Abstract:

The behavioral feature of index returns and thus stock returns are investigated in order to theoretically and empirically test the efficient market hypothesis. In this context, average deviations, in other words anomalies can be seen at index returns at certain times. This situation constitutes a situation contrary to the efficient market hypothesis. Because it is stated that all information and news relating to stocks fully reflect to stock prices at an efficient market and it is not possible that investors get a return more than normal. The deviations occurred in efficient markets are called as anomaly, and such deviations can be explained by periodic and time-based calendar anomalies within scope of price anomalies and operation. January anomaly is one of the most common calendar anomalies. In this context, January anomaly is the anomaly used to explain that stocks systematically provide higher returns in January than other months. In this study, ISE-30 and ISE-50 Index returns during the period 2001-2011 have been examined. In this study, it is tried to reveal whether or not January anomaly exists for the time subject to study with use of power ratio method. In the result, January anomaly has been observed within specified time and reason of this anomaly has been tried to explain.

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