{"id":4231,"date":"2018-11-05T13:33:41","date_gmt":"2018-11-05T10:33:41","guid":{"rendered":"https:\/\/www.berjournal.com\/?p=4231"},"modified":"2019-01-28T16:06:58","modified_gmt":"2019-01-28T13:06:58","slug":"short-term-reaction-of-bist-indexes-to-shocks-a-macro-analysis","status":"publish","type":"post","link":"https:\/\/www.berjournal.com\/tr\/short-term-reaction-of-bist-indexes-to-shocks-a-macro-analysis","title":{"rendered":"B\u0130ST Endekslerinin \u015eoklara K\u0131sa-D\u00f6nemli Tepkisi: Bir Makro Analiz"},"content":{"rendered":"

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Makale Bilgileri<\/td>\n<\/tr>\n
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Dergi:<\/td>\nBusiness and Economics Research Journal<\/td>\n<\/tr>\n
Makalenin Ba\u015fl\u0131\u011f\u0131:<\/td>\nB\u0130ST Endekslerinin \u015eoklara K\u0131sa-D\u00f6nemli Tepkisi: Bir Makro Analiz<\/td>\n<\/tr>\n
Yazar(lar):<\/td>\n\u00a0Ali Ulvi \u00d6ZG\u00dcL, \u0130brahim Korkmaz KAHRAMAN<\/td>\n<\/tr>\n
Cilt:<\/td>\n10<\/td>\n<\/tr>\n
Say\u0131:<\/td>\n1<\/td>\n<\/tr>\n
Y\u0131l:<\/td>\n2019<\/td>\n<\/tr>\n
Sayfa:<\/td>\n55-75<\/td>\n<\/tr>\n
ISSN:<\/td>\n2619-9491<\/td>\n<\/tr>\n
DOI Numaras\u0131:<\/td>\n10.20409\/berj.2018.151<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
\u00d6z<\/td>\n<\/tr>\n
Hisse senetlerine odakl\u0131, mikro \u00f6l\u00e7ekte y\u00fcr\u00fct\u00fclen De Bondt ve Thaler\u2019in (1985) klasik a\u015f\u0131r\u0131 tepki hipotezine y\u00f6nelik yakla\u015f\u0131m\u0131n\u0131n aksine endeksler veri al\u0131narak yap\u0131lan bu \u00e7al\u0131\u015fmada piyasan\u0131n ve endekslerle temsil edilen portf\u00f6y gruplar\u0131n\u0131n \u015foklara tepkisinin analiz edilmesi ama\u00e7lanm\u0131\u015ft\u0131r. \u015eok filtreleme y\u00f6nteminde, Lasfer vd.\u2019nin (2003) \u00f6nerdikleri bir g\u00f6zlemin 60 g\u00fcn \u00f6ncesinden 11 g\u00fcn \u00f6ncesine de\u011fin g\u00f6zlemleri kapsayan 50 g\u00fcnl\u00fck pencere esas al\u0131nm\u0131\u015f, volatilite ise \u00dcstel A\u011f\u0131rl\u0131kl\u0131 Hareketli Ortalama (EWMA) y\u00f6ntemi ile tahmin edilmi\u015ftir. \u015eoklar i\u00e7in farkl\u0131 bir e\u015fi\u011fin kullan\u0131ld\u0131\u011f\u0131 \u00e7al\u0131\u015fma sonucunda \u015fok g\u00fcn\u00fcndeki tepkileri birbirine yak\u0131n ve anlaml\u0131 olarak farkl\u0131la\u015fan endeksler belirlenmi\u015ftir. \u0130ki d\u00f6nem halinde yap\u0131lan analizde, 2000-2008 d\u00f6nemi i\u00e7in, XUSIN endeksi d\u0131\u015f\u0131nda, endekslere y\u00f6nelik referans \u00e7al\u0131\u015fmalara benzer \u015fekilde d\u00fc\u015f\u00fck tepkiyi g\u00f6steren bulgular tespit edilmi\u015ftir. Ancak bu sonu\u00e7, sadece pozitif \u015foklar i\u00e7in ge\u00e7erlidir. \u0130yi haberlere y\u00f6nelik bu temkinli davran\u0131\u015f, ikinci d\u00f6nemde (2009-2018) kaybolmaktad\u0131r. Bu de\u011fi\u015fim, bilgi etkinli\u011fi bak\u0131m\u0131ndan piyasam\u0131z\u0131n geli\u015fti\u011finin bir g\u00f6stergesi olarak de\u011ferlendirilebilir. Genel itibariyle endekslerin \u015foklara, anlaml\u0131 olarak a\u015f\u0131r\u0131 ya da d\u00fc\u015f\u00fck tepki vermedi\u011fini ortaya koyan \u00e7al\u0131\u015fma, tepkinin tam ve zaman\u0131nda ger\u00e7ekle\u015fti\u011fini savunan Etkin Piyasalar Hipotezi (EPH) ile uyumlu sonu\u00e7lar vermektedir.<\/td>\n<\/tr>\n
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Anahtar Kelimeler:<\/td>\nDavran\u0131\u015fsal Finans, A\u015f\u0131r\u0131 Tepki Hipotezi, D\u00fc\u015f\u00fck Tepki Hipotezi, Etkin Piyasalar Hipotezi, EWMA Filtrelemesi<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
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JEL S\u0131n\u0131fland\u0131rmas\u0131:<\/td>\nG40, G10, G14, G30<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n
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Makale Bilgileri Dergi: Business and Economics Research Journal Makalenin Ba\u015fl\u0131\u011f\u0131: B\u0130ST Endekslerinin \u015eoklara K\u0131sa-D\u00f6nemli Tepkisi: Bir Makro Analiz Yazar(lar): \u00a0Ali Ulvi \u00d6ZG\u00dcL, \u0130brahim Korkmaz KAHRAMAN Cilt: 10 Say\u0131: 1 Y\u0131l: 2019 Sayfa: 55-75 ISSN: 2619-9491 DOI Numaras\u0131: 10.20409\/berj.2018.151 \u00d6z Hisse senetlerine odakl\u0131, mikro \u00f6l\u00e7ekte y\u00fcr\u00fct\u00fclen De Bondt ve Thaler\u2019in (1985) klasik a\u015f\u0131r\u0131 tepki hipotezine y\u00f6nelik […]<\/p>\n

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