The Existence of an Anomaly in the City Indices in Borsa Istanbul

The Existence of an Anomaly in the City Indices in Borsa Istanbul

Hakan Altin
Copyright: © 2021 |Pages: 16
DOI: 10.4018/IJCFA.2021070102
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The aim of the study is to reveal the existence of an abnormal return in the city indices in Borsa Istanbul. Three important calculations were made for the detection of an abnormal return. The first was the calculation of adjusted returns. The second was the calculation of beta coefficients for city indices. The third was the determination of the relationship of each city index to the market. According to the findings obtained, there was an abnormal return in the city indices. In other words, each of the city indices made a profit on market returns. However, these returns were almost equal to market returns. When the beta coefficients were analyzed, it was seen that the coefficients were equal to the theoretically-expressed average market beta coefficient. Thus, the city indices and the market are moving in the same direction, and the results are statistically significant.
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In the literature review, studies conducted specifically on city indices were not found; therefore, pioneering studies on stock market indexes, index returns, and stock returns were summarized from a wide scope perspective. Accordingly, in the case that any risk factor or a piece of information affected the stock markets, and this effect was determined as a gain above the market return, and if this effect occurred continuously in certain periods or moments, existence of an abnormal return was mentioned.

In his study, Shleifer (1986) identified an abnormal return for each stock that was announced as included in the Standard & Poor’s 500 index since September 1976. After this abnormal return was reflected in the indices, he found that this price movement continued for 10 days. This abnormal return incident causes all index funds to move upwards. On the other hand, he could not find a relationship between the emergence of abnormal returns and the disclosure of bond ratings.

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