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ENDEKSE DÂHİL OLMA VE ENDESKTEN ÇIKARILMANIN HİSSE SENEDİ PERFORMANSINA ETKİSİ: İMKB UYGULAMASI

Yıl 2009, Cilt: 1 Sayı: 2, 25 - 60, 31.07.2009

Ahmet Bayraktar

Öz

Genel olarak, endeks kompozisyonları değişimleri ile birlikte hisse senetlerinin ticaret hacmi ve fiyatları üzerinde meydana gelen değişimler endeks etkisi olarak nitelendirilmektedir. Araştırmacılar tarafından endeks değişiklikleri etrafında hisse senedi fiyat ve işlem hacmi davranışını açıklamak için birçok hipotez ileri sürülmektedir. Bunlardan başlıcaları fiyat baskısı, bilgi, likidite, eksik ikame, seçim kriteri ve yatırımcı farkındalığı hipotezleridir. Bu çalışmada da endeks etkisini açıklayan bu hipotezler ele alınıp Türkiye’deki İMKB uygulaması tartışılmaktadır. Çalışmada ulaşılan ana bulgular aşağıdaki gibi özetlenebilir: İlk olarak, İMKB U-100 Endeksi’ne dâhil olma(çıkarılma), olay sonrası periyotta karşıt hareket ile birlikte, önemli bir fiyat artışına (düşüşü) neden olmakta ve geçici fiyat baskısı hipotezini desteklemektedir. İkinci olarak, dâhil olma ve çıkarılma durumlarının her ikisi de kısa dönmeli veya günlük ticaret hacmi artışına neden olmaktadır.

Anahtar Kelimeler

Endeks Etkisi Endeks Kompozisyonu Değişiklikleri Fiyat ve Hacim Etkisi Endekse Dâhil Edilme ve Endeksten Çıkarılma IMKB

Kaynakça

  • AMIHUD, Yakov ve MENDELSON Haim. (1986). Asset Pricing and the Bid- Ask Spread, Journal of Financial Economics,17(2):223-249.
  • 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, 1-56 30.10.2008.
  • BARBERIS, Nicholas ve SHLEIFER, Andrei. (2003). “Style Investing”, Journal of Financial Economics, 68(2):161-199.
  • BARBERIS, Nicholas, SHLEIFER, Andrei ve WURGLER, Jeffrey. (2002). “Comovemen”t, Harvard Institute for Economic Research (HIER), Discussion http://www.economics.harvard.edu/pub/hier/2002/HIER1953.pdf, 28.12.2008. Number 1953, April, 1-45
  • BENEISH, Messod D. ve WHALEY, Robert B. (1996). “The Anatomy of the S&P Game: The Effects of Changing Rules”, The Journal of Finance, 51(5):1909-30, http://www.jstor.org/stable/2329543?seq=13, 21.12.2008.
  • BİLDİK, Recep. ve GÜZHAN, Gülay. (2001). “Effects of Changes in Index Composıtıonoon Stock Market: Evidence from ISE”, EFMA 2001 Lugano Meetings, id273749.pdf, 11.11.2008.
  • http://papers.ssrn.com/sol3/papers.cfm?SSRN
  • CHAKRABARTI, Rajesh. (2002). “Market Reaction to Addition of Indian Stocks to the MSCI Index”, Money and Finance, 2(11):1-24, http://papers.ssrn.com/sol3/papers.cfm? SSRN-id649850.pdf, 14.11.2008.
  • 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.com/sol3/papers.cfm?SSRN- id427001.pdf http://www3.interscience.wiley.com/journal/118755807/abstract 01.11.2008
  • 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.accessmylibrary.com/coms2/summary_0286-16350021_ITM 13.06.2009
  • COOPER, Daniel, Geoffrey WOGLOM and Amherst COLLEGE. (2002). The S&P 500 Effect: Not Such Good News in The Long Run, S&P500 Index, FEDS Working Paper, No.48, (pp.1-42)
  • DAHYA, Jay and Laura Galguera-GARCIA, (2006). IBEX 35 Inclusiones and Exclusiones, Working Paper Series, January,
  • DE BONDT, Werner F. M. and Richard H. THALER. (1989). Anomalies: A Mean-Reverting Walk Down Wall Street, Journal of Economic Perspectives, http://www.jstor.org/stable/1942972?seq=2 12.11.2008
  • Vol.3,No.1,Winter,(pp.189-202)
  • DUQUE, Joao and Gustavo MADEIRA. (2005). Effects Associated with Index Composition Changes: Evidence from the Euronext Lisbon Stock Exchange, http://www.fep.up.pt/investigacao/cempre/actividades/sem_fin/sem_fin_0 1/PAPERS_PDF/paper_sem_fin_31jan05.pdf 31.12.2008 (pp.1-36)
  • EDMISTER, Robert O., A. Steven GRAHAM and Wendy L. PIRIE. (1994). Excess Returns of Index Replacement Stocks: Evidence of Liquidity and Substitutability, Journal of Financial Research, Volume 17, Issue 3, (pp.333346)http://web.ebscohost.com/ehost/pdf?vid=2&hid=102&sid=4c 52ce14-16ac-4bb2-af2d-5fe1a9890be3%40sessionmgr107 10.06.2009
  • ELAYAN, Fayez A., Wenjie LI and John F. PINFOLD. (2000). Price Effects of Changes to the Composition of New Zealand Share Indices, Working Paper Series, JEL Classifications: G14, G15, September, (pp.1-17) http://papers.ssrn.com/sol3/papers.cfm? SSRN-id242649, 22.11.2008
  • FINUCANE, 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.jstor.org/stable/2328716?seq=2..fsa.ulaval.ca/nfa2003/papiers/ Sean%20Finucane.pdf. 14.11.2008
  • HACIBEDEL, Burcu. (2007). Why Do Index Changes Have Price Effects?, Swedish Institute for Financial Research, November, (pp.1-31) http://www.sifr.org/PDFs/hacibedelJMP.pdf 23.11.2008
  • HARIS, 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, Sep., (pp.815-829) www. jstore.org stable 2328230 14.11.2008
  • HEGDE, Shantaram P. and John B. MCDERMOTT. (2000). The Liquidity Effects of S&P 500 Additions, Working Paper Series, May 19, (pp.1-54)
  • KATSUHIKO, Okada, Isagawa NOBUYUKI and Fujiwara KENYA. (2006). Addition to the Nikkei 225 Index and Japanese Market Response: Temporary Demand Effect of Index Arbitrageurs, Pacific-Basın Finance Journal, http://www.sciencedirect.com/science/article/B6VFF 1.06.2009 14, No. 4, (pp.395-409)
  • LEE, CHIEN-CHIANG and Jun-De LEE. (2009). Energy Prices, Multiple Structural Breaks, And Efficient Market Hypothesis, Applied Energy, Vol. 86, http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6V1T- 4TYXM7T-2. 03.02.09 4, April, (pp.466-479)
  • MEERA, Ahamed K., Niranjan TRIPATHY and Michael R. REDFEARN. (2000). Wealth and Liquidity Effects of Stock Delistings: Empirical Evidence from the Stock Exchanges of Singapore and Malaysia, Applied Financial Economics, Vol. 10, Number 2, (pp.199-206) http:// pdfserve.informaworld.com 10754-758064766-713761177.pdf 19 .11. 2008
  • MERTON, Robert C., (1987). Presidential Address: A Simple Model of Capital Market Equilibrium with Incomplete Information, Journal of Finance, Vol. 42, No. 3, (pp.483-510) http:// www. jstore.org,/stable/2328367 03.12.2007
  • OKADA, Katsuhiko, Nabuyuki ISAGAWA and Kenya FUJIWARA. (2006). Addition to the Nikkei 225 Index and Japanese Market Response: Temporary Demand Effect of Index Arbitrageurs, Pacific-Basin Finance Journal, http://www.sciencedirect.com/science/article/B6VFF-4JSFVB8- 1/2/762c2e82366ca7034bbdea6fbed3a754 13.06.2009 (pp. 395-409)
  • 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/stable/2328603?seq=2. 31.12.2008
  • Sermaye Piyasası ve Borsa Temel Bilgiler Kılavuzu, Menkul Kıymetler Borsası Yayınları, http://www.imkb.gov.tr/yayinlar/spkilavuzu.htm 31.05.2009 İstanbul Nisan 2008,
  • SHLEIFER, Andrei. (1986). Do Demand Curves For Stocks Slope Down?, Journal http://www.jstor.org/stable/2328486? 02.11.2008 Vol. 41, Issue 3, (pp.579-590) SSPS Inc.
  • SUI, 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,
  • WALTER, Christian. (2001). Market Efficiency, Index and Active Management, Indexation&Investment, European Asset Management Association, June, (pp.43-45) http://www.iaim.ie/files/index_&_investment.pdf 31.05.2009
  • WILKENS, Sascha and Jens WIMSCHULTE. (2005). Price and Volume Effects Associated with 2003‟s Major Reorganization of German Stock Indices, Financial Markets and Portfolio Management, Volume 19, Number http://www.springerlink.com/content/j7251uh265jq376m/fulltext.pdf 20.12.2008 1, June, (pp.61-98) .
  • WOOD, Robert A. and Thomas H. MCINISH. (1992). An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks, The Journal of Finance, Vol.47,No.2,June,(pp.753-764) http://www.citeulike.org/user/yanshanxiao/article/3184089 01.06.2009
  • WOOD, Robert A., Thomas H. MCINISH and J. Keith ORD. (1985). An Investigation of Transactions Data for NYSE Stocks, The Journal of Finance, Vol. 40, No. 3, Papers and Proceedings of the Forty-Third Annual http://www.jstor.org/stable/2327796?seq=2 19.11.2008 Meeting, (pp.723-739)
  • WURGLER, Jeffrey and Ekaterina ZHURAVSKAYA. (2002). Does Arbitrage Flatten Demand Curves for Stocks, Journal of Business, Vol. 75, No. 4, (pp.583-608) http://www.journals.uchicago.edu/doi/abs/10.1086/341636. 31.12.2008
  • http://analiz.ibsyazilim.com/isapi/AT01/FIYAT01inp.asp
  • http://www.imkb.gov.tr/DailyBulletin/DailyBulletin.aspx

Yıl 2009, Cilt: 1 Sayı: 2, 25 - 60, 31.07.2009

Ahmet Bayraktar

Öz

In general, the composition of index changes with trade volume and price of shares on the exchange that occurs is considered as the index effects. To explain stock price and volume behavior around index changes, the researchers have offered several hypotheses. The majors of these are price pressure, information, liquidity, imperfect substitutes, selection criteria and investor awareness hypothesis. This study describes the effect of indices of this hypothesis will be discussed and debated in Turkey ISE implementation. Our main findings can be summarized as follows: Firstly, additions to (deletions from) the ISE 100 lead to significant increase (decrease) in price with postevent reversal, and this supports the temporary price pressure hypothesis. Secondly, both additions and deletions cause significant trading volume increase in the short run or daily.

Anahtar Kelimeler

Index Effect Composition of Index Changes Price and Volume Effects Aditions Index and Deletions Index ISE

Kaynakça

  • AMIHUD, Yakov ve MENDELSON Haim. (1986). Asset Pricing and the Bid- Ask Spread, Journal of Financial Economics,17(2):223-249.
  • 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, 1-56 30.10.2008.
  • BARBERIS, Nicholas ve SHLEIFER, Andrei. (2003). “Style Investing”, Journal of Financial Economics, 68(2):161-199.
  • BARBERIS, Nicholas, SHLEIFER, Andrei ve WURGLER, Jeffrey. (2002). “Comovemen”t, Harvard Institute for Economic Research (HIER), Discussion http://www.economics.harvard.edu/pub/hier/2002/HIER1953.pdf, 28.12.2008. Number 1953, April, 1-45
  • BENEISH, Messod D. ve WHALEY, Robert B. (1996). “The Anatomy of the S&P Game: The Effects of Changing Rules”, The Journal of Finance, 51(5):1909-30, http://www.jstor.org/stable/2329543?seq=13, 21.12.2008.
  • BİLDİK, Recep. ve GÜZHAN, Gülay. (2001). “Effects of Changes in Index Composıtıonoon Stock Market: Evidence from ISE”, EFMA 2001 Lugano Meetings, id273749.pdf, 11.11.2008.
  • http://papers.ssrn.com/sol3/papers.cfm?SSRN
  • CHAKRABARTI, Rajesh. (2002). “Market Reaction to Addition of Indian Stocks to the MSCI Index”, Money and Finance, 2(11):1-24, http://papers.ssrn.com/sol3/papers.cfm? SSRN-id649850.pdf, 14.11.2008.
  • 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.com/sol3/papers.cfm?SSRN- id427001.pdf http://www3.interscience.wiley.com/journal/118755807/abstract 01.11.2008
  • 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.accessmylibrary.com/coms2/summary_0286-16350021_ITM 13.06.2009
  • COOPER, Daniel, Geoffrey WOGLOM and Amherst COLLEGE. (2002). The S&P 500 Effect: Not Such Good News in The Long Run, S&P500 Index, FEDS Working Paper, No.48, (pp.1-42)
  • DAHYA, Jay and Laura Galguera-GARCIA, (2006). IBEX 35 Inclusiones and Exclusiones, Working Paper Series, January,
  • DE BONDT, Werner F. M. and Richard H. THALER. (1989). Anomalies: A Mean-Reverting Walk Down Wall Street, Journal of Economic Perspectives, http://www.jstor.org/stable/1942972?seq=2 12.11.2008
  • Vol.3,No.1,Winter,(pp.189-202)
  • DUQUE, Joao and Gustavo MADEIRA. (2005). Effects Associated with Index Composition Changes: Evidence from the Euronext Lisbon Stock Exchange, http://www.fep.up.pt/investigacao/cempre/actividades/sem_fin/sem_fin_0 1/PAPERS_PDF/paper_sem_fin_31jan05.pdf 31.12.2008 (pp.1-36)
  • EDMISTER, Robert O., A. Steven GRAHAM and Wendy L. PIRIE. (1994). Excess Returns of Index Replacement Stocks: Evidence of Liquidity and Substitutability, Journal of Financial Research, Volume 17, Issue 3, (pp.333346)http://web.ebscohost.com/ehost/pdf?vid=2&hid=102&sid=4c 52ce14-16ac-4bb2-af2d-5fe1a9890be3%40sessionmgr107 10.06.2009
  • ELAYAN, Fayez A., Wenjie LI and John F. PINFOLD. (2000). Price Effects of Changes to the Composition of New Zealand Share Indices, Working Paper Series, JEL Classifications: G14, G15, September, (pp.1-17) http://papers.ssrn.com/sol3/papers.cfm? SSRN-id242649, 22.11.2008
  • FINUCANE, 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.jstor.org/stable/2328716?seq=2..fsa.ulaval.ca/nfa2003/papiers/ Sean%20Finucane.pdf. 14.11.2008
  • HACIBEDEL, Burcu. (2007). Why Do Index Changes Have Price Effects?, Swedish Institute for Financial Research, November, (pp.1-31) http://www.sifr.org/PDFs/hacibedelJMP.pdf 23.11.2008
  • HARIS, 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, Sep., (pp.815-829) www. jstore.org stable 2328230 14.11.2008
  • HEGDE, Shantaram P. and John B. MCDERMOTT. (2000). The Liquidity Effects of S&P 500 Additions, Working Paper Series, May 19, (pp.1-54)
  • KATSUHIKO, Okada, Isagawa NOBUYUKI and Fujiwara KENYA. (2006). Addition to the Nikkei 225 Index and Japanese Market Response: Temporary Demand Effect of Index Arbitrageurs, Pacific-Basın Finance Journal, http://www.sciencedirect.com/science/article/B6VFF 1.06.2009 14, No. 4, (pp.395-409)
  • LEE, CHIEN-CHIANG and Jun-De LEE. (2009). Energy Prices, Multiple Structural Breaks, And Efficient Market Hypothesis, Applied Energy, Vol. 86, http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6V1T- 4TYXM7T-2. 03.02.09 4, April, (pp.466-479)
  • MEERA, Ahamed K., Niranjan TRIPATHY and Michael R. REDFEARN. (2000). Wealth and Liquidity Effects of Stock Delistings: Empirical Evidence from the Stock Exchanges of Singapore and Malaysia, Applied Financial Economics, Vol. 10, Number 2, (pp.199-206) http:// pdfserve.informaworld.com 10754-758064766-713761177.pdf 19 .11. 2008
  • MERTON, Robert C., (1987). Presidential Address: A Simple Model of Capital Market Equilibrium with Incomplete Information, Journal of Finance, Vol. 42, No. 3, (pp.483-510) http:// www. jstore.org,/stable/2328367 03.12.2007
  • OKADA, Katsuhiko, Nabuyuki ISAGAWA and Kenya FUJIWARA. (2006). Addition to the Nikkei 225 Index and Japanese Market Response: Temporary Demand Effect of Index Arbitrageurs, Pacific-Basin Finance Journal, http://www.sciencedirect.com/science/article/B6VFF-4JSFVB8- 1/2/762c2e82366ca7034bbdea6fbed3a754 13.06.2009 (pp. 395-409)
  • 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/stable/2328603?seq=2. 31.12.2008
  • Sermaye Piyasası ve Borsa Temel Bilgiler Kılavuzu, Menkul Kıymetler Borsası Yayınları, http://www.imkb.gov.tr/yayinlar/spkilavuzu.htm 31.05.2009 İstanbul Nisan 2008,
  • SHLEIFER, Andrei. (1986). Do Demand Curves For Stocks Slope Down?, Journal http://www.jstor.org/stable/2328486? 02.11.2008 Vol. 41, Issue 3, (pp.579-590) SSPS Inc.
  • SUI, 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,
  • WALTER, Christian. (2001). Market Efficiency, Index and Active Management, Indexation&Investment, European Asset Management Association, June, (pp.43-45) http://www.iaim.ie/files/index_&_investment.pdf 31.05.2009
  • WILKENS, Sascha and Jens WIMSCHULTE. (2005). Price and Volume Effects Associated with 2003‟s Major Reorganization of German Stock Indices, Financial Markets and Portfolio Management, Volume 19, Number http://www.springerlink.com/content/j7251uh265jq376m/fulltext.pdf 20.12.2008 1, June, (pp.61-98) .
  • WOOD, Robert A. and Thomas H. MCINISH. (1992). An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks, The Journal of Finance, Vol.47,No.2,June,(pp.753-764) http://www.citeulike.org/user/yanshanxiao/article/3184089 01.06.2009
  • WOOD, Robert A., Thomas H. MCINISH and J. Keith ORD. (1985). An Investigation of Transactions Data for NYSE Stocks, The Journal of Finance, Vol. 40, No. 3, Papers and Proceedings of the Forty-Third Annual http://www.jstor.org/stable/2327796?seq=2 19.11.2008 Meeting, (pp.723-739)
  • WURGLER, Jeffrey and Ekaterina ZHURAVSKAYA. (2002). Does Arbitrage Flatten Demand Curves for Stocks, Journal of Business, Vol. 75, No. 4, (pp.583-608) http://www.journals.uchicago.edu/doi/abs/10.1086/341636. 31.12.2008
  • http://analiz.ibsyazilim.com/isapi/AT01/FIYAT01inp.asp
  • http://www.imkb.gov.tr/DailyBulletin/DailyBulletin.aspx
Toplam 37 adet kaynakça vardır.

Ayrıntılar

Diğer ID JA44BS78FY
Bölüm Derleme Makale
Yazarlar

Ahmet Bayraktar

Yayımlanma Tarihi 31 Temmuz 2009
Yayımlandığı Sayı Yıl 2009Cilt: 1 Sayı: 2

Kaynak Göster

APA Bayraktar, A. (2009). ENDEKSE DÂHİL OLMA VE ENDESKTEN ÇIKARILMANIN HİSSE SENEDİ PERFORMANSINA ETKİSİ: İMKB UYGULAMASI. Aksaray Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 1(2), 25-60.
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