Testing of the day of the week and january anomaly in Borsa İstanbul and Turkish foreign exchange market

Financial theories formed from past to present vary. One of these finance theories is the Effective Market Hypothesis. But a market is not always effective. Abnormalities, an ineffective market indicator, are the result of the characteristics of Behavioral Finance. Behavioral Finance Theories that explain the unexplained abnormal movements in the market are of great importance. In this study, the effectiveness of Behavioral Finance, which includes traditional finance theories and human psychology, is examined. In this study, the effect of the day of the week and January Anomaly on BIST-100 and exchange rates were investigated. In the study, BIST-100, Dollar and Euro daily data are used for the day of week effect of 01/02/2008 - 31/12/2018 period; BIST-100, Dollar and Euro monthly data between 01/12 / 1999- 31/12/2018 period were used to test the presence of January anomaly. In order to investigate the stationarity of the series; ADF (1979) and Phillips-Perron (1988) tests were performed. Jarque Bera test was used to show whether the distribution was normal in the series. After determining AR, MA, ARMA and ARIMA Models, ARCH-LM test was applied for January anomaly and day of week effect and ARCH, GARCH models were determined. In the results of working; When the information obtained from the results of ARCH and GARCH models applied to the series is examined; On the BIST-100 Index, January anomalies were detected, but no Day of the Week Effect was observed. In the dollar index, it is concluded that the Day of the Week Effect and Friday are the days when higher returns are obtained than the other days. The reason for the January Anomaly was determined as the first month of the year and the release of the information in January, and it was concluded that the effect of the day of the week on the Dollar was the Friday's last working day.