Testing of Intra-Month, Turn of the Month and Turn of the Year Effect Effects in BIST Sector and Sub-Sector Indexes


Eyuboglu K., Eyuboglu S.

ESKISEHIR OSMANGAZI UNIVERSITESI IIBF DERGISI-ESKISEHIR OSMANGAZI UNIVERSITY JOURNAL OF ECONOMICS AND ADMINISTRATIVE SCIENCES, vol.11, no.2, pp.143-158, 2016 (Journal Indexed in ESCI) identifier

  • Publication Type: Article / Article
  • Volume: 11 Issue: 2
  • Publication Date: 2016
  • Title of Journal : ESKISEHIR OSMANGAZI UNIVERSITESI IIBF DERGISI-ESKISEHIR OSMANGAZI UNIVERSITY JOURNAL OF ECONOMICS AND ADMINISTRATIVE SCIENCES
  • Page Numbers: pp.143-158

Abstract

Efficient Market Hypotheses (EMH) suggests that stock prices fully reflect all available information on a stock market thus investors cannot gain abnormal returns. However, the researchers have observed some evidences against the EMH and it is called as anomaly. There is a vast number of studies for intra-month effect, turn of the month effect and the turn of the year effect in Turkey and BIST-100 is often used in these studies are the starting point of this research. For this purpose unlike other studies, it is tested whether there is intra-month effect, turn of the month effect and the turn of the year effect by using daily data for 24 Borsa Istanbul indexes for the period January 2005-February 2015. Results show that there is evidence for intra-month effect in one index and turn of the month effect is found in 14 indexes. Furthermore there is no evidence for turn of the year effect in all 24 indexes.