Testıng The January Effect Usıng The GARCH (p,q) Model In MIST Countrıes

Abstract

In this study, using the monthly closing data of the stock exchanges of MIST countries between 2005 and 2021, the effect of January on the returns of these stock markets was examined using the GARCH model. As a result of the analysis, it was determined that the positive returns on a monthly basis were high across the countries. However, the stock market of the country with the most negative returns was determined to be BIST. When the variance distribution analysis results are examined, it is seen that the differentiation of returns is greater in BIST compared to other countries. The country with the highest entry was observed in the BIST stock market as the November return. As a result of the analysis, it has been determined that there is no January effect in MIST countries. Although a long-term relationship between countries has been determined within the framework of the GARCH model, this situation is not considered as a situation that eliminates the efficient market hypothesis.