Is The Turkish Tourism Sector Index Efficient?

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Is The Turkish Tourism Sector Index Efficient?

Author Info

Bahattin Hamarat
Ekrem Tufan () (Canakkale University, Anadolu University)

Abstract

Investors who trade tourism companiesâ€™shares should take into consideration not just the technical and fundamental analyses but also the efficiency of the market in the meaning of the Efficient Market Hypothesis (EMH). In an inefficient market, investors can use an active trading strategy to beat the market. There is lots of evidence against EMH such as the Day of the Week Effect, the January Effect, and the Weather Effect etc. Hence, Day of the Week Effect anomaly has an important implication in finance. According to Day of the Week anomaly researchers, holding period returns are lower on Monday than on other days of the week. This study investigates if the Turkish Tourism Index (TI) efficient in weak form of EMH. Briefly, it can be said that TI is influenced by days, not by months. This study proves that Turkish TI is inefficient in weak form.

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Publisher Info
Article provided by Anadolu University in its journal Anadolu University Journal of Social Sciences.

Volume (Year): 8 (2008)
Issue (Month): 2 (December)
Pages: 169-184
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Handle: RePEc:and:journl:v:8:y:2008:i:8:p:169-184

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Find related papers by JEL classification:
L83 - Industrial Organization - - Industry Studies: Services - - - Sports; Gambling; Recreation; Tourism

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Balaban, Ercan, 1995. "Day of the Week Effects: New Evidence from an Emerging Stock Market," Applied Economics Letters, Taylor and Francis Journals, vol. 2(5), pages 139-43, May. [Downloadable!] (restricted)
Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," Journal of Business, University of Chicago Press, vol. 54(4), pages 579-96, October. [Downloadable!] (restricted)
Cornell, Bradford, 1985. " The Weekly Pattern in Stock Returns: Cash versus Futures: A Note," Journal of Finance, American Finance Association, vol. 40(2), pages 583-88, June. [Downloadable!] (restricted)

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