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ENDEKS ETKİSİ: İMKB UYGULAMASI

Year 2012, Volume: 4 Issue: 2, 89 - 110, 31.07.2012

Ahmet Bayraktar

Abstract

Bu çalışmada IMKB-100 endeksi kompozisyon değişiklik duyurularının ardından hisse senedi göstergelerinin değişimi üzerindeki endeks etkisi araştırılmaktadır. 2011-2013 yılları arasında IMKB-100 endeksine dahil edilen veya endeksten çıkarılan hisse senetlernin,, değişiklik duyuru ve uygulamalarının yapıldığı tarihler etrafında, fiyat yükselişleri/düşüşleri ve işlem hacimleri ölçülmüştür. Araştırma sonuçlarına göre, özellikle dahil edilen hisse senetleri fiyatında anlamlı bir artış sözkonusudur. Ek olarak ağırlıklı olarak endeks fonlarının yoğun ticari faaliyetleri sonucunda olduğu düşünülen, çıkarılma ve dahil edilme durumlarının her ikisinde de işlem hacminlerinde önemli artışlar ölçülmüştür. Ayrıca, dahil olma veya çıkarılma duyurusunun, yatırımcılara yatırımlarının çekiciliği ile ilgili fikirlerini değiştirmelerine yol açabilecek yeni bir bilgi içerdiği sonucuna ulaşılmıştır. İlan edilen endeks değişiklikleri fiyat baskısı, bilgi ve talep hipotezlerini destekleyecek şekilde belirgin fiyat yükselişleri/düşüşleri ile birlikte hacim oranında da yükselişlerle neden olmaktadır.

Keywords

Endeks Etkisi Endeks Değişiklikleri Fiyat ve Hacim Etkisi IMKB

References

  • ASIANFA. (2012). Stocks Added to or Deleted from the S&P 500 Index:A Comprehensive Long Term Analysis, (pp.1-35) http://asianfa2012. mcu.edu.tw/fullpaper/10057.pdf 15.02.13
  • BARBER, Brad ve ODEAN, Terrance. (2006). All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors, EFA 2005 Moscow Meetings Paper, November, (pp.1-56) http://papers.ssrn.com_id=460660 15.02.13
  • CHAKRABARTI, Rajesh. (2002). Market Reaction to Addition of Indian Stocks to the MSCI Index, Money and Finance, 2(11), (pp.1-24), http://papers.ssrn_id=649850 15.02.13
  • Chen, Honghui, Gregory Noronha and Vıjay SIngal. (2003). The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation, The Journal of Finance, Vol. 59, Issue 4, (pp.1901-1930 http://papers.ssrn_id=427001 15.02.13
  • CHEN, Honghui, Gregory NORONHA and Vıjay SINGAL, (2006), S&P 500 Index Changes and Investor Awareness, Journal of Iınvestment Management, Vol.4, No.2, Second Quarter http://papers.ssrn.com/ sol3/papers.cfm?abstract_id=651961 15.02.13
  • ChIou, Ingyu and Stephen J. Larson. (2005). The Effects of a Stock Index: Evidence from the Annual Rebalancing of the MSCI USA Index, Journal of the Academy of Business and Economics, Feb., (pp.1-8) http://www.highbeam.com/doc/1G1-149213891.html 15.02.13
  • Dahya, Jay and Laura Galguera-GarcIa, (2006). IBEX 35 Inclusiones and Exclusiones, http://papers.ssrn.id=852985 15.02.13 Paper Series, January, (pp.1-38)
  • DOCKİNG, Diane Scott ve Richard J DOWEN, (2006), Evidence on Stock Price Effects Associated with Changes in the S&P 600 Smallcap Index, Quarterly Journal http://www.highbeam.com/doc/1G1-159181357.html 15.02.13 and Accounting, Winter, (PP.89-114)
  • Duque, Joao and Gustavo MadeIra. (2005). Effects Associated with Index Composition Changes: Evidence from the Euronext Lisbon Stock Exchange, ISEG, (pp.1-36) http://www.fep.up.pt/investigacao/cempre/ actividades/sem_fin/sem_fin_01/PAPERS_PDF/paper_sem_fin_31jan05. pdf 15.02.13
  • Elayan, Fayez A., Wenjie Lı and John F. Pınfold. (2000). Price Effects of Changes to the Composition of New Zealand Share Indices, Working Paper Series, JEL http://papers.ssrn.com/ id=242649 15.02.13 G14, G15, September, (pp.1-17)
  • ELLIOTT, William B., Bonnie F. Van Ness, Mark D. Walker and Richard S. Warr, (2006), What Drives the S&P 500 Inclusion Effect? An Analytical Survey, http://www4.ncsu.edu/~rswarr/fm2006.pdf 15.02.13 Management, Winter, (pp.31-48)
  • Fınucane, Sean. (2003). Distilling the Information in S&P 500 Delistings, Working Paper, Universitiy of British Columbia Faculty of Commerce and Business Administration, Finance Division, May 03, (pp.1-34) http://www.fsa.ulaval.ca/nfa2003/papiers/Sean%20Finucane.pdf 15.02.13
  • Hacıbedel, Burcu. (2007). Why Do Index Changes Have Price Effects?, Swedish Institute http://www.ems.bbk.ac.uk/research/Seminar_info/PDFs/Hacibadel.pdf Research, November, (pp.1-31)
  • Harıs, Lawrence and Eitan Gurel. (1986). Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressure, the Journal of Finance, Vol. 41, No. 4, (PP.815-829). http://faculty.chicagobooth.edu/john.cochrane/teaching/Advanced_Asset_ Pricing_GSB_35911_Econ_39502/harris_gurel_sp500_jf.pdf, 15.02.13
  • MALIC, James,(2012), Market Reactions to Changes in the S&P 500 Index: An Industry Analysis, The Park Place Economist, Volume XIV, (pp.80-87) http://www.iwu.edu/economics/PPE14/Malic.pdf 15.02.13
  • Merton, Robert C., (1987). Presidential Address: A Simple Model of Capital Market Equilibrium with Incomplete Information, Journal of Finance, Vol. 42, 1721.1/2166/SWP-1869-18148074.pdf 15.02.13
  • http://dspace.mit.edu/bitstream/handle/
  • Okada, Katsuhiko, Nabuyuki Isagawa and Kenya Fujıwara. (2006). Addition to the Nikkei 225 Index and Japanese Market Response: Temporary Demand Effect of Index Arbitrageurs, Pacific-Basin Finance Journal, Volume 14, Issue 4, (pp. 395-409) http://www.b.kobe-u.ac.jp/paper/2004_21.pdf 15.02.13
  • PruItt, Stephen W. and K. C. John Wei. (1989). Institutional Ownership and Changes in the S&P 500, Journal of Finance, Vol. 44, No. 2, June, (pp.509- 514.) http://www.jstor.org/discover/10.2307/2328603?uid=3739192&uid= 2129&uid=2&uid=70&uid=4&sid=21101813557297 15.02.13
  • PULLEN, Daniel ve Gerard GANNON, (2007), The-Index-Effect: An Investıgation of the Price, Volume and Trading Effects Surroundıng Changes to the S&P Australian Indices, School Working Paper-Accounting Finance Series (pp1-45) http://www.docstoc.com/docs/6333609/ 14.02.13
  • SAYILGAN, Güven, (2004), Hisse Senedi Piyasa Endeksleri: Kuram Uygulama Bir Model Önerisi, Turhan Kitabevi, Ankara
  • Shleıfer, Andrei. (1986). Do Demand Curves For Stocks Slope Down?, Journal of Finance, Vol. 41, Issue 3, (pp.579-590) http://faculty.chicagobooth.edu/ john.cochrane/teaching/Empirical_Asset_Pricing/shleifer_demand_curves _jf.pdf 15.02.13
  • Suı, Libo. (2003). The Addition and Deletion Effects of the Standard& Poor’s 500 Index and Its Dynamic Evolvementfrom 1990 to 2002: Demand Curves, Market Efficiency, Information, Volume and Return, Working Paper Series, March 27, (pp.1-41) http://papers.ssrn.com/SSRN-id 459430.pdf
  • Wilkens, Sascha and JensWImschulte. (2005). Price and Volume Effects Associated with 2003’s Major Reorganization of German Stock Indices, Financial Markets and Portfolio Management, Volume 19, Number 1, June, (pp.61-98) http://link.springer.com/article/10.1007%2Fs11408-005- 2298-3, 15.02.13

INDEX EFFECT: ISE CASE

Year 2012, Volume: 4 Issue: 2, 89 - 110, 31.07.2012

Ahmet Bayraktar

Abstract

In this study, changes in composition of the ISE-100 index indicators of stock exchange announcements and then investigates the effects on the index. Between the years 2011-2013 are included in the ISE-100 index, or index of shares issued deeds, the change of the date of the announcement and practices around the price rises / declines and trading volumes were measured. According to the results, in particular the price, including a significant increase in the shares concerned. In addition, index funds are mainly thought to be a result of intense commercial activity, extraction and processing volume significant increases in both the inclusion condition were measured. In addition, to be included in the notice or dismissal, may lead investors to change their ideas about the attractiveness of investments contained new information has been concluded. Listing price pressure changes in the index, information, and to support the hypotheses of demand significant price rises / falls with the volume ratio leads to elevated.

Keywords

Index Effect Index Changes Price and Volume Effects ISE

References

  • ASIANFA. (2012). Stocks Added to or Deleted from the S&P 500 Index:A Comprehensive Long Term Analysis, (pp.1-35) http://asianfa2012. mcu.edu.tw/fullpaper/10057.pdf 15.02.13
  • BARBER, Brad ve ODEAN, Terrance. (2006). All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors, EFA 2005 Moscow Meetings Paper, November, (pp.1-56) http://papers.ssrn.com_id=460660 15.02.13
  • CHAKRABARTI, Rajesh. (2002). Market Reaction to Addition of Indian Stocks to the MSCI Index, Money and Finance, 2(11), (pp.1-24), http://papers.ssrn_id=649850 15.02.13
  • Chen, Honghui, Gregory Noronha and Vıjay SIngal. (2003). The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation, The Journal of Finance, Vol. 59, Issue 4, (pp.1901-1930 http://papers.ssrn_id=427001 15.02.13
  • CHEN, Honghui, Gregory NORONHA and Vıjay SINGAL, (2006), S&P 500 Index Changes and Investor Awareness, Journal of Iınvestment Management, Vol.4, No.2, Second Quarter http://papers.ssrn.com/ sol3/papers.cfm?abstract_id=651961 15.02.13
  • ChIou, Ingyu and Stephen J. Larson. (2005). The Effects of a Stock Index: Evidence from the Annual Rebalancing of the MSCI USA Index, Journal of the Academy of Business and Economics, Feb., (pp.1-8) http://www.highbeam.com/doc/1G1-149213891.html 15.02.13
  • Dahya, Jay and Laura Galguera-GarcIa, (2006). IBEX 35 Inclusiones and Exclusiones, http://papers.ssrn.id=852985 15.02.13 Paper Series, January, (pp.1-38)
  • DOCKİNG, Diane Scott ve Richard J DOWEN, (2006), Evidence on Stock Price Effects Associated with Changes in the S&P 600 Smallcap Index, Quarterly Journal http://www.highbeam.com/doc/1G1-159181357.html 15.02.13 and Accounting, Winter, (PP.89-114)
  • Duque, Joao and Gustavo MadeIra. (2005). Effects Associated with Index Composition Changes: Evidence from the Euronext Lisbon Stock Exchange, ISEG, (pp.1-36) http://www.fep.up.pt/investigacao/cempre/ actividades/sem_fin/sem_fin_01/PAPERS_PDF/paper_sem_fin_31jan05. pdf 15.02.13
  • Elayan, Fayez A., Wenjie Lı and John F. Pınfold. (2000). Price Effects of Changes to the Composition of New Zealand Share Indices, Working Paper Series, JEL http://papers.ssrn.com/ id=242649 15.02.13 G14, G15, September, (pp.1-17)
  • ELLIOTT, William B., Bonnie F. Van Ness, Mark D. Walker and Richard S. Warr, (2006), What Drives the S&P 500 Inclusion Effect? An Analytical Survey, http://www4.ncsu.edu/~rswarr/fm2006.pdf 15.02.13 Management, Winter, (pp.31-48)
  • Fınucane, Sean. (2003). Distilling the Information in S&P 500 Delistings, Working Paper, Universitiy of British Columbia Faculty of Commerce and Business Administration, Finance Division, May 03, (pp.1-34) http://www.fsa.ulaval.ca/nfa2003/papiers/Sean%20Finucane.pdf 15.02.13
  • Hacıbedel, Burcu. (2007). Why Do Index Changes Have Price Effects?, Swedish Institute http://www.ems.bbk.ac.uk/research/Seminar_info/PDFs/Hacibadel.pdf Research, November, (pp.1-31)
  • Harıs, Lawrence and Eitan Gurel. (1986). Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressure, the Journal of Finance, Vol. 41, No. 4, (PP.815-829). http://faculty.chicagobooth.edu/john.cochrane/teaching/Advanced_Asset_ Pricing_GSB_35911_Econ_39502/harris_gurel_sp500_jf.pdf, 15.02.13
  • MALIC, James,(2012), Market Reactions to Changes in the S&P 500 Index: An Industry Analysis, The Park Place Economist, Volume XIV, (pp.80-87) http://www.iwu.edu/economics/PPE14/Malic.pdf 15.02.13
  • Merton, Robert C., (1987). Presidential Address: A Simple Model of Capital Market Equilibrium with Incomplete Information, Journal of Finance, Vol. 42, 1721.1/2166/SWP-1869-18148074.pdf 15.02.13
  • http://dspace.mit.edu/bitstream/handle/
  • Okada, Katsuhiko, Nabuyuki Isagawa and Kenya Fujıwara. (2006). Addition to the Nikkei 225 Index and Japanese Market Response: Temporary Demand Effect of Index Arbitrageurs, Pacific-Basin Finance Journal, Volume 14, Issue 4, (pp. 395-409) http://www.b.kobe-u.ac.jp/paper/2004_21.pdf 15.02.13
  • PruItt, Stephen W. and K. C. John Wei. (1989). Institutional Ownership and Changes in the S&P 500, Journal of Finance, Vol. 44, No. 2, June, (pp.509- 514.) http://www.jstor.org/discover/10.2307/2328603?uid=3739192&uid= 2129&uid=2&uid=70&uid=4&sid=21101813557297 15.02.13
  • PULLEN, Daniel ve Gerard GANNON, (2007), The-Index-Effect: An Investıgation of the Price, Volume and Trading Effects Surroundıng Changes to the S&P Australian Indices, School Working Paper-Accounting Finance Series (pp1-45) http://www.docstoc.com/docs/6333609/ 14.02.13
  • SAYILGAN, Güven, (2004), Hisse Senedi Piyasa Endeksleri: Kuram Uygulama Bir Model Önerisi, Turhan Kitabevi, Ankara
  • Shleıfer, Andrei. (1986). Do Demand Curves For Stocks Slope Down?, Journal of Finance, Vol. 41, Issue 3, (pp.579-590) http://faculty.chicagobooth.edu/ john.cochrane/teaching/Empirical_Asset_Pricing/shleifer_demand_curves _jf.pdf 15.02.13
  • Suı, Libo. (2003). The Addition and Deletion Effects of the Standard& Poor’s 500 Index and Its Dynamic Evolvementfrom 1990 to 2002: Demand Curves, Market Efficiency, Information, Volume and Return, Working Paper Series, March 27, (pp.1-41) http://papers.ssrn.com/SSRN-id 459430.pdf
  • Wilkens, Sascha and JensWImschulte. (2005). Price and Volume Effects Associated with 2003’s Major Reorganization of German Stock Indices, Financial Markets and Portfolio Management, Volume 19, Number 1, June, (pp.61-98) http://link.springer.com/article/10.1007%2Fs11408-005- 2298-3, 15.02.13
There are 24 citations in total.

Details

Other ID JA43ZS75MS
Journal Section Review Article
Authors

Ahmet Bayraktar

Publication Date July 31, 2012
Published in Issue Year 2012Volume: 4 Issue: 2

Cite

APA Bayraktar, A. (2012). ENDEKS ETKİSİ: İMKB UYGULAMASI. Aksaray Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 4(2), 89-110.
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