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The less cost and ease of access to information in today makes the markets closer to fully competitive market structure and makes the concept of efficiency dominate the market. However, in some periods there is difference like January effect in the market returns and this leads to deviations from the efficiency. The aim of this study is to test the market effectiveness and the effect of January on BIST100 (Istanbul), DJI30 (New York), NIKKEI225 (Tokio), FTSE100 (London), DHSI (Hong Kong) ve DAX (Frankfort) indices. In the study, using daily closing prices between the dates of 01.01.2001 - 31.12.2017 market efficacy tested with ADF, January effect tested with LSR method and it was detected that the indices were weakly effective and January effect was not found, some months had meaningful difference. Due to these differences, it is predicted that supernormal returns can be obtained with the information obtained about the market.
The less cost and ease of access to information in today makes the markets closer to fully competitive market structure and makes the concept of efficiency dominate the market. However, in some periods there is a difference like January effect in the market returns and this leads to deviations from the efficiency. The aim of this study is to test the market effectiveness and the effect of January on BIST100 (Istanbul), DJI30 (New York), NIKKEI225 (Tokyo), FTSE100 (London), DHSI (Hong Kong) and DAX (Frankfort) indices. In the study, using daily closing prices between the dates of 01.01.2001 - 31.12. 2017 market efficacy tested with ADF, January effect tested with LSR method and it was detected that the indicators were weakly effective and January effect was not found, some months had meaningful difference. Due to these differences, it is predicted that supernormal returns can be obtained with the information obtained about the market.
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