Abstract
There has been a rise in recent studies on behavioral finance. According to Fama (1970) all information is priced, so it cannot be said about the undervalued stock. However, behavioral finance asserts that there are many anomalies in the market. The effects of days of the week, January effect and religious days on the returns and volatility of the stock markets were examined in the literature. In the case of Turkey, aforementioned anomalies are tested using returns and volatility of BIST100 and KAT30 indices. As a result, days of the week, January effect and Ramadan effect have no any effect on returns and volatility of both conventional and unconventional stock indices. The result has strengthened the assumption that Turkish market is more efficient in this sense and in line with Fama’s EMH. It has been observed that timing does not have a significant effect on the strategies of Turkish investor
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