Özet:

The aim of this study is to examine the existence of the day of the week effect TURIB Barley (TRBARP), TURIB Wheat (TRBBGD), and TURIB Corn (TRBMSR) Indices on newly created in Turkey. For this purpose, the return series of the indices were used in the period between 01.04.2021 (the first trading day of the indices) and 24.01.2022. The analyzes are performed using the GARCH (1,1) model, since the heteroscedasticity problem is detected in the index returns. As a result of the analyzes, it is found that there is a potential to obtain abnormal returns on Mondays and Tuesdays in the TURIB Barley (TRBARP) index, on Mondays and Thursdays in the TURIB Wheat (TRBBGD) index, and Mondays in the TURIB Corn (TRBMSR) index. It is supposed that the trading volume in the indices will increase as the potential to obtain abnormal returns on the days when the anomaly is detected by other investors. With this increase, it is thought that the efficiency of the indices (TURIB Barley, TURIB Wheat, and TURIB Corn) that are the subject of the study will increase gradually. As a result, it has been evaluated that the abnormal return will gradually disappear. Thus, it is thought that the developments in the markets will reflect on the index prices in a way that does not impair market efficiency. 

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