Anomalies in stock markets and behavioural finance models developed to explain these a practise in ISE

This thesis study is made for the purpose of researching the priceanomalies if they are valid or not valid in Turkish market (underreaction andoverreaction) that are observed in stock market and of which existence isproved in international literature, and evaluating the named anomalies withinthe context of behavioral finance models.Thesis study consists of two main parts including literature hatchingand application. In the thesis, the theoretical structure is taken on, in threemain parts. In the first part, stock concept, information concept which iseffective in the giving decision process and its importance, investors in stockconcept and their specifications, price determination subject in stockinvestments are discussed. In the second part of the thesis; a broad literaturehatching relating to the Behavioral finance?s basics is done and theoreticalstudies relating to the subject are summarized. In this context, makingdecision concept in Economics and Psychology, Expected Utility Theory,Expectation Theory and Psychological prejudices are examined. In the thirdpart; detailed theoretical information about anomalies (relating to calendaranomalies and price anomalies) that are observed in stock market and relatingto behavioral finance models are given.In the forth-application part of the thesis; it is researched that if the priceanomalies which are observed in the world markets, also exists in ISE or not,and the findings that are gained and their justifications are discussed withinthe context of behavioral finance models. In this context, ISE?s price attitude inthe years of January 1992-December 2004 is empirical analyzed by thehypothesis tests which are formed in both long term and short term. In theanalysis, it is drew benefit from abnormal yields relating to stock. As a model,CAR model which is taken the yield on the market (index) as abnormal yield isused. In the research, to measure the long term, overreaction anomaly,portfolios which are brought in/deprived for 3-5 years, are formed and their 3-5years performances following these portfolios are observed. Gained resultshave qualification of supporting the literature, it is determined that in thefollowing period, the portfolios which consist of stocks are lesser brought in ordeprived at the past, and in the following period the deprived portfolios arebrought in. To measure the short term underreaction anomaly, some of thebasic information (like company merger decisions, dividend paymentdecisions and capital increasing decisions) relating to the stock, which areexplained to the public, are tested and statistical meaningful and coherentresults in literature are gained. From the results that are gained, it is came to aconclusion that in ISE both long term overreaction and short termunderreaction anomalies are valid and it is possible to provide profits over theaverage in both long and short terms by drawing benefit from this anomalyfindings.