Deviations of efficient market hypothesis and effects of anomalies based on economic factors to stocks (an Application of Istanbul Stock Exchange)

With the concept of globalization, boundaries in the financial markets removed in parallel with the geographical boundaries. Importance of the relations between the financial markets highlights the importance of the information. Information seen as a most important factor that effects the efficiency of the financial markets. In an information based economy investors meet with gains and losses according to relation of information with the stock prices. High gains and losses named as financial anomalies maintain their effects on the economy for specific periods of time. Specially financial markets in the emerging economies like ISE reflects this deeply. Information based financial anomalies appears arises as a result of different factors. These factors are related with time, economical and financial structure of the firm, past stock prices, political factors and economic indicators. Anomalies can be analyzed under the heading of seasonal anomalies, cross-sectional anomalies, technical anomalies, politic related anomalies, economy related anomalies. In this study it is aimed to analyze the economy related anomalies and their effects. In line with this aim efficient market hypothesis is investigated and anomalies are taken as departure from efficient market hypothesis. After the literature related with the topic relation between the macro economic factors with the stock returns, industrial returns and ISE-100 searched. In line with these economic factors are matched with independent variables. To obtain the effect of economic shocks on indexes regression models are build up and VAR, E-GARCH methodologies used with the help of Excel, SPSS, E-wievs, WinRats softwares and results are analysed. Keywords 1) Market Efficiency 2) Efficient Market Hypothesis 3) Market Anomalies 4) Macro Economic Factors