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  • Tytuł artykułu:
    AN ANALYSIS OF RAMADAN EFFECT BY GJR-GARCH MODEL: CASE OF BORSA ISTANBUL
  • Opublikowany w czasopiśmie:
  • Rocznik 2016,  tom 7,  numer 4
  • 593-612
  • Oryginalny artykuł naukowy
  • angielski
  • article-cbbc3892-be24-4d1d-87c4-9184a2cc4b4c
  • 11709
  • 23.07.2017 12:02:03
  • Murat Akbalik [1]
  • K. Batu Tunay [1]
  • [1] Marmara University
  • Brak afiliacji
Nie znaleziono publikacji cytujących ten artykuł
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  2. Al-Hajiieh, H., Redhead, K., & Rodgers, T. (2011). Investor Sentiment and Calendar Anomaly Effects: A Case Study of the Impact of Ramadan on Islamic Middle Eastern Markets. Research in International Business and Finance, 25(3). DOI: 10.1016/j.ribaf.2011.03.004.
  3. Almudhaf, F. (2012). The Islamic Calendar Effect: Evidence from Twelve Stock Markets. International Research Journal of Finance and Economics, 87.
  4. Ayodeji, O. R. (2010). Oil Price Volatility, Global Financial Crisis and the Month-of-the Year Effect. International Journal of Business and Management, 5(11).
  5. Balaban, E., Bayar, A., & Kan, Z. B. (2001). Stock Returns, Seasonality and Asymmetric Conditional Volatility in World Equity Markets. Applied Economic Letters, 8.
  6. Bampinas, G., Fountas, S., & Panagioditis, T. (2015). The Day-of-the-week Effect Is Weak: Evidence from the European Real Estate Sector. Journal of Economics and Finance, 40(3). DOI: 10.1007/s12197-015-9325-7.
  7. Bialkowski, J., Etebari, A., & Wisniewski, T. P. (2012). Fast Profits: Investor Sentiment and Returns During Ramadan. Journal of Banking and Finance, 36. DOI: 10.1016/j.jbankfin.2011.09.014.
  8. Bialkowski, J., Bohl, M. T., Kaufmann, P., & Wisniewski, T. P. (2013). Do Mutual Fund Manager Exploit the Ramadan. Emerging Markets Reviews, 15. DOI: 10.2139/ssrn.1975330.
  9. Bollerslev, T., & Wooldridge, J. M. (1992). Quasi Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances. Econometric Reviews, 11(2). DOI: http://dx.doi.org/10.1080/07474939208800229.
  10. Borowski, K. (2016). Analysis of Monthly Rates of Return in April on the Example of Selected World Stock Exchange Indices. Equilibrium. Quarterly Journal of Economics and Economic Policy, 11(2). DOI: http://dx.doi.org/10.12775 /EQUIL.2016.014.
  11. Boujelbene, A., Mouna, B. Y., & Bouri, A. (2009). Overconfidence Bias: Explanation of Market Anomalies French Market Case. Journal of Applied Economic Sciences, 4(1).
  12. Choudry, T. (2001). Month of the Year Effect and January Effect in Pre WW1 Stock Returns: Evidence from a Nonlinear GARCH Model. International Journal of Finance and Economics, 6(1). DOI: 10.1002/ijfe.142.
  13. Dumitriu, R., & Stefanescu, R. (2013). Gone Fishin’ Effects on the Bucharest Stock Exchange. Annals of the University of Petroşani, Economics, 13(1).
  14. Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the Relation Between the Expected Value and the Volatility of Normal Excess Return on Stocks. Journal of Finance, 48(5). DOI: 10.1111/j.1540-6261.1993.tb05128.x.
  15. Halari, A., Tantisantiwong, N., Power, D. M., & Helliar, C. (2015). Islamic Calendar Anomalies: Evidence from Pakistani Firm-level Data. Quarterly Review of Economics and Finance, 58. DOI: http://dx.doi.org/10.1016/j.qref.2015.02.004.
  16. Husain, F. (1998). A Seasonality in the Pakistani Equity Market: The Ramadan Effect. Pakistan Development Review, 37(1).
  17. Iqbal, M. S., Kouser, R., & Azeem, M. (2013). Conventional and Islamıc Anomalies in Karachi Stock Exchange. Science International (Lahore), 25(4).
  18. Kaya, E., & Kılınç, A. (2014). Do Ramadan Affect the Stock Market? An Econometrical Analysis for Turkey. 18th Finance Symposium, Denizli, Turkey, October 15-18.
  19. Li, X., Miffre, J., & Brooks, C. (2007). Momentum Profits and Time-Varying Unsystematic Risk. Nice, France: Edhec Risk and Asset Management Research Centre.
  20. Mustafa, K. (2011). The Islamic Calendar Effect on Karachi Stock Market. Pakistan Business Review, October.
  21. Oguzsoy, C. B., & Guven, S. (2004). Holy Days Effects on Istanbul Stock Exchange. Journal of Emerging Market Finance, 3(1). DOI: 10.1177/09726527 0400300104.
  22. Rapach, D. E., Strauss, J. K., & Wohar, M. E. (2008). Forecasting Stock Return Volatility in the Presence of Structural Breaks. In D. E. Rapach & M. E. Wohar (Eds.). Frontiers of Economics and Globalization Vol. 3: Forecasting in the Presence of Structural Breaks and Model Uncertainty. Bingley: Emarald.
  23. Seyyed, F. J., Abraham, A., & Al-Hajji, M. (2005). Seasonality in Stock Returns and Volatility: The Ramadan Effect. Research in International Business and Finance, 19(3). DOI: 10.1016/j.ribaf.2004.12.010.
  24. Zakoian, J. M. (1994). Treshold Heteroscedastic Models. Journal of Economic Dynamics and Control, 18(5). DOI: 10.1016/0165-1889(94)90039-6.
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