Calendar Effects in the Stock Market and a Practice Relatedn to the Istanbul Stock Exchange Market (ISEM)
Mehmet Hasan Eken and
Taylan Ozgür Uner
Istanbul Stock Exchange Review, 2010, vol. 12, issue 45, 59-95
Capital Market Efficiency states that stock prices cannot be predicted based on the information set containing past price movements, publicly available information and even inside information. In addition to this, it is impossible to attain returns higher than the market return. On the other hand, in related literature on market efficiency, there is empirical evidence that state that there are some unexplained market movements called “stock market anomalies”. These anomalies that are studied in this paper those related to the “The Calendar Effects”. Calendar effects mean that, seasonality can be seen at different days of the week, different months of the year and some parts of months in stock prices. In this paper, seasonalities that are seen in financial markets throughout the world are researched for Istanbul Stock Exchange Market (ISEM). After investigating the related literature with regard to Efficient Market Hypothesis, existence of calendar effects in ISEM were researched with an empirical analysis during the period 04.01.1988 and 31.12.2007. The empirical results suggest that, “Day of the Week Effect”, “Month of the Year Effect”, “Turn of the Year Effect”, “Turn of the Month Effect” and “Intra Month Effect” exists in ISEM. The empirical evidence found also states that it is possible to earn higher return than market return by using the alternative investment strategies related to Calendar Effect tested in this paper. That is to say that ISEM is not efficient.
Keywords: Capital Markets; Efficient Market Hypothesis; Anomaly; Calendar Effects. (search for similar items in EconPapers)
JEL-codes: G10 G11 G14 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:bor:iserev:v:12:y:2010:i:45:p:59-95
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