Brics countries of the january effect and GARCH in Turkey (P, Q) with model testing
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Abstract (EN)
In the study, between the years 1996-2016 in the closing months of the BRICS countries with data obtained using the impact of Turkey's stock market return in January was examined by GARCH. As a result of the research, it was observed that the country stock exchange with the highest negative return was the BIST, with positive returns on a monthly basis. As a result of the variance distribution analysis, the difference between these returns is higher in BIST than in other countries. However, it was observed that the highest yield was provided as BİST in March. Within the framework of the study, there is no possibility to mention the January effect of BRICS countries and BIST in January. Although there is a long-term relationship between countries within the framework of the GARCH model, this situation is not considered as a situation that eliminates the effective market hypothesis. Key Words: BRICS, BIST, Effective Market Hypothesis, GARCH, January Effect.
Author
Benay Bulut
How to Cite
Benay Bulut (Master Thesis). Brics countries of the january effect and GARCH in Turkey (P, Q) with model testing, 2019, Hitit University.
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