Döviz Getirisinde Haftanın Günü Etkisinin Araştırılması: Türkiye Örneği
Anahtar Kelimeler:
Etkin Piyasalar Hipotezi,- , GARCH Ailesi Modelleri- Davranışsal Finans- Haftanın Günü Etkisi- Covid-19 PandemiÖzet
30 Ocak 2020'de Covid-19, Dünya Sağlık Örgütü tarafından küresel bir sağlık acil durumu ilan edilmiştir. Bu durum hayatın birçok alanında değişikliklere neden olmuştur. Piyasa etkinliğine uygun olmayan, farklılık gösteren sapmalar genel olarak anomali olarak adlandırılmaktadır. Çeşitli anomalilerin varlığı etkin piyasalar hipotezinden sapmalar olabileceğini göstermektedir. Bu çalışmada finansal yatırım araçlarından biri olan Amerikan Doları (USD) getirilerinde, haftanın günü anomalisi Covid-19 Pandemi sürecinin hâkim olduğu 2020 dönemi günlük veriler ile GARCH ailesi modelleri kullanılarak araştırılmıştır.
ARCH modelinde ortalama denkleminde haftanın günü anomalisi tespit edilememiş, fakat varyans denkleminde Pazartesi ve Salı günlerinde %1 önem seviyesinde diğer günlere göre pozitif yönlü haftanın günü etkisi görülmüştür. GARCH modelinde ortalama denkleminde haftanın günü anomalisi tespit edilememiş, fakat varyans denkleminde Pazartesi gününde %10 önem seviyesinde negatif yönlü ve Perşembe gününde %5 önem seviyesinde negatif yönlü haftanın günü etkisi görülmüştür. Volatilite üzerinde risk ile getiri etkisini açıklayan ARCH-M ve GARCH-M modelleri istatistiksel olarak anlamsız çıkmış, EGARCH ve TGARCH modellerinde asimetrik etki ile kaldıraç etkisine rastlanmamıştır.
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