Özet:

The aim of this study which is analyzed the anomalies that are observed like an abnormalities from Efficient Market Hypothesis and are supported with various empirical studies, is to determine the effects of the daylight saving time anomaly and the weekend anomaly on Istanbul Stock Exchange (ISE) 100 index in the October 1987-June 2009 period. For this purpose, the weekend anomaly that is commonly observed in the financial markets and the daylight saving time anomaly that recently attempts the literature as a new kind of financial anomaly are tested with the GARCH models. According to study findings, the only daylight saving time application in spring has effect on average return of ISE 100 index. However, Monday stock returns are relatively lower than the other days so that the weekend anomaly is confirmed on the ISE 100 index

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