 Testing the Calendar Anomalies for BIST City Indexes with Symmetric and Asymmetric GARCH ModelsÖyküm Esra Aşkin and
Ali Hakan Büyüklü
Iktisat Isletme ve Finans, 2014, vol. 29, issue 336, 59-82 Abstract: Except from being an indicator of regional development, city indexes formed in the area of finance by Borsa Istanbul might be a significant guide for investors while deciding on an investment in the relevant city. Due to the fact that the main purpose of these indexes is to monitor the price and return performances of companies in the same city, it is possible to compare the performances on the basis of the cities. In this study, the existence of the dayof-the-week (DOW) anomaly is investigated with GARCH and EGARCH specifications for each city indexes. According to estimated model results, EGARCH specification gives more consistent results for Bursa, Istanbul, Izmir and Kayseri city index series. However, positive Monday effect is observed on mean returns for Bursa city index which mostly contains stocks of manufacturing sector. Further, the results provide evidence that return volatility changes through weekdays in Antalya, Kayseri and Tekirdag city indexes Keywords: BIST City Indexes; Day Of The Week Effect; GARCH; EGARCH; Volatility (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:iif:iifjrn:v:29:y:2014:i:336:p:59-82 Ordering information: This journal article can be ordered from Access Statistics for this article Iktisat Isletme ve Finans is currently edited by Ali Bilge More articles in Iktisat Isletme ve Finans from Bilgesel Yayincilik |
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