Seasonal Anomalies in Istanbul Stock Exchange

Zehra Abdioglu () and Nurdan Degirmenci ()
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Zehra Abdioglu: Karadeniz Technical University,, Postal: Faculty of Economics and Administrative Sciences, Department of Econometrics, Trabzon, Turkiye,
Nurdan Degirmenci: Recep Tayyip Erdogan University,, Postal: Vocational School of Social Sciences, Rize, Turkiye

Business and Economics Research Journal, 2013, vol. 4, issue 3, 55

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.

Keywords: Seasonal anomalies; Stock market; Market efficiency hypothesis; Least squares; Dummy variable regression. (search for similar items in EconPapers)
JEL-codes: G11 G14 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:ris:buecrj:0126

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