HİCRİ TAKVİM ETKİSİNİN BIST SEKTÖR ENDEKSLERİNDE TEST EDİLMESİ

Kemal EYÜBOĞLU, Sinem EYÜBOĞLU

Öz


Finans alanında Hicri takvim etkileri ile ilgili çalışmaların büyük bir kısmını Ramazan ayı etkisini araştıran çalışmalar oluşturmaktadır. Ancak literatürde Hicri takvim etkisini sektör endeksleri açısından inceleyen çok az sayıda çalışma bulunmaktadır. Bu amaçla çalışmada 7.12.2010-14.10.2015 (Hicri 1432-1436) dönemi için Hicri takvim etkisinin 24 Borsa İstanbul Endeksi’nde geçerli olup olmadığı günlük veriler kullanılarak araştırılmıştır. Çalışma sonucunda 22 endekste oluşan aylık getirilerin istatistiksel açıdan bir farklılık göstermediği belirlenmiştir. Çalışmada diğer aylara kıyasla sadece Spor endeksinde Cemaziyelahir ayında elde edilen getirilerin, Sigorta endeksinde ise hem Cemaziyelahir ve hem de Ramazan aylarında oluşan getirilerin istatistiksel açıdan anlamlı ve negatif olduğu tespit edilmiştir. 


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DOI: http://dx.doi.org/10.11616/AbantSbe.

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