CALENDAR ANOMALIES AT BORSA ISTANBUL

Year 2013, Volume: 5 Issue: 1, 141 - 148, 01.06.2013

G. Cenk Akkaya Aysegul Cımen

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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