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Abstract


CROSS-SECTIONAL ANOMALIES IN BORSA ISTANBUL STOCK EXCHANGE

Efficient Market Hypothesis was questioned by many researchers and some deviations from normal were observed. Such deviations are called anomaly. There are five types of anomalies. These are calendar anomalies, cross-sectional anomalies, anomalies based on economic factors, anomalies based on political factors and technical anomalies. Cross-sectional anomalies are differentiations in stock returns based on certain factors. In this thesis, the existence of the cross-sectional anomalies are analyzed during the period of January 2009 – December 2015 using cross sectional regression analyses method of Fama and Macbeth which was first used in 1973. This task was done in small firms, big firms and all firms groups according to total market values. It was shown that momentum and market value anomalies were not present in all groups, however, market value / book value and dividend yield anomalies were present in all groups. In addition, it was observed that both effects were maintained in all three groups when the dividend yield effect was controlled according to the market value / book value. It is also among the results of the study that Borsa İstanbul Stock Market is not an efficient market.



Keywords
Cross-Sectional Anomalies, Anomaly, Borsa İstanbul, Book-to-Market Value, Firm Size, Momentum, Dividend Yield



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