Makale detayı · 2017
The day of the week effect in Borsa İstanbul: A GARCH Model analysis
Uluslararası Yönetim İktisat ve İşletme Dergisi
- Yıl
- 2017
- ISSN
2147-9208- Tür
- article
Veri kaynağı ayrımı
- YÖKSİS YÖKSİS makale kaydı
- OpenAlex OpenAlex zenginleştirmesi (özet, atıf, konular)
Özet
İngilizce (OpenAlex)
The aim of this study is to investigate the Day of the Week Effect DWE in Borsa Istanbul BIST-100 Index. For this purpose, the dataset of closing prices of the firms was gathered from 03.01.2005 to 06.11.2015. The data transformed to return series by taking logarithmic differences, and analyzed with GARCH 1,1 Model. According to the findings, although the coefficients representing the returns of Monday and Thursday are statistically significant, the returns of the trading days of the week are equal. Consequently, for the related period, DWE did not detected in BIST-100 Index.
Konular
- Financial Markets and Investment Strategies
- Market Dynamics and Volatility
- Stock Market Forecasting Methods
Birincil konu Financial Markets and Investment Strategies