AN ANALYSIS OF RAMADAN EFFECT BY GJR-GARCH MODEL: CASE OF BORSA ISTANBUL

• Authors: Akbalik Murat , Tunay K. Batu
• Languages of publication: EN

Abstracts

EN

Although there are a lot of studies testing the calendar effect in BIST, there are limited numbers of studies testing the Ramadan effect. In this study, the period of 05 August 1997–24 October 2014 is tested by the GJR-GARCH(1,1) model on the basis of BIST 30, 100, all, second national, sectors and sub-sectors. In some of the models, the dummy variable of Ramadan did not have significant coefficients. In the models that provide significant value of the dummy variable of Ramadan, coefficients of this variable are negative. This shows that, in the Ramadan, return rates of the second national index, chemistry, and manifacturing, textile, trust companies sectors are affected negatively. Any significant result could not be found whether Ramadan has effect upon other sector indices. Findings are in the direction that even if the month of Ramadan generally doesn’t increase the average return, it makes a positive impact on the market by reducing the volatility of returns.

Keywords

EN

stock returns; anomalies; Ramadan effect; GJR-GARCH

• Publisher: Instytut Badań Gospodarczych
• Journal: Oeconomia Copernicana
• Year: 2016
• Volume: 7
• Issue: 4
• Pages: 593-612

Contributors

author

Akbalik Murat

author

Tunay K. Batu

Identifiers

DOI

10.12775/OeC.2016.033