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Borsa İstanbul Yatırımcısı Açısından “Mayıs’ta Sat ve Git” Stratejisinin Geçerliliğinin İncelenmesi

Year 2023, Volume: 7 Issue: 2, 487 - 494, 25.12.2023

Samet Evci Mustafa Can Samırkaş

https://doi.org/10.30586/pek.1362268

Abstract

Etkin Piyasalar Hipotezi, varlık fiyatlarının mevcut tüm bilgiyi yansıttığını ve fiyatların rassal olarak değiştiğini savunmaktadır. Bu durum, geçmiş fiyatlardan hareketle gelecek fiyat hareketlerinin tahmin edilemeyeceğini ifade etmektedir. Fakat takvim anomalilerin varlığı piyasaların etin olmadığının göstergesidir Takvim anomalileri, varlık getirilerinin belirli zamanlarda ya da dönemlerde ortalamanın üstünde ya da altında olabileceğini ifade etmektedir. “Mayıs’ta sat ve git” veya “Cadılar Bayramı” Etkisi olarak bilinen Mayıs ayı anomalisi de pay piyasası getirilerinin, Mayıs-Ekim dönemine kıyasla Kasım-Nisan döneminden daha yüksek olduğunu öne süren sezonsal bir anomalidir. Bu çalışma, Mayıs ayı anomalisinin Borsa İstanbul (BİST) Pay piyasasında geçerliliğini BİST100, BİST Tüm, BİST Sınai, BİST Ticaret, BİST Hizmet endekslerinin Ocak 1998-Aralık 2022 dönemlerine ilişkin aylık kapanış değerleri üzerinden incelemeyi amaçlamaktadır. Endeks serilerinde Mayıs ayı anomalisi Bouman ve Jacobsen (2002) çalışmasında kullanılan doğrusal regresyon modeli üzerinden analiz edilmektedir. Çalışma bulguları, tüm endekslerde %1 anlamlılık düzeyinde Mayıs ayı etkisinin olmadığını yani iki dönem arasında istatistiki açıdan anlamlı bir getiri farkının bulunmadığını ifade etmektedir.

Keywords

Mayıs’ta Sat ve Git Cadılar Bayramı Takvim Anomalisi.

References

  • Aharon, D. Y., Qadan, M. (2018). Bitcoin and day‐of‐the‐week effect. Finance Research Letters. 31. Alagidede, P. (2012). Month of the year and pre-holiday effects in African Stock Markets. South African Journal of Economic and Management Sciences. 16. 64-74.
  • Andrade, S.C., Chhaochharia, V., Fuerst, M.E., (2013). “Sell in May and go away” just won’t go away. Financial Analysts Journal, 69(4), 94–105.
  • Apolınarıo, R. M. C., Santana, O. M., Sales, L. J., Caro, A. R. (2006). Day of the week effect on European Stock Markets, International Research Journal of Finance and Economics, 2(1), 53-70.
  • Arendas, P., Malacka, V., Schwarzova, M., (2018). A closer look at the halloween effect: the case of the Dow Jones industrial average. International Journal of Financial Studies, 6(2), 1-12.
  • Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics. 31, 307-327.
  • Bouman, S.; Jacobsen, B. (2002). The Halloween Indicator," Sell in May and Go Away": Another puzzle. American Economic Review, 92(5), 1618-1635.
  • Değirmenci, N. (2021). Borsa İstanbul’da getiri ve oynaklık üzerinde Ocak ayı etkisinin testi. Yaşar Üniversitesi E-Dergisi, 16(62), 478- 491
  • Dichtl, H., Drobetz, W., (2015). Sell in May and go away: still good advice for investors? International Review of Financial Analysis, 38, 29–43.
  • Dickey, D.A., Fuller, W.A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427–431.
  • Fama, E.F., (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 25(2), 383–417.
  • Hung, J. C., Lee, M. C., Liu, H. C. (2008). Estimation of Value-at-Risk for energy commodities via fat-tailed garch model. Energy Economics. 30, 1173-1191.
  • Kumar, S. S. (1999). Further evidence on weak form efficiency in the Indian Stock Market. Paradigm, 3(1), 91-98.
  • Levis, M., (1985). Are small firms big performers?, Investment analyst 76, 21-27.
  • Maberly, E.D., Pierce, R.P., (2004). Stock market efficiency withstands another challenge: Solving the ‘‘sell in May/ buy after Halloween” puzzle. Econ. J. Watch, 29–46.
  • Mangala, D.; Lohia, V. (2013). Market efficiency in emerging economies: An empirical analysis of month of the year effect. The IUP Journal of Applied Finance. 19(3), 19-38.
  • Narayan , P. K., Smyth , R. (2004). Is South Korea's Stock Market Efficient? Applied Economics Letters, 11(11), 707-710.
  • O'Higgins, M.; Downes, J. (1991). Beating the Dow. a high-retum-low-risk method for investing in industrial stocks with as little as $5000. Harper Collins, New York, 1990.
  • Phillips, P.C.B., Perron, P. (1988). Testing for a unit root in time series regression. Biometrica 75, 335–346.
  • Roy, S. (2018). Testing random walk and market efficiency: A cross-stock market analysis. Foreign Trade Review, 53(4), 225-238.
  • Siriopoulos, C., Giannopoulo, P., (2006). Market efficiency in the Greek stock exchange: the Halloween effect. Journal of Economics and Business, 56(2), 75–88.
  • Tekin, B. (2019). Borsa İstanbul’da Mayıs ayı satış etkisi ile Ocak ayı etkisinin araştırılması: BIST 100 örneği. Uluslararası İktisadi ve İdari İncelemeler Dergisi, 24, 287 – 300.
  • Thaler, R. H. (1987). Anomalies: The January Effect. Journal of Economic Perspectives, 1(1), 197-201.
  • Worthington , A., Higgs , H. (2003). An empirical note on the random walk behaviour and market efficiency of Latin American Stock Markets. Empirical Economics Letters, 2(5), 183-197.
  • Yılancı, V. (2013). Halloween etkisinin İstanbul Menkul Kıymetler Borsasında geçerliliğinin testi. Siyaset, Ekonomi ve Yönetim Araştırmaları Dergisi, 1(1), 21-30.
  • Yiğiter, Ş. Y.; Ilgın, K. S. (2015). BIST 100 endeksinde Ocak ayı anomalisinin güç oranı yöntemiyle test edilmesi. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 30(2), 171-187.
  • Zarour, B., A., (2007). The Halloween effect anomaly: Evidence from some Arab countries equity markets. Studies of Business and Economics, 13(1), 68-76.

Examining of the Validity of the “Sell in May and Go Away” Strategy for Borsa Istanbul Investors

Year 2023, Volume: 7 Issue: 2, 487 - 494, 25.12.2023

Samet Evci Mustafa Can Samırkaş

https://doi.org/10.30586/pek.1362268

Abstract

The Efficient Market Hypothesis argues that asset prices reflect all available information and prices change randomly. This means that future price movements cannot be predicted based on past prices. However, the existence of calendar anomalies is an indication that the markets are not accurate. Calendar anomalies indicate that asset returns may be above or below average at certain times or periods. The May anomaly, known as the “Sell and Go in May” or “Halloween” Effect, is also a seasonal anomaly that suggests equity market returns are higher in the November-April period compared to the May-October period. This study aims to examine the validity of the May anomaly in the Borsa Istanbul (BIST) Equity market through the monthly closing values of BIST 100, BIST All, BIST Industrial, BIST Trade, BIST Service indices for the period January 1998-December 2022. The May anomaly in the index series is analyzed through the linear regression model used in the study of Bouman and Jacobsen (2002). The study findings indicate that there is no May effect in all indices at the 1% significance level, that is, there is no statistically significant return difference between the two periods.

Keywords

Sell and Go in May Halloween Effect Calendar Anomalies

References

  • Aharon, D. Y., Qadan, M. (2018). Bitcoin and day‐of‐the‐week effect. Finance Research Letters. 31. Alagidede, P. (2012). Month of the year and pre-holiday effects in African Stock Markets. South African Journal of Economic and Management Sciences. 16. 64-74.
  • Andrade, S.C., Chhaochharia, V., Fuerst, M.E., (2013). “Sell in May and go away” just won’t go away. Financial Analysts Journal, 69(4), 94–105.
  • Apolınarıo, R. M. C., Santana, O. M., Sales, L. J., Caro, A. R. (2006). Day of the week effect on European Stock Markets, International Research Journal of Finance and Economics, 2(1), 53-70.
  • Arendas, P., Malacka, V., Schwarzova, M., (2018). A closer look at the halloween effect: the case of the Dow Jones industrial average. International Journal of Financial Studies, 6(2), 1-12.
  • Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics. 31, 307-327.
  • Bouman, S.; Jacobsen, B. (2002). The Halloween Indicator," Sell in May and Go Away": Another puzzle. American Economic Review, 92(5), 1618-1635.
  • Değirmenci, N. (2021). Borsa İstanbul’da getiri ve oynaklık üzerinde Ocak ayı etkisinin testi. Yaşar Üniversitesi E-Dergisi, 16(62), 478- 491
  • Dichtl, H., Drobetz, W., (2015). Sell in May and go away: still good advice for investors? International Review of Financial Analysis, 38, 29–43.
  • Dickey, D.A., Fuller, W.A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427–431.
  • Fama, E.F., (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 25(2), 383–417.
  • Hung, J. C., Lee, M. C., Liu, H. C. (2008). Estimation of Value-at-Risk for energy commodities via fat-tailed garch model. Energy Economics. 30, 1173-1191.
  • Kumar, S. S. (1999). Further evidence on weak form efficiency in the Indian Stock Market. Paradigm, 3(1), 91-98.
  • Levis, M., (1985). Are small firms big performers?, Investment analyst 76, 21-27.
  • Maberly, E.D., Pierce, R.P., (2004). Stock market efficiency withstands another challenge: Solving the ‘‘sell in May/ buy after Halloween” puzzle. Econ. J. Watch, 29–46.
  • Mangala, D.; Lohia, V. (2013). Market efficiency in emerging economies: An empirical analysis of month of the year effect. The IUP Journal of Applied Finance. 19(3), 19-38.
  • Narayan , P. K., Smyth , R. (2004). Is South Korea's Stock Market Efficient? Applied Economics Letters, 11(11), 707-710.
  • O'Higgins, M.; Downes, J. (1991). Beating the Dow. a high-retum-low-risk method for investing in industrial stocks with as little as $5000. Harper Collins, New York, 1990.
  • Phillips, P.C.B., Perron, P. (1988). Testing for a unit root in time series regression. Biometrica 75, 335–346.
  • Roy, S. (2018). Testing random walk and market efficiency: A cross-stock market analysis. Foreign Trade Review, 53(4), 225-238.
  • Siriopoulos, C., Giannopoulo, P., (2006). Market efficiency in the Greek stock exchange: the Halloween effect. Journal of Economics and Business, 56(2), 75–88.
  • Tekin, B. (2019). Borsa İstanbul’da Mayıs ayı satış etkisi ile Ocak ayı etkisinin araştırılması: BIST 100 örneği. Uluslararası İktisadi ve İdari İncelemeler Dergisi, 24, 287 – 300.
  • Thaler, R. H. (1987). Anomalies: The January Effect. Journal of Economic Perspectives, 1(1), 197-201.
  • Worthington , A., Higgs , H. (2003). An empirical note on the random walk behaviour and market efficiency of Latin American Stock Markets. Empirical Economics Letters, 2(5), 183-197.
  • Yılancı, V. (2013). Halloween etkisinin İstanbul Menkul Kıymetler Borsasında geçerliliğinin testi. Siyaset, Ekonomi ve Yönetim Araştırmaları Dergisi, 1(1), 21-30.
  • Yiğiter, Ş. Y.; Ilgın, K. S. (2015). BIST 100 endeksinde Ocak ayı anomalisinin güç oranı yöntemiyle test edilmesi. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 30(2), 171-187.
  • Zarour, B., A., (2007). The Halloween effect anomaly: Evidence from some Arab countries equity markets. Studies of Business and Economics, 13(1), 68-76.
There are 26 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Makaleler
Authors

Samet Evci 0000-0002-5854-3847

Mustafa Can Samırkaş 0000-0002-0856-4762

Publication Date December 25, 2023
Published in Issue Year 2023 Volume: 7 Issue: 2

Cite

APA Evci, S., & Samırkaş, M. C. (2023). Borsa İstanbul Yatırımcısı Açısından “Mayıs’ta Sat ve Git” Stratejisinin Geçerliliğinin İncelenmesi. Politik Ekonomik Kuram, 7(2), 487-494. https://doi.org/10.30586/pek.1362268
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