Research about the anomalies related to the months in sector indexes i̇stanbul stock exchange (ISE)

The effect of the capital markets has been tested by many researchers since the study made by Fama in 1970. The first step of the Effect Hypothesis is constituted by the Weak Form Efficiency defending that the previous price movements can not be used for the estimation of the future prices. Under this hypothesis, a tendency shown by the previous price movements is called as a calender anomaly. According to the emprical diagnoses of the study, the effect of the month of the year, which is also called as the effect of January in financial literature, is not excepted to happen in January. The highest monthly-base profits in İstanbul Stock Market are gained in October. The effect of the year-­return including the final transaction days and the initial transaction days of the year is strongly seen in İstanbul Stock Market. In the same way, after the analyses were performed,the effect of month-return including the final and initial transaction days has been seen in İstanbul Stock Market. The effect of the month-period, in which the profits of the first days and the last days are compared, has been determined to exist in İstanbul Stock Market. These results obtained are parallel to the ones which are obtained in the financial literature. As a result, it is determined that the previous price movements display the periodicities which can be used to estimate the prices of future, and consequently by regarding the previous price movements, the future time estimation can be done in İstanbul Stock Market.