Calendar anomalies at Istanbul Stock Exchange

Abstract

A securities market in which market prices fully reflect all relevant information is called efficient. The Weak Form Efficient Market Hypothesis claims that there should not be any consistent patterns in security returns. In this study, the existence of return patterns which is a indicator of weak form inefficiency of the market, are analyzed in Istanbul Stock Exchange. The period covered is in between January 4, 1988 and December 31, 1992 and studies are done through dividing the sample period into two parts. The results of the analysis indicate that Istanbul Stock Exchange Market tends to be inefficient as time goes. Significant Day of the Week and Weekend Effect are found in the 1990-1992 period. January Effect also exists in the market for the entire sample period. The reasons of effects do not fully explain the return patterns to exist which is also the same case in different security markets.