Testing of financial anomalies: an application in ISEe

In the last thirty years a great percentage of research topics on the financial markets conducted by economic experts has consisted of the Efficient Market Hypothesis, which brought forward and later improved by Fama in 1965-1970. In general efficiency of financial markets; three basic criteria are tested empirically. These criteria are; the distribution of resources in terms of better use (distributive efficiency), resources to perform at minimal cost (operating efficiency) and the reflection of all available information (cognitive activity). A weak market efficiency is about future past returns and a semi-strong form of market efficiency tests the speed of information reaching the market price.Time-dependent effects leads to the possibility of a earnings return and thus, it can be deduced the fact that these markets are semi-strong is lead to them being efficient. Therefore, many researchers discuss anomalies by examining the effectiveness of the market. Any empirical finding contrary to any efficient market hypothesis is referred to as anomalies. Using time intervals to predict future returns is in constant question and researcher suggest that it is impossible to generate income by investing in a direction contrary to the hypothesis of efficient markets. But empirical results obtained from studies of seasonal anomalies leads to contrary findings. Effective against the markets, shares of certain periods that provide continuous positive or negative returns proves the existence of periodic anomalies.The purpose of this thesis is to analyze the evidence of periodically anomalies in ISE. Daily and monthly seasonal anomalies between the periods of 04.01.2000 - 25.06.2012 and the daily closing prices for the ISE30, ISE50, ISE100 return indices are calculated.Keywords: Efficient Market Hypothesis, ISE, Anomaly