Öz
Aşırı Tepki
Hipotezi’ne göre, bir dönem düşük getiri sağlayan hisse senetleri bu dönemi
takip eden dönemde normalin üzerinde pozitif getiri sağlarken, yüksek getiri
sağlayan hisse senetleri takip eden dönemde normalin altında negatif getiri
sağlamaktadır. Günlük fiyat limiti uygulaması aşırı tepki hipotezine dayanmakta
ve bu uygulama ile fiyatlarda oluşabilecek aşırı tepki sınırlanarak, ertesi gün
sözkonusu olabilecek fiyat değişiminin azaltılması amaçlanmaktadır. Bu
çalışmada fiyat limiti uygulamasının yapıldığı İstanbul Menkul Kıymetler
Borsası'nda değinilen uygulamanın etkinliği incelenmiştir.
Anahtar Kelimeler
Kaynakça
- Alonso, A. ve Rubio, G. (1990), "Overreaction in the Spanish Equity Market," Journal of Banking and Finance, 14, 469-481.
- Atkins, A. B. ve Dyl, E. A. (1990), "Price Reversal, Bid-Ask Spread, and Market Efficiency," Journal of Financial and Quantitative Analysis, 25, 535-547.
- Baytaş, A. ve Çakıcı, N. (1999), "Do Markets Overreact: International Evidence," Journal of Banking and Finance, 23, 1121-1144.
- Bowman, R. G. ve Iverson, D. (1998), "Short-run Overreaction in New Zealand Stock Market," Pacific-Basin Finance Journal, 6, 475-491.
- Chan, K. C. (1988), "On the Return of the Contrarian Investment Strategy," Journal of Business, 61, 147-163.
- Costa, N. C. A. (1994), "Overreaction in the Brazilian Stock Market," Journal of Banking and Finance, 18, 633-642.
- De Bond, W. F. M. ve Thaler, R. H. (1985), "Does the Stock Market Overreact," Journal of Finance, 40, 793-805.
- Dissanaike, G. (1997), "Do Stock Market Investors Overreact," Journal of Business Finance and Accounting, 24, 27-29.
- Huang, Y. S. (1998), "Stock Price Reaction to Daily Limit Moves: Evidence From the Taiwan Stock Exchange," The Journal of Finance and Accounting, 25, 469- 483.
- Kahneman, D. ve Tversky, A. (1982), "Intutive Prediction: Biases and Corrective Procedures," Judgement Under Uncertainity: Heuristics and Biases, Editörler: D. Kahneman, P. Slovic, ve A. Tversky, Cambridge University Press.
- Fung, A. Kwok (1999), Global Finance Journal, 10, 223-230.
- Lehmann, B. N. (1989), "Commentary: Volatility, Price Resolution and the Effectiveness of Price Limits," Journal of Financial Services Research, 3, 205-209.
- Ma, C., Rao, R. ve Sears, R. (1989), "Volatility, Price Resolution, and the Effectiveness of Price Limits," Journal of Financial Services Research, 3, 165-199.
- Miller, M. H. (1989), " Commentary: Volatility, Price Resolution and the Effectiveness of Price Limits," Journal of Financial Services Research, 3, 201-203.
- Power, D. M., Lonie, A. A. ve Lonie, R. (1991), "Some UK Evidence of Stock Market Overreaction," British Accounting Review, 23, 27-59.
- Zarowin, P. (1989), "Short-Run Market Overreaction: Size and Seasonality Effects," Journal of Portfolio Management, 15, 26-29.
Öz
Overreaction
hypothesis asserts that stocks with poor performance in the previous period
earn positive risk-adjusted abnormal returns in the subsequent period. In
contrast, stocks that perform better in the previous period earn negative
risk-adjusted abnormal returns in the subsequent period. The imposition of the
daily price limits is based upon the overreaction hypothesis, and its is assumed
that by means of the daily price limits the overrreaction is bounded and hence
the volatility is reduced. This paper tests the efficiency of the price limits
by examining the price behaviour following limit moves in the İstanbul Stock
Exchange, where the price limits are in practice.
Anahtar Kelimeler
Kaynakça
- Alonso, A. ve Rubio, G. (1990), "Overreaction in the Spanish Equity Market," Journal of Banking and Finance, 14, 469-481.
- Atkins, A. B. ve Dyl, E. A. (1990), "Price Reversal, Bid-Ask Spread, and Market Efficiency," Journal of Financial and Quantitative Analysis, 25, 535-547.
- Baytaş, A. ve Çakıcı, N. (1999), "Do Markets Overreact: International Evidence," Journal of Banking and Finance, 23, 1121-1144.
- Bowman, R. G. ve Iverson, D. (1998), "Short-run Overreaction in New Zealand Stock Market," Pacific-Basin Finance Journal, 6, 475-491.
- Chan, K. C. (1988), "On the Return of the Contrarian Investment Strategy," Journal of Business, 61, 147-163.
- Costa, N. C. A. (1994), "Overreaction in the Brazilian Stock Market," Journal of Banking and Finance, 18, 633-642.
- De Bond, W. F. M. ve Thaler, R. H. (1985), "Does the Stock Market Overreact," Journal of Finance, 40, 793-805.
- Dissanaike, G. (1997), "Do Stock Market Investors Overreact," Journal of Business Finance and Accounting, 24, 27-29.
- Huang, Y. S. (1998), "Stock Price Reaction to Daily Limit Moves: Evidence From the Taiwan Stock Exchange," The Journal of Finance and Accounting, 25, 469- 483.
- Kahneman, D. ve Tversky, A. (1982), "Intutive Prediction: Biases and Corrective Procedures," Judgement Under Uncertainity: Heuristics and Biases, Editörler: D. Kahneman, P. Slovic, ve A. Tversky, Cambridge University Press.
- Fung, A. Kwok (1999), Global Finance Journal, 10, 223-230.
- Lehmann, B. N. (1989), "Commentary: Volatility, Price Resolution and the Effectiveness of Price Limits," Journal of Financial Services Research, 3, 205-209.
- Ma, C., Rao, R. ve Sears, R. (1989), "Volatility, Price Resolution, and the Effectiveness of Price Limits," Journal of Financial Services Research, 3, 165-199.
- Miller, M. H. (1989), " Commentary: Volatility, Price Resolution and the Effectiveness of Price Limits," Journal of Financial Services Research, 3, 201-203.
- Power, D. M., Lonie, A. A. ve Lonie, R. (1991), "Some UK Evidence of Stock Market Overreaction," British Accounting Review, 23, 27-59.
- Zarowin, P. (1989), "Short-Run Market Overreaction: Size and Seasonality Effects," Journal of Portfolio Management, 15, 26-29.
Ayrıntılar
| Bölüm | Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi |
|---|---|
| Yazarlar | |
| Yayımlanma Tarihi | 1 Temmuz 2001 |
| Gönderilme Tarihi | 5 Haziran 2017 |
| Yayımlandığı Sayı | Yıl 2001 Cilt: 19 Sayı: 1 |
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