TESTING DAY-OF-THE-WEEK EFFECT ASYMMETRY IN BORSA ISTANBUL (BIST)

Serkan Erkam () and Ugur Ilker Erdogan ()
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Serkan Erkam: Hacettepe University
Ugur Ilker Erdogan: Turkish Statistical Institute

No 2604423, Proceedings of International Academic Conferences from International Institute of Social and Economic Sciences

Abstract: The aim of this study is to investigate a well-known calendar anomaly hypothesis, namely the day-of-the-week effect, in Borsa Istanbul (BIST). According to that hypothesis, in certain days of the week, stock returns show a regular pattern, particularly on Mondays returns are significantly negative and on Fridays returns are significantly positive, even in the stock markets of developed economies. Hence, this regular pattern presents a distinct challenge to the Efficient Market Hypothesis. For this purpose, a non-parametric multiple comparison test (Steel-Dwass Test) is employed on daily returns of BIST-100 Index, which covers one main and two sub-periods namely, (04.01.1998-27.03.2015), (04.01.1998 - 28.12.2001) and (02.01.2002 - 27.03.2015). The results indicate the existence of the day-of-the-week effect for the main period (04.01.1998-27.03.2015) and for the first sub-period (04.01.1998 - 28.12.2001). The contrary finding is valid for the second sub-period (02.01.2002 - 27.03.2015) and indicates a conclusion that the BIST is free from the day-of-the-week effect. This result could be attributed to the economic stabilization policies pursued in the Turkish economy aftermath of 2001 crisis.

Keywords: Day-of-the-week effect; Efficient Market Hypothesis; Borsa Istanbul (BIST); Multiple Comparison Tests. (search for similar items in EconPapers)
JEL-codes: C14 G14 G15 (search for similar items in EconPapers)
Pages: 1 page
Date: 2015-07
New Economics Papers: this item is included in nep-ara and nep-cwa
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Published in Proceedings of the Proceedings of the 17th International Academic Conference, Vienna, Jul 2015, pages 113-113

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