The effects of anomalies upon volatility in the stock market: The example of Turkey

The aim of this thesis is to determine the anomalies determined by ascertaining the existence of anomalies in Turkish stock market and the effects of the anomalies on volatility in Turkish stock market. For this purpose, the concepts of anomalies and volatility in stock market under the scope of behavioural finance have been studied. In the application section, data from 5 indexes traded in BIST between 02.01.2008 and 30.05.2009 have been used to determine the 2002-2016 date and the 2008 global crisis effect and analysed with ARCH-GARCH methods. According to the results of the analysis, except for the crisis period and crisis, the effects on the volatility in the Turkish markets of the days of the week, the months of January, April, May and December and the month of the year, the month of Ramadan and the anomalies of trimesters, holiday anomalies, full moon and moon phases anomalies, weather anomalies and other calendrical anomalies were identified as the annual turnover, the first half of the month, the last half and the moon anomalies. The anomalies identified have negative or positive effects on volatility. It is determined that investors are able to survive with anomalies determined by analysing the volatility well or with loss above normal gain or without adequate analysis.