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Calendar anomalies in the Turkish foreign exchange markets

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  • Kursat Aydoğan
  • G. Geoffrey Booth

Abstract

This paper investigates calendar anomalies in the Turkish foreign exchange markets during 1986-1994 period. Changes in the free market and official daily exchange rates between the Turkish lira (TL) and US dollar (USD) and the German mark (DM) are examined for empirical regularities on different days of the week, around the turn of the month and before holidays. The findings reveal that free market rates exhibit day-of-the-week and week-of-month effects. In addition free market DM returns display a holiday anomaly. These calendar anomalies are explained by cash disbursement patterns, together with currency substitution in the economy. The impact of treasury auctions and banks' management of liquidity on day-of-the-week effect is also discussed.

Suggested Citation

  • Kursat Aydoğan & G. Geoffrey Booth, 2003. "Calendar anomalies in the Turkish foreign exchange markets," Applied Financial Economics, Taylor & Francis Journals, vol. 13(5), pages 353-360.
    • Handle: RePEc:taf:apfiec:v:13:y:2003:i:5:p:353-360
    DOI: 10.1080/09603100210129457
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    2. Çankaya, Serkan & Ulusoy, Veysel & Eken, Hasan/M., 2011. "The Behavior of Istanbul Stock Exchange Market: An Intraday Volatility/Return Analysis Approach," MPRA Paper 43656, University Library of Munich, Germany.
    3. Stefanescu, Răzvan & Dumitriu, Ramona, 2020. "Efectul Turn-of-the-Year pe piaţa valutară din România [The Turn-of-the-Year Effect in the Romanian foreign exchange market]," MPRA Paper 99365, University Library of Munich, Germany, revised 30 Mar 2020.
    4. Berument, Hakan & Coskun, M. Nejat & Sahin, Afsin, 2007. "Day of the week effect on foreign exchange market volatility: Evidence from Turkey," Research in International Business and Finance, Elsevier, vol. 21(1), pages 87-97, January.
    5. Khademalomoom, Siroos & Narayan, Paresh Kumar, 2020. "Intraday-of-the-week effects: What do the exchange rate data tell us?," Emerging Markets Review, Elsevier, vol. 43(C).
    6. Wang, Xinya & Liu, Huifang & Huang, Shupei, 2019. "Identification of the daily seasonality in gold returns and volatilities: Evidence from Shanghai and London," Resources Policy, Elsevier, vol. 61(C), pages 522-531.
    7. Ke, Mei-Chu & Chiang, Yi-Chein & Liao, Tung Liang, 2007. "Day-of-the-week effect in the Taiwan foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2847-2865, September.
    8. Chhabra, Damini & Gupta, Mohit, 2022. "Calendar anomalies in commodity markets for natural resources: Evidence from India," Resources Policy, Elsevier, vol. 79(C).
    9. Roberto Joaquín Santillán Salgado & Alejandro Fonseca Ramírez & Luis Nelson Romero, 2019. "The "day-of-the-week" effects in the exchange rate of Latin American currencies," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 485-507, Agosto 20.
    10. Dumitriu Ramona & Stefanescu Razvan, 2021. "TOQ Effects on the Romanian Foreign Exchange Market," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 246-253.
    11. Hüseyin Kaya & Sadullah Çelik, 2009. "Empirical Evidence For Day Of The Week Effect In An Emerging Market: The Turkish Case," 2009 Meeting Papers 219, Society for Economic Dynamics.
    12. Oral, Ece, 2012. "Day of the Week Effect on Turkish Foreign Exchange Market Volatility During the Global Financial Crisis," MPRA Paper 44116, University Library of Munich, Germany.
    13. Fung, Ka Wai Terence & Demir, Ender & Lau, Chi Keung Marco & Chan, Kwok Ho, 2015. "Reexamining sports-sentiment hypothesis: Microeconomic evidences from Borsa Istanbul," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 337-355.
    14. Ma, Donglian & Tanizaki, Hisashi, 2019. "The day-of-the-week effect on Bitcoin return and volatility," Research in International Business and Finance, Elsevier, vol. 49(C), pages 127-136.
    15. Khademalomoom, Siroos & Narayan, Paresh Kumar, 2019. "Intraday effects of the currency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 65-77.
    16. Fung, Ka Wai Terence & Demir, Ender & Lau, Marco Chi Keung & Chan, Kwok Ho, 2013. "An Examination of Sports Event Sentiment: Microeconomic Evidence from Borsa Istanbul," MPRA Paper 52874, University Library of Munich, Germany.
    17. C.-S. Hsieh & C.-T. Chen, 2012. "Using stochastic dominance criterion to examine the day-of-the-week effect," Applied Financial Economics, Taylor & Francis Journals, vol. 22(14), pages 1207-1213, July.

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