IS THE TURKISH TOURISM SECTOR INDEX EFFICIENT?

Bahattin Hamarat and Ekrem Tufan ()
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Ekrem Tufan: Canakkale University

Anadolu University Journal of Social Sciences, 2008, vol. 8, issue 2, pages 169-184

Abstract: Investors who trade tourism companies’shares should take into consideration not just the technical and fundamental analyses but also the efficiency of the market in the meaning of the Efficient Market Hypothesis (EMH). In an inefficient market, investors can use an active trading strategy to beat the market. There is lots of evidence against EMH such as the Day of the Week Effect, the January Effect, and the Weather Effect etc. Hence, Day of the Week Effect anomaly has an important implication in finance. According to Day of the Week anomaly researchers, holding period returns are lower on Monday than on other days of the week. This study investigates if the Turkish Tourism Index (TI) efficient in weak form of EMH. Briefly, it can be said that TI is influenced by days, not by months. This study proves that Turkish TI is inefficient in weak form.

Keywords: Day of the Week Effects; Market Anomalies; Turkish Stock Market; Tourism Index; Probit Model; Logistic Regression (search for similar items in EconPapers)
JEL-codes: L83 (search for similar items in EconPapers)
Date: 2008
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Persistent link: http://EconPapers.repec.org/RePEc:and:journl:v:8:y:2008:i:8:p:169-184

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