Stock market anomalies: the day of the week effects, evidence from Borsa Istanbul

Ömer Bilen,Hülya Cengiz,Gülizar Damgacı,Ali Hakan Büyüklü

doi:10.1186/s40497-017-0062-6

Ömer Bilen, Hülya Cengiz + Show 2 more

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https://doi.org/10.1186/s40497-017-0062-6

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Abstract

This study was conducted to investigate the market anomalies in the Borsa Istanbul Index (BIST). The scope of this study is to examine the Monday effects in BIST that are stock index of Turkey with an data set that contains daily stock prices between 02.01.2010 and 22.10.2014. The stock returns of the 289 companies were calculated according to the daily historical stock prices of companies. These returns were classified based on the sectors, and statistically analysed if the days of the week had any effects on Monday when the daily stock returns of Monday were fixed constant. The findings showed that the stock returns on Monday were affected by the other days. These effects were mostly negative, and varied according to the stocks and sectors. Thursday and Friday had the highest effect, whereas Tuesday had the least effect on the stocks. The results show that the stock market in Turkey has market anomaly, and BIST is not an efficient market.

Highlights

Turkey is located at the junction of Europe, Asia and Middle East
This study aimed to reexamine the existence of the day of the week effect in Borsa Istanbul (BIST) when Monday returns kept constant with a larger amount of data in the BIST
The daily stock returns of 289 companies that were constantly traded between 02.01.2010 and 22.10.2014 were studied, and it was analysed if the other days of the week had any effects on Monday when the daily stock returns of Monday were kept constant

Summary

Introduction

Turkey is located at the junction of Europe, Asia and Middle East. This strategic geographical location, combined with massive domestic market and stable macroeconomic policy has enabled it to become the 16th largest economy of the world. It is a country with which large exchanges and global players wish to partner, and do business (Borsa Istanbul A Story of Transformatıon 2013; Ernst & Young, Attractiveness Survey Turkey 2013). Markets of BIST are equity market, debt securities market, derivatives market, precious metals and diamond market, and market surveillance activities (Borsa Istanbul 2016)

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