Abstract:

According to Efficient Market Hypothesis stock prices reflects all the existence information in markets and it cannot be gained over the market even using different techniques. Additionally, stock returns are independent from time and it cannot be have different returns in different periods. However, the assumptions of efficient market hypothesis have been invalidated by reason of many studies and different effects have been stated between return and time. These effects are called as “anomalies”. One of the anomalies shows the effect of returns on time is “January Effect”. January effect is a kind of anomaly which defines that January returns are higher than the other months’ of the year in stock markets. In this study, it has been searched that if there is a January effect in ISE 100, XUGIDA, XUMALI, XUHOLD and XUSIN indexes. According to the results, January effect has been seen in ISE 100 and XUSIN indexes, but not in XUGIDA, XUMALI and XUHOLD indexes .

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