An investigation of anomalies at Istanbul Stock Exchange: size and January effects
Bora, Zeynep Gül
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This study investigates January effect at Istanbul Stock Exchange in combination with size of firms which are traded for the period of 1988 - 1994, using monthly data. The study is based on the groupings of stocks in ten size groups; which permits us to examine January effect via these groups. It starts with questioning of which size groups are associated with the turn of the year effect and further examines the existence of excess returns of the smallest size group over the largest one for both January and April. This study, however, presents the evidence that the so-called January effect via size does not exist at Istanbul Stock Exchange.
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