Predicting Intra-day and Day of the Week Anomalies in Turkish Stock Market


EYÜBOĞLU K. , EYÜBOĞLU S. , YAMAK R.

35th International Symposium on Forecasting, California, United States Of America, 21 June - 24 July 2015, pp.54

  • Publication Type: Conference Paper / Summary Text
  • City: California
  • Country: United States Of America
  • Page Numbers: pp.54

Abstract

According to Efficient Market Hypothesis which is presented by Fama (1965) in the finance literature, any investor cannot gain abnormal returns. But various anomalies such as intra or day effect which are frequently observed at the stock markets provide some abnormal returns to investors. In the related literature, many studies found various anomalies for the different national and international stock markets. But most of them used aggregate data in their econometric analysis. The question is whether the same anomalies exist in the sub-indexes such as communication, transportation, banking, mining etc. The purpose of this study is to investigate whether there are the same anomalies such as intra-day effect and day of the week effect for 24 Borsa Istanbul (BIST) sub-indexes. The data used in this study are daily and cover the period of 03.01.2005-11.02.2015 for Turkey.  Statistical results show that there is an evidence for intra-day effect in all 24 sub-indexes (except communication) and day of the week effect in 3 sub-indexes for this period. Accordingly temporal predictability of returns in the BIST indexes is under a strong intra-day effect and weak day of the week effect.  Moreover the existence of anomalies in the stock market show that investors are not rational, in other words these anomaly patterns weak the validity of Efficient Market Hypothesis in the context of Borsa Istanbul.