693-715.
  • RAJ, Mahendra ve Damini KUMARI (2006), “Day-Of-The-Week and Other Market Anomalies in the Indian Stock Market”, International Journal of Emerging Markets, Vol 1; 235-246.
  • RENDON, Juan ve William T. ZIEMBA (2007), “Is the January Effect Still Alive in the Futures Markets?”, Financial Markets and Portfolio Management, Vol 21; 381-396.
  • YAMORI, Nobuyoshi ve Yutaka KURIHARA (2004), “The Day-Of-The-Week Effect in Foreign Exchange Markets: Multi-Currency Evidence”, Research in International Business and Finance, Vol 18; 51-57.
Toplam 23 adet kaynakça vardır.

Ayrıntılar

Bölüm Makaleler
Yazarlar

Dr. Sinem Eyüboğlu

Dr. Kemal Eyüboğlu

Yayımlanma Tarihi 31 Mayıs 2018
Gönderilme Tarihi 12 Aralık 2017
Yayımlandığı Sayı Yıl 2018Cilt: 19 Sayı: 1

Kaynak Göster

APA Eyüboğlu, D. S., & Eyüboğlu, D. K. (2018). TÜRK DÖVİZ PİYASASINDA HAFTANIN GÜNÜ VE OCAK AYI ETKİLERİNİN ARAŞTIRILMASI. Cumhuriyet Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 19(1), 176-187.
 Kapak Resmi İndir

Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi Creative Commons Atıf-GayriTicari 4.0 Uluslararası Lisansı (CC BY NC) ile lisanslanmıştır.