Testing the calendar anomalies for the İstanbul Stock Exchange

The Efficient Market Hypothesis has become hotly-debated view for a while, although it had been cherished by the finance and academic community for a long time. One of the topics that ignite the wick of these discussions are the calendar anomalies. The calendar anomalies, which are shook the argument that is not possible to yield excessive returns in financial markets timeindependent, have been studied intensly since 1980's. So much so that these anomalies which are frequently seen at the beginning has been getting undetected as time goes on and as methods developed. Even if the question comes to mind which is "Are financial markets becoming efficient?" with calendar anomalies being seen less frequently, the question hasn't been answered consummately. In this study, the calendar anomalies were tested and tried observed on six different indexes in İstanbul Stock Exchange which are Day of The Week, January Effect, The Month of The Year, Intra-Month Effect, Turn of The Month and Holiday Effect with regression model. Twenty-year return series between January 3, 1999 and January 1, 2019 are divided into five sub-periods in order to scrutinize the development processes of the calendar anomalies as 1999-2003, 2004-2007, 2008-2009, 2010-2013 and 2014-2018. In consequences of emprical findings, calendar anomalies were detected intensively in the first sub-period which is between 1999-2003 and the prevalence of these anomalies decreased considerably as we approached 2019. At the end of the study, while estimating why these anomalies may have disappeared in Istanbul Stock Exchange in time, the salient points were dwelled on.