Analysis of seasonal anomalies in BIST share market

The Efficient Markets Hypothesis was put forward by Fama in the 1960s, stating that all available marketable securities are information that everyone can access instantly. According to this hypothesis, no player in the market can get more than normal. All information about the market is accessible to everyone and the prices are in balance with the market information. However, as a result of the researches, contrary to this hypothesis, information was obtained and consequently the findings that are contrary to the efficient market hypothesis are expressed as anomalies. Different levels of efficiency of the markets and the fact that investors have different perceptions have caused different financial anomalies. These; Seasonal (time-dependent) anomalies, non-seasonal (cross-sectional) anomalies, technical anomalies, anomalies based on economic factors and anomalies based on political factors can be classified. The anomalies pay the way for the environment for the investigation and questioning of market efficiency. Empirical findings that do not interfere with the hypothesis also constitute anomalies. In contrast to the efficient market hypothesis, researches revealing that there are more or fewer yield on securities in certain time sections compared to other times revealed the existence of periodic anomalies. Therefore, it is stated that it is possible to estimate the prices related to the future and by using these estimations, it is stated that the investors can get more than normal returns. The purpose of this study was to calculate the yield of the daily closing prices of BIST 100 index between 05.01.2010 and 31.12.2018 and to investigate the effect of periodic anomalies in Borsa Istanbul. Regression method was used to determine the day of the week effect, january effect and holiday effect. Keywords: Efficient Markets Hypothesis, Anomaly, BIST.