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Volatility of BIST 100 Returns After 2020, Calendar Anomalies and Covid-19 Effect

Yıl 2021, Cilt: 15 Sayı: 1, 61 - 81, 10.08.2021
https://doi.org/10.46520/bddkdergisi.986643

Öz

Kaynakça

  • 1. Adaramola, A. O., & Adekanmbi, K. O. (2020). Day-of-the-week effect in Nigerian stock exchange: adaptive market hypothesis approach. Investment Management & Financial Innovations, 17(1), 97.
  • 2. Alagidede, P. (2008). Day of the week seasonality in African stock markets. Applied Financial Economics Letters, 4(2), 115-120.
  • 3. Alberg, D., Shalit, H., & Yosef, R. (2008). Estimating stock market volatility using asymmetric GARCH models. Applied Financial Economics, 18(15), 1201-1208.
  • 4. Baker, H. K., Rahman, A., & Saadi, S. (2008). The day-of-the-week effect and conditional volatility: Sensitivity of error distributional assumptions. Review of Financial Economics, 17(4), 280-295.
  • 5. Bayçelebi, B. E., & Ertuğrul, M. (2020). BIST Banka Endeksi Volatilitesinin GARCH Modelleri Kullanılarak Modellenmesi. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 20(1), 233-244.
  • 6. Berument, H., Coskun, M. N., & Sahin, A. (2007). Day of the week effect on foreign exchange market volatility: Evidence from Turkey. Research in International Business and Finance, 21(1), 87-97.
  • 7. Berument, H., Kiyamaz, H., (2001). The day-of-the-week effect on stock market Volatility. Journal of Economics and Finance 25, 181-193.
  • 8. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327.
  • 9. Brooks, C. (2008). RATS Handbook to accompany introductory econometrics for finance. Cambridge Books.
  • 10. Chand, S., Kamal, S., & Ali, I. (2012). Modeling and volatility analysis of share prices using ARCH and GARCH models. World Applied Sciences Journal, 19(1), 77-82.
  • 11. Charles, A. (2010). The day-of-the-week effects on the volatility: The role of the asymmetry. European Journal of Operational Research, 202(1), 143-152.
  • 12. Cho, Y. H., Linton, O., & Whang, Y. J. (2007). Are there Monday effects in stock returns: A stochastic dominance approach. Journal of Empirical Finance, 14(5), 736-755.
  • 13. Chukwuogor-Ndu, C. h. i. a. k. u. (2006). Stock market returns analysis, day-of-the-week effect, volatility of returns: Evidence from European financial markets 1997-2004. International Research Journal of Finance and Economics, 1(1), 112-124.
  • 14. Çağıl, G., & Okur, M. (2010). 2008 Küresel Krizinin İMKB Hisse Senedi Piyasası Üzerindeki Etkilerinin GARCH Modelleri ile Analizi. Marmara University Journal of the Faculty of Economic & Administrative Sciences, 28(1).
  • 15. Çil, N. (2018). Finansal ekonometri. Der Yayınları, İstanbul.
  • 16. Diaconasu, D. E., Mehdian, S., & Stoica, O. (2012). An examination of the calendar anomalies in the Romanian stock market. Procedia Economics and Finance, 3, 817-822.
  • 17. Engle, R. F. (1982). Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation. Econometrica, 50, 987- 1008.
  • 18. Engle, R. F., & Bollerslev, T. (1986). Modelling the persistence of conditional variances. Econometric reviews, 5(1), 1-50.
  • 19. GÜRİŞ, S., & Saçildi, İ. S. (2011). İstanbul Menkul Kıymetler Borsası’nda Hisse Senedi Getiri Volatilitesinin Klasik ve Bayesyen GARCH Modelleri ile Analizi. Trakya Üniversitesi Sosyal Bilimler Dergisi, 13(2), 153-171.
  • 20. Kohers, G., Kohers, N., Pandey, V., & Kohers, T. (2004). The disappearing dayof- the-week effect in the world’s largest equity markets. Applied Economics Letters, 11(3), 167-171.
  • 21. Kohli, R. K. (2012). Day-of-the-week effect and January effect examined in gold and silver metals. Insurance markets and companies: analyses and actuarial computations, (3, Iss. 2), 21-26.
  • 22. Kuzu S. (2018). BİST 100 Getiri Volatilitesinin ARCH ve GARCH Modeli ile Tahmin Edilmesi, Muhasebe ve Vergi Uygulamaları Dergisi Nisan 2018; Özel Sayı: 608-624.
  • 23. Krężołek, D. (2018). Testing Day of the Week Effect on Precious Metals Market. Dynamic Econometric Models, 18, 81-97.
  • 24. Lama, A., Jha, G. K., Paul, R. K., & Gurung, B. (2015). Modelling and forecasting of price volatility: An application of GARCH and EGARCH models. Agricultural Economics Research Review, 28(347-2016-17165), 73-82.
  • 25. Magbame C.O. and Ikhatua J. O. (2013). Accounting Information and Stock Volatility in the Nigerian Capital Market: A GARCH Analysis Approach, International Review of Management and Business Research, Vol. 2 Issue. 1.
  • 26. Mazibas, M. (2005). IMKB Piyasalarındaki Volatilitenin Modellenmesi ve Öngörülmesi: Asimetrik GARCH Modelleri Ile Bir Uygulama (Modeling and Forecasting Volatility in Istanbul Stock Exchange Markets: An Application with Asymmetrical GARCH Models). Available at SSRN 3008342.
  • 27. Maqsood, A., Safdar, S., Shafi, R., & Lelit, N. J. (2017). Modeling stock market volatility using GARCH models: A case study of Nairobi Securities Exchange (NSE). Open Journal of Statistics, 7(2), 369-381.
  • 28. Mishkin, F. S. (1996). Understanding Financial Crises: A Developing Country Perspective, Nber Working Paper Series, http://www.nber.org/
  • 29. Mishkin, F. S. (1998). International Capital Movements, Financial Volatility and Financial Instability, NBER Working Paper Series, Working Paper No:6390, January
  • 30. Mishkin, F. S. (2004). The Economics of Money, Banking and Financial Markets. Argosy Publishing, Seventh Edition, United States of America.
  • 31. Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society, 347-370.
  • 32. Obalade, A. A., & Muzindutsi, P. F. (2019). Calendar Anomalies, Market Regimes, and the Adaptive Market Hypothesis in African Stock Markets. Journal of Management and Business Administration. Central Europe, 27(4), 71-94.
  • 33. Oğuzsoy, C. B., & Güven, S. (2004). Holy days effect on Istanbul stock exchange. Journal of Emerging Market Finance, 3(1), 63-75.
  • 34. Osabuohien-Irabor, O. (2016). Day-of-the-week anomaly: An illusion or a reality? Evidence from Naira/Dollar exchange rates. CBN Journal of Applied Statistics, 7(1), 311-332.
  • 35. Özden, Ü. H. (2008). İMKB Bileşik 100 Endeksi Getiri Volatilitesinin Analizi. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi. Yıl:7 Sayı:13 Bahar 2008 s.339-350
  • 36. Pierre, E. F. S. (1998). Estimating EGARCH-M models: Science or art? The Quarterly Review of Economics and Finance, 38(2), 167-180.
  • 37. Yavuz, N. Ç., Güriş, B., & Kıran, B. (2008). The month and holy days effects on the volatility of trade deficit: Evidence from Turkey. Journal of Economic and Social Research, 10(2), 67-84.
  • 38. Yılmaz, N. K. (2019). ARCH ve GARCH Modelleriyle Standard & Poors 500 Endeksinde Rassal Yürüyüş ve Piyasa Etkinliğinin Analizi. İşletme Araştırmaları Dergisi, 11(3), 1559-1574.
  • 39. Zakoian, J. M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and control, 18(5), 931-955.

Volatility of BIST 100 Returns After 2020, Calendar Anomalies and Covid-19 Effect

Yıl 2021, Cilt: 15 Sayı: 1, 61 - 81, 10.08.2021
https://doi.org/10.46520/bddkdergisi.986643

Öz

Market actors define the volatility in financial markets as a measure of risk. This study aims to investigate the volatility movements in the return series calculated on the closing
values of the BIST 100 index between 01.Jan.2020-11.Feb.2021. In addition, the days of the week anomaly, the dates of public holiday, and COVID-19 pandemic effect were used as dummy variable in the econometric model. The findings showed that the EGARCH (3,3) model is to be the best performing model. Accordingly, Friday’s anomaly, Public Holidays, and the COVID-19 pandemic create negative shocks on the volatility movements of the return series, increase the volatility movements, and consequently, asymmetric and leverage effect emerged.

Kaynakça

  • 1. Adaramola, A. O., & Adekanmbi, K. O. (2020). Day-of-the-week effect in Nigerian stock exchange: adaptive market hypothesis approach. Investment Management & Financial Innovations, 17(1), 97.
  • 2. Alagidede, P. (2008). Day of the week seasonality in African stock markets. Applied Financial Economics Letters, 4(2), 115-120.
  • 3. Alberg, D., Shalit, H., & Yosef, R. (2008). Estimating stock market volatility using asymmetric GARCH models. Applied Financial Economics, 18(15), 1201-1208.
  • 4. Baker, H. K., Rahman, A., & Saadi, S. (2008). The day-of-the-week effect and conditional volatility: Sensitivity of error distributional assumptions. Review of Financial Economics, 17(4), 280-295.
  • 5. Bayçelebi, B. E., & Ertuğrul, M. (2020). BIST Banka Endeksi Volatilitesinin GARCH Modelleri Kullanılarak Modellenmesi. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 20(1), 233-244.
  • 6. Berument, H., Coskun, M. N., & Sahin, A. (2007). Day of the week effect on foreign exchange market volatility: Evidence from Turkey. Research in International Business and Finance, 21(1), 87-97.
  • 7. Berument, H., Kiyamaz, H., (2001). The day-of-the-week effect on stock market Volatility. Journal of Economics and Finance 25, 181-193.
  • 8. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327.
  • 9. Brooks, C. (2008). RATS Handbook to accompany introductory econometrics for finance. Cambridge Books.
  • 10. Chand, S., Kamal, S., & Ali, I. (2012). Modeling and volatility analysis of share prices using ARCH and GARCH models. World Applied Sciences Journal, 19(1), 77-82.
  • 11. Charles, A. (2010). The day-of-the-week effects on the volatility: The role of the asymmetry. European Journal of Operational Research, 202(1), 143-152.
  • 12. Cho, Y. H., Linton, O., & Whang, Y. J. (2007). Are there Monday effects in stock returns: A stochastic dominance approach. Journal of Empirical Finance, 14(5), 736-755.
  • 13. Chukwuogor-Ndu, C. h. i. a. k. u. (2006). Stock market returns analysis, day-of-the-week effect, volatility of returns: Evidence from European financial markets 1997-2004. International Research Journal of Finance and Economics, 1(1), 112-124.
  • 14. Çağıl, G., & Okur, M. (2010). 2008 Küresel Krizinin İMKB Hisse Senedi Piyasası Üzerindeki Etkilerinin GARCH Modelleri ile Analizi. Marmara University Journal of the Faculty of Economic & Administrative Sciences, 28(1).
  • 15. Çil, N. (2018). Finansal ekonometri. Der Yayınları, İstanbul.
  • 16. Diaconasu, D. E., Mehdian, S., & Stoica, O. (2012). An examination of the calendar anomalies in the Romanian stock market. Procedia Economics and Finance, 3, 817-822.
  • 17. Engle, R. F. (1982). Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation. Econometrica, 50, 987- 1008.
  • 18. Engle, R. F., & Bollerslev, T. (1986). Modelling the persistence of conditional variances. Econometric reviews, 5(1), 1-50.
  • 19. GÜRİŞ, S., & Saçildi, İ. S. (2011). İstanbul Menkul Kıymetler Borsası’nda Hisse Senedi Getiri Volatilitesinin Klasik ve Bayesyen GARCH Modelleri ile Analizi. Trakya Üniversitesi Sosyal Bilimler Dergisi, 13(2), 153-171.
  • 20. Kohers, G., Kohers, N., Pandey, V., & Kohers, T. (2004). The disappearing dayof- the-week effect in the world’s largest equity markets. Applied Economics Letters, 11(3), 167-171.
  • 21. Kohli, R. K. (2012). Day-of-the-week effect and January effect examined in gold and silver metals. Insurance markets and companies: analyses and actuarial computations, (3, Iss. 2), 21-26.
  • 22. Kuzu S. (2018). BİST 100 Getiri Volatilitesinin ARCH ve GARCH Modeli ile Tahmin Edilmesi, Muhasebe ve Vergi Uygulamaları Dergisi Nisan 2018; Özel Sayı: 608-624.
  • 23. Krężołek, D. (2018). Testing Day of the Week Effect on Precious Metals Market. Dynamic Econometric Models, 18, 81-97.
  • 24. Lama, A., Jha, G. K., Paul, R. K., & Gurung, B. (2015). Modelling and forecasting of price volatility: An application of GARCH and EGARCH models. Agricultural Economics Research Review, 28(347-2016-17165), 73-82.
  • 25. Magbame C.O. and Ikhatua J. O. (2013). Accounting Information and Stock Volatility in the Nigerian Capital Market: A GARCH Analysis Approach, International Review of Management and Business Research, Vol. 2 Issue. 1.
  • 26. Mazibas, M. (2005). IMKB Piyasalarındaki Volatilitenin Modellenmesi ve Öngörülmesi: Asimetrik GARCH Modelleri Ile Bir Uygulama (Modeling and Forecasting Volatility in Istanbul Stock Exchange Markets: An Application with Asymmetrical GARCH Models). Available at SSRN 3008342.
  • 27. Maqsood, A., Safdar, S., Shafi, R., & Lelit, N. J. (2017). Modeling stock market volatility using GARCH models: A case study of Nairobi Securities Exchange (NSE). Open Journal of Statistics, 7(2), 369-381.
  • 28. Mishkin, F. S. (1996). Understanding Financial Crises: A Developing Country Perspective, Nber Working Paper Series, http://www.nber.org/
  • 29. Mishkin, F. S. (1998). International Capital Movements, Financial Volatility and Financial Instability, NBER Working Paper Series, Working Paper No:6390, January
  • 30. Mishkin, F. S. (2004). The Economics of Money, Banking and Financial Markets. Argosy Publishing, Seventh Edition, United States of America.
  • 31. Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society, 347-370.
  • 32. Obalade, A. A., & Muzindutsi, P. F. (2019). Calendar Anomalies, Market Regimes, and the Adaptive Market Hypothesis in African Stock Markets. Journal of Management and Business Administration. Central Europe, 27(4), 71-94.
  • 33. Oğuzsoy, C. B., & Güven, S. (2004). Holy days effect on Istanbul stock exchange. Journal of Emerging Market Finance, 3(1), 63-75.
  • 34. Osabuohien-Irabor, O. (2016). Day-of-the-week anomaly: An illusion or a reality? Evidence from Naira/Dollar exchange rates. CBN Journal of Applied Statistics, 7(1), 311-332.
  • 35. Özden, Ü. H. (2008). İMKB Bileşik 100 Endeksi Getiri Volatilitesinin Analizi. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi. Yıl:7 Sayı:13 Bahar 2008 s.339-350
  • 36. Pierre, E. F. S. (1998). Estimating EGARCH-M models: Science or art? The Quarterly Review of Economics and Finance, 38(2), 167-180.
  • 37. Yavuz, N. Ç., Güriş, B., & Kıran, B. (2008). The month and holy days effects on the volatility of trade deficit: Evidence from Turkey. Journal of Economic and Social Research, 10(2), 67-84.
  • 38. Yılmaz, N. K. (2019). ARCH ve GARCH Modelleriyle Standard & Poors 500 Endeksinde Rassal Yürüyüş ve Piyasa Etkinliğinin Analizi. İşletme Araştırmaları Dergisi, 11(3), 1559-1574.
  • 39. Zakoian, J. M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and control, 18(5), 931-955.
Toplam 39 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Finans
Bölüm Araştırma Makaleleri
Yazarlar

Ali Çelik 0000-0003-3794-7786

Yayımlanma Tarihi 10 Ağustos 2021
Yayımlandığı Sayı Yıl 2021 Cilt: 15 Sayı: 1

Kaynak Göster

APA Çelik, A. (2021). Volatility of BIST 100 Returns After 2020, Calendar Anomalies and Covid-19 Effect. BDDK Bankacılık Ve Finansal Piyasalar Dergisi, 15(1), 61-81. https://doi.org/10.46520/bddkdergisi.986643