Master'sOpen Access

Testing January anomaly on BIST 100 and corporate governance index

2021
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Advisor: Dr. Öğr. Üyesi Semra Taşpunar Altuntaş

Abstract (EN)

EMH, which is accepted as one of the most important theories of Traditional Finance and developed by Fama in 1970, assumes that all available information is fully reflected in the prices of securities, that investors make rational decisions, therefore, above-average returns cannot be obtained in the market and that the market is an efficient market. However, with the discovery of market anomalies defined as "deviation from the average return", which is also the subject of this study, the validity of the EMH has begun to be questioned. The aim of the study; determining whether the January anomaly still exists in the BIST100 Index, which has proven to be an ineffective market in previous studies and where anomalies are observed, and unlike other studies, it is to investigate whether there is an anomaly in January in the BIST Corporate Governance Index, which is expected to be a more efficient market due to the principles it adheres to. In the study, the existence of January anomaly in BIST100 and BIST Corporate Governance Index was investigated by using two different methods for a 12-year period between 2009-2020. Within the scope of the study, using monthly logarithmic return data, the data were analyzed with both the One-Way Analysis of Variance (ANOVA), which is a statistical parametric method, and the Power Ratio Method developed by Gu (2003). When the average monthly return data was analyzed within the scope of the study, it was observed that the highest average return was realized in April in both indices. However, according to the results of the ANOVA test, it was concluded that there was no statistically significant difference in terms of monthly average returns for both indices. According to the Power Ratio Method, on the basis of the 2009-2020 period, it was concluded that there is a January anomaly in the BIST100 and BIST Corporate Governance Index.

Author

Dr. Gizem Durak

How to Cite

Gizem Durak (Master Thesis). Testing January anomaly on BIST 100 and corporate governance index, 2021, İstanbul University.

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