Are Calendar Anomalies Still Alive?: Evidence from Istanbul Stock Exchange

Abstract:     
Various seasonal patterns in stock markets have been shown that disappeared, or at least substantially weakened, since they were first documented in 1980s. To detect whether calendar anomalies are still alive or not, this paper investigates all types of seasonalities such as the day-of-the week, turn-of-the-year and January, turn-of-the-month, intra-month, and holiday effects in stock returns as well as in trading volume in one of the leading emerging markets-Istanbul Stock Exchange (ISE).

Results indicate that calendar anomalies are still significantly existed in the ISE both in stock returns and trading volume consistent to international evidence. In addition, I find that a change in settlement period significantly effects the distribution of daily returns across the days of the week. And, low and negative Monday effect disappears when the return of the last trading day of the previous week and/or return of the previous week is positive. Moreover, another turn-of-the-month effect in the middle of the month (around 15th of each month) has been discovered which seems to be related to standardization in payment systems in public sector. Most of the anomalies seem to be related to the combination of various factors such as settlement procedures, window-dressing, information processing, inventory adjustments, risk, standardization in payment systems, regularities in dividend payments and earnings announcements, market closures, and measurement errors. Evidence also implies that regulators of markets and institutional practices have an important impact on the existence of the seasonalities in stock markets. However, no explanation yet is sufficient completely for this phenomenon by providing direct evidence. Finally, there is still necessity to explore alternative explanations and refine the existing factors that keep most of the calendar anomalies still alive in stock markets.

Keywords: Market Efficiency, Anomalies, Seasonalities, Day-of-the-Week Effect, January Effect, Turn-of-the-Year Effect, Turn-of-the-Month Effect, Intra-Month Effect, Holiday Effect

JEL Classifications: G1, G14, G15, G18

Working Paper Series