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An investigation of the day-of-the-week effect on stock returns in turkey (2000).
| Content Provider | CiteSeerX |
|---|---|
| Author | Karan, M. Baha Demirer, Riza |
| Abstract | This paper examines evidence for the possible existence of the `Daily Effect' in the Istanbul Stock Exchange (ISE). In addition to ISE daily closing index returns, excess index returns over the risk-free rate-overnight interest rates in this case- and inflation are analyzed since the Turkish economy has been experiencing high inflation and unstable financial markets that make it different from the stable Western economies. The analysis of sign transitions between returns for successive days suggests that the daily effect shows itself in a different form -start of the week effect- in the sense that starting a week with a positive return is an indicator of the overall return pattern for the week. In the context of the models developed in the literature, the findings indicate that the Turkish market appears efficient in terms of expected returns. However, it seems inefficient in terms of expected variability of these returns and in terms of investors' expectations. Keywords: Market effi... |
| File Format | |
| Publisher Date | 2000-01-01 |
| Access Restriction | Open |
| Subject Keyword | Stock Return Day-of-the-week Effect Daily Effect Istanbul Stock Exchange Turkish Economy Stable Western Economy Sign Transition Possible Existence Excess Index Return Different Form Start High Inflation Successive Day Index Return Week Effect Unstable Financial Market Turkish Market Risk-free Rate-overnight Interest Rate Overall Return Pattern Market Effi Positive Return |
| Content Type | Text |
| Resource Type | Article |
