Stock market seasonality in the Istanbul Stock Exchange
Author(s)
Advisor
Date
1993Publisher
Bilkent University
Language
English
Type
ThesisItem Usage Stats
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Abstract
This study empirically examines stock market seasonality in the
Istanbul Stock Exchange Market (IMKB) , Turkey. Current evidence
from the studies for other capital markets around the world provides
that there are strong seasonalities in the stock returns in most of these
capital markets. The seasonality , when it exists, is associated with
the turn of the year, the week, as well as with holidays. The turn of the
week effect appears to be negative on Monday or Tuesday returns;
turn of the year effect appears to be high for January or April
returns;and holiday effect appears to have higher returns on the trading
days prior to holidays in most of the capital markets in developed
countries.
This study, however, presents the evidence that so called
weekend effect and the day-of-the-week effect do not exist in IMKB.
The mean returns on Thursdays are negative and it cannot be accepted
statistically. I find a turn of the year effect with high January returns
and holiday effect with high mean returns, averaging four times the
mean return for the remaining days of the year as in the other capital
markets.
The returns for the IMKB daily index for 1988-1991 period are
examined in this study, as well as the weekend and turn of the year
effect for the individual stocks of 29 large and 34 small firms.
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