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Seasonal Anomalies in Istanbul Stock Exchange

Author

Listed:
  • Abdioglu, Zehra

    (Karadeniz Technical University,)

  • Degirmenci, Nurdan

    (Recep Tayyip Erdogan University,)

Abstract

According to efficient market hypothesis, investors perceive all available information in the same manner and it is not possible that any investor obtain more profit than others. Various anomalies in stock markets cause the failure of the efficient market hypothesis. Anomalies mean that the returns of the stock market are different on each the time period. The existence of anomalies in stock markets is important for investors. In this study, it is examined to whether there are seasonal anomalies in Istanbul Stock Exchange. For this purpose, it is tested intra-day effect, day of the week effect, the January effect, intra-month effect, turn of the month effect, turn of the year effect and the holiday effect for the period of 2003-2012, using least squares method. According to results, there is an evidence for intra-day effect and day of the week effect in Istanbul Stock Exchange for this period.

Suggested Citation

  • Abdioglu, Zehra & Degirmenci, Nurdan, 2013. "Seasonal Anomalies in Istanbul Stock Exchange," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 4(3), pages 1-55, July.
    • Handle: RePEc:ris:buecrj:0126
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    Citations

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    Cited by:

    1. Kayacetin, Volkan & Lekpek, Senad, 2016. "Turn-of-the-month effect: New evidence from an emerging stock market," Finance Research Letters, Elsevier, vol. 18(C), pages 142-157.
    2. Kemal Eyuboglu & Sinem Eyuboglu & Rahmi Yamak, 2016. "Predicting Intra-Day and Day of the Week Anomalies in Turkish Stock Market," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 18(59), pages 73-94, March.

    More about this item

    Keywords

    Seasonal anomalies; Stock market; Market efficiency hypothesis; Least squares; Dummy variable regression.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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