Anomalies in share stock markets: An econometric application on BİST 30

The Efficient Market Hypothesis states that all information contained in the securities markets is fully reflected in the market and that prices occur at random and therefore, no more than expected revenue can be obtained. However, when we examine the literature, it is concluded that it is possible to obtain abnormal returns when certain factors are considered. The purpose of this study is to provide information about the anomalies that may occur to investors who want to make transactions in the securities market and to help them make more accurate decisions. In this sense, firstly, information is given about the effective market hypothesis and then anomalies are explained. Using the GARCH model, the daily price index of 2003-2018 within the scope of BIST 30 index was analyzed using day of week anomaly, lunar anomaly, lunar anomaly, Anniversary anomaly, January anomaly and holiday effect anomaly. As a result of the analysis, it was observed that the value calculated on Monday was positive and increased the volatility, the value on Tuesday and Friday was negative and the volatility decreased on the day of the week. In January, it was concluded that the yields increased and volatility increased within the scope of BIST 30 index. It was observed that the anniversary effect had an effect on the average returns and the returns increased. Increased volatility was observed under the effect of the moon. In the lunar effect, it was found that returns decreased and volatility decreased in the first half of the month and it was found that the holiday effect had an effect on average returns and increased returns.