Stock market seasonality in the Istanbul Stock Exchange
Erbil, A. Fuat
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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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