Ay’ın Evleri Etkisi’nin Borsa İstanbul 100 Endeksi’nde Garch (1,1) Modeli ile Test Edilmesi
Testing of Lunar Cycle Effect on BIST 100 Index By Employing GARCH (1,1) Model

Summary/Abstract: According to the Efficient Market Hypothesis put forward by E. Fama, assuming that investors move rationally in securities markets, it is not possible for investors to obtain a return above the market average. In other words, prices follow random walk and the investors are instantly able to access the information that is reflected in the prices instantaneously. This removes the possibility of predicting prices in advance. However, the anomalies that belong to what we have and the prices that plunge in the general level, contradict the Efficient Market Hypothesis. In the concept of anomaly, it is predicted that investors trading in securities markets will be affected by many factors of nature, environment and psychology. The phases in which the Moon was exhibited during its turn around our Earth have become the subject of research in many different scientific studies. However, it has been seen that there are limited number of studies focus on the effect of Lunar Cycle on investors' financial decisions. In this perspective, The main purpose of the research is to determine the possible effect Lunar Cycle (New Moon, First Quarter, Full Moon, Last Quarter) on the BİST 100 Index by employing GARCH (1,1) model. According to the findings, it can be claimed that the statistically significant effects of the New Moon (positive) and the Full Moon (negative) show that the market is not efficient in weak form.

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