Does Borsa Istanbul incorporate herding and calendar anomalies an empirical evidence
نویسندگان
چکیده
منابع مشابه
A New Measure of Herding and Empirical Evidence
This study proposes a new measure and test of herding which is based on the crosssectional dispersion of factor sensitivity of assets within a given market. This new measure enables us to evaluate the directions towards which the market may be herding and separate these from movements in fundamentals. We apply the test to an analysis of the US, UK, and South Korean stock markets and somewhat su...
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This paper analyzes possible cointegration relations among the sub-indexes of the Istanbul Stock Exchange series services sector, industry sector and financial sector for the period from February 1, 1997 to September 24, 2003. The data is analyzed by using various methods initiated by Engle and Granger (1987), Johansen (1988) and Akdi (1995). The basic finding of this study is that none of thes...
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We propose a suite of tests based on two-state Markov chains for experimentally assessing the dynamic performance of a variety of simulation event calendar implementations. In contrast to previous studies based on the standard hold model for evaluation of performance statically, the proposed Markov hold model is more general and can be used to examine how different implementations respond dynam...
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ژورنال
عنوان ژورنال: Pressacademia
سال: 2020
ISSN: 2146-7943
DOI: 10.17261/pressacademia.2020.1189