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An Analysis of January Effect on Different BIST Indexes in Turkish Stock Markets

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  • Hakan BİLİR

Abstract

Efficient Market Theory has been the single and controlling theory of portfolio management for many years. But the Behavioural Finance discipline has challenged the assumptions of Efficient Market Hypothesis, particularly the investor rationality concept. It has incorporated emotion and psychology too into investment behaviour study. The January effect -or the abnormally large returns on common stocks in most months of January- has been one of the most intriguing issues in financial economics. Behavioral finance attempts to give some explanations about these anomalies as psychological and emotional factors involved in the stock market and that affect the behavior of investors and the market efficiency. In this article, January effect known as market anomalies is tested by power ratio method which is developed by Gu (2003). Monthly logarithmic returns of years 2009- 2016 for XU100, XUHIZ, XUMAL, XUSIN ve XUTEK Indexes are used in the analysis. Consequently, except one, existence of January effect is found at five of four indexes in Turkey stock market.

Suggested Citation

  • Hakan BİLİR, 2018. "An Analysis of January Effect on Different BIST Indexes in Turkish Stock Markets," Sosyoekonomi Journal, Sosyoekonomi Society, issue 26(36).
    • Handle: RePEc:sos:sosjrn:180208
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    More about this item

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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