Stock markets and investigation of the day of the week effect in ISE

Efficient Market Hypothesis supposes that the prices arising in an efficient market cannot be predicted beforehand so it assumes that it is impossible to get by abnormal returns. However, in markets, many findings which contradict with this theory have been obtained. Each empirical finding which contradicts with efficient market hypothesis is called anomaly (violation).In this study,it is investigated that the existence of day of the weeks effectingwhich is accepted as a seasonal (time-based) anomaly at the ISE. For that purpose, the daily closing prices of the ISE-100 index relating to the period of 01.01.1990-01.01.2010 were used. In that period, 4977 daily data were used totally by generating data set in a way subtracting the official holidays in which the ISE is closed. In this study, data set was also separated into sub periods in a way including the periods of crisisand each sub-period were analyzed separatelyassuming that the crisis in the country can affect the market in that period.In analysis, average growth rates of daily closing prices were compared and their effects and differences in indexwere tried to determine. Statistical methods were used while making comparison amongaverage growth rates. The one-way ANOVA was used to searchwhether average income of days in ISE is statistically different from zero or not. Also, the Kuruskal Wallis nonparametric test was used for verifying the results of the analysis. This test is a nonparametric alternative of analysis of one-way ANOVA between groups.In analysis of variance made for the whole period, it was observed that there existed differences among the average incomes of the days of the week at 1% significance level in ISE-100 Index, in other words, the effect of the day of week existed in ISE. During this period, while Mondays were determined as days of the lowest income, high-yielding day was Friday. Inanalysis of sub-periods, findings regarding existence of the day effect have been obtained after the periods of the 1994 and 2001 crisis. Similar findings had also been obtained in Kuruskal Wallis test which was carried out for verifying the results of the analysis.Key Words:Efficient Market Hypothesis, Anomaly, Day Effect.