Journal of Yaşar University

Journal of Yaşar University

Borsa İstanbul’da Getiri ve Oynaklık Üzerinde Ocak Ayı Etkisinin Testi

Yazarlar: Nurdan DEĞİRMENCİ

Cilt 16 , Sayı 62 , 2021 , Sayfalar 478 - 491

Konular:Sosyal

DOI:10.19168/jyasar.857501

Anahtar Kelimeler:January Effect,Efficient Market Hypothesis,GARCH,EGARCH,GARCH Models

Özet: January effect means that stock returns are higher in January than in any other month of the year. The aim of this study is to investigate whether there is a January effect on Borsa İstanbul (BIST 100) stock returns and volatility with GARCH, EGARCH and TGARCH models. For this purpose, the daily stock return closing values covering the period of 04.01.2010-18.02.2020 were used. According to the findings, while January effect was observed on stock returns, no effect was found on volatility. In addition, it was determined that negative shocks are more effective than positive shocks in EGARCH and TGARCH models created to determine leverage effect.

ATIFLAR
Atıf Yapan Eserler
Henüz Atıf Yapılmamıştır
KAYNAK GÖSTER
BibTex
KOPYALA
@article{2021, title={Borsa İstanbul’da Getiri ve Oynaklık Üzerinde Ocak Ayı Etkisinin Testi}, volume={16}, number={478–491}, publisher={Journal of Yaşar University}, author={Nurdan DEĞİRMENCİ}, year={2021} }
APA
KOPYALA
Nurdan DEĞİRMENCİ. (2021). Borsa İstanbul’da Getiri ve Oynaklık Üzerinde Ocak Ayı Etkisinin Testi (Vol. 16). Vol. 16. Journal of Yaşar University.
MLA
KOPYALA
Nurdan DEĞİRMENCİ. Borsa İstanbul’da Getiri ve Oynaklık Üzerinde Ocak Ayı Etkisinin Testi. no. 478–491, Journal of Yaşar University, 2021.
Atıf Görüntüle
PDF Görüntüle
Kaynak Görüntüle
Paylaş
Dergi Bilgileri