Abstract:

The Efficient Market Hypothesis has become controversial in the finance literature for some time. It can be said that one of the reasons for these discussions is the findings reached from the research on calendar anomalies. These anomalies, which were frequently seen in the first studies, began to be undetected over time. The fact that calendar anomalies are seen less often brings to mind the question: “Are the markets becoming efficient?” However, the answer to this question has not been given definitively yet. In this study, the presence of Day of the Week, Weekend, January, Month of the Year, Intra-Month, Turn-of the Month and Holiday anomalies over time were investigated on six different Borsa Istanbul indices. The period of 03.01.1999–01.01.2019 was analysed by dividing it into six sub-periods. The evidence about the presence of calendar anomalies in Borsa Istanbul is reached for the first sub-period, 1999–2003, however their presence is significantly decreased in the following years.

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