CALENDAR ANOMALIES AT BORSA ISTANBUL

Abstract

The aim of the study is to find out the presence of abnormal day of the month return at Borsa Istanbul (BIST) and to make investors have higher returns from these anomalies. Daily percentage returns between January 4, 2000 and December 31, 2012 are used for the study. 31 hypotheses are tested in the research and the validity of daily returns is tested with Z statistics. Results show that there are 11 statistically significant days at Istanbul Stock Exchange. There are 7 days with abnormal positive return whereas 4 days with abnormal negative return.

Keywords

• abnormal return, calendar anomalies, Borsa Istanbul

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