Market efficiency, anomalies and behavioral finance: Aresearch upon BIST food businesses

In this study, it is aimed to determine correlation between on stock return of the BIST food bussinesses and days of the week. For this purpose, the stock returns of 10 companies, which uninterrupted data was reached between 1999-2019 in the BIST GIDA (GIDA) index, were analyzed with panel data analysis. In this study, firms' returns calculated on daily closing prices are determined as dependent variables, while trading days of the week are determined as independent variables. According to the results of the panel data analysis, it was concluded that Monday has a negative effect on the returns of the businesses in the food index at 1% significance level. The result is similar when compared with the literature. In this context, a parallel conclusion has been reached with the effect of Monday in the literature.