Seasonal Affective Disorder (SAD) on Borsa Istanbul

Seasonal Affective Disorder (SAD) is a severe depression that stems from the decreased daylight hours in the autumn and winter. The SAD makes investors more risk-averse, which in turn affects the financial markets. This study aims to examine the effect of SAD on Borsa Istanbul (BIST) for the period January 2015 - May 2023. The BIST-100 index is used to represent the overall stock market, and the BIST-Industrials, Financials, Technology, and Food Beverage indices are used to evaluate any sectoral disparities. Furthermore, autumn, tax-loss selling, Mondays, and COVID-19 outbreak effects are included in the model. The results show that there is a statistically significant and positive SAD effect on BIST-100 index returns. The SAD also has an impact on every sectoral index, except for BIST-Food Beverage. Moreover, there is no asymmetrical effect of the autumn in any indices. Among the control variables, the Monday effect is determined to be statistically significant and positive for BIST-100, BIST-Industrials, and BIST-Technology indices. Finally, only for the BIST-Industrials index the COVID-19 dummy is statistically significant and positive. Additionally, the GARCH model has also been used as a robustness test, and consistent findings with the previous analysis are found.