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Is The Turkish Tourism Sector Index Efficient?

Author

Listed:
  • Bahattin Hamarat
  • Ekrem Tufan

    (Canakkale University
    Anadolu University)

Abstract

Investors who trade tourism companies’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.

Suggested Citation

  • Bahattin Hamarat & Ekrem Tufan, 2008. "Is The Turkish Tourism Sector Index Efficient?," Anadolu University Journal of Social Sciences, Anadolu University, vol. 8(2), pages 169-184, December.
    • Handle: RePEc:and:journl:v:8:y:2008:i:8:p:169-184
    as

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    File URL: http://www.anadolu.edu.tr/arastirma/hakemli_dergiler/sosyal_bilimler/pdf/2008-2/2008_02_09.pdf
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    More about this item

    Keywords

    Day of the Week Effects; Market Anomalies; Turkish Stock Market; Tourism Index; Probit Model; Logistic Regression;
    All these keywords.

    JEL classification:

    • L83 - Industrial Organization - - Industry Studies: Services - - - Sports; Gambling; Restaurants; Recreation; Tourism

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