Stock market anomalies: the day of the week effects, evidence from Borsa Istanbul

Cengiz, Hülya; Bilen, Ömer; Büyüklü, Ali Hakan; Damgacı, Gülizar

doi:10.1186/s40497-017-0062-6

Cited by 15 publications

(11 citation statements)

References 16 publications

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“…Unlike Monday, Friday has a positive influence to the SET50 index return rate because investors are confident to trade securities after all relevant information during five weekdays has been analyzed. It is noted that our result coincides with the research paper proposed by Agathee (2008), Marrette and Worthington (2008) and Cengiz et al (2017). Based on the results from this research, trading securities in SET50 index on Monday and Friday is significant for a higher return.…”

Section: Discussionsupporting

confidence: 91%

“…Using least square analysis, the linear equation with five dummy variables has informed the nature of stock market. On Monday, the return rate of the SET50 index has dropped the most and this result is in correspondence with the papers written by Gibbons (1981) and Cengiz et al (2017). Because Monday is the first trading day of the week, some investors have not decided to trade or they may gradually sell the securities purchased before the weekend to retain profits.…”

Section: Discussionsupporting

confidence: 70%

“…Reviewing the relevant literatures, many papers have studied the return rate or changing direction of securities price. It was found that days of the week influenced the yield of the stock price index [1][2][3][4][5][6][7][8][9]. For instance, Gibbons (1981) conducted a study of the influence of weekday in the US stock market between November 1974 and December 1979.…”

Section: Introductionmentioning

confidence: 99%

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Impact of Weekdays on the Return Rate of Stock Price Index: Evidence from the Stock Exchange of Thailand

Boonkrong¹,

Arjrith²

2018

JFA

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This research aims to study the effect of the days in week on the return of the stock price index, particularly in the Stock Exchange of Thailand (SET). The daily closing prices of SET50 index from June 2, 2003 to June 2, 2017 are taken into account, i.e., there are totally 3,425 days. The stock returns of the 50 companies are calculated according to the daily historical stock prices of companies. Both descriptive and inferential statistics are employed in data analysis including average, standard deviation, multiple comparisons and multiple regression analysis. Applying ordinary least square method, the linear equation with five dummy variables is formulated for multiple regression analysis. The results show that the means of daily return rate of SET50 index are significantly different. Monday has a negative influence on the return rate of SET50 index whereas Friday has a positive influence at the significance level of 0.05. The return rate of SET50 index on Monday is lowest whilst Friday is highest during the week.

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Section: Discussionsupporting

confidence: 91%

Section: Discussionsupporting

confidence: 70%

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Impact of Weekdays on the Return Rate of Stock Price Index: Evidence from the Stock Exchange of Thailand

Boonkrong¹,

Arjrith²

2018

JFA

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“…The day of the week effect approach, which is applied in finance and tries to reveal the stocks called anomalies, has been tried to reveal whether traffic accidents are different on a day-by-day basis [46][47][48].…”

Section: Resultsmentioning

confidence: 99%

Analysis of Fatal and Injury Traffic Accidents in Istanbul Sarıyer District with Spatial Statistics Methods

2021

Self Cite

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Traffic accidents, which continue to increase from year to year in Turkey and in the world, have become a huge problem that can result in serious traumas, injuries, and deaths, as well as their material and moral consequences. Many studies have been carried out in the world and in Turkey to reduce the number of traffic accidents, but these studies have not been very effective in reducing accidents. In this study, 3105 fatal or injured traffic accidents between 2010–2017 in Sarıyer district of Istanbul, Turkey’s largest city in terms of population, were discussed. We analyzed the statistical information on the subject in detail within the framework of geographic information systems. It has been tried to determine the sections where traffic accidents are concentrated in this region with studies based on spatial methods. Thematic accident map was created according to the accident types. In this context, the advantages and disadvantages of these methods were compared using Point Density, Kernel Density, Getis Ord Gi*, and Anselin Local Moran’s I (LISA) Spatial Autocorrelation. In addition, in order to observe the change in accidents, thematic accident and Kernel Density maps were created separately according to accident occurrence types in the beginning and last year. From this point of view, the changes that occurred in the accidents were interpreted. The current study determined that the most accidents were on some streets and these streets divided into regions in a plan. The cases were examined with statistical analyses according to accident types and using the Kernel Density method. In addition, it has been observed that Kernel Density method gives better visual results than other spatial methods. In this study, spatial analysis and statistical analysis methods were used to evaluate traffic accidents more realistically. The day of the week effect and month of the year effect on traffic accidents was investigated for the first time. In addition, it is proposed to bring a new approach to the prevention of traffic accidents by using hotspot, accident type, and day of the week effect.

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“…Differentiation was found among days of the week but no significant anomaly located. Cengiz et al (2017) analyzed 289 companies (sectoral classified) for January 2010 to October 2014 seeking to catch any dependency of Monday returns on other days. A Monday dependency was found, varying by sector and generally negative.…”

Section: Introductionmentioning

confidence: 99%

Does Borsa Istanbul incorporate herding and calendar anomalies an empirical evidence

Çilingirtürk¹,

Polat²,

Gogus³

2020

Pressacademia

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Purpose-Anomalies and herding rather than individual rational decisions could be detected in capital markets. Such formations' enabling abnormal returns under volatility, may be of interest in respect of Turkish capital markets. This study analyzes the herd behavior and calendar anomalies in Borsa Istanbul (BIST) by generalizing the main index and the sectoral indices. Methodology-The data set is based on the weekly closing prices, trading volume and the number of contracts of BIST-100 Index and 17 sectoral indices for the January 2012 to December 2016. A symmetric GARCH (1,1) and an asymmetric SAARCH (1,1) models have been employed for a comparative analysis. Findings-Since GARCH (1,1) findings revealed a quiet weak simultaneous interaction between volatility and return, the research was deepened through employment of the SAARCH (1,1) asymmetric estimation model, which revealed an increase in both trading volume and return when considering negative shocks. Hence, a significant herding in BIST has been confirmed. SAARCH (1,1) model has detected day of the week (DoW) and a significant January effect, as well, while both estimation models have detected Ramadan effects. Conclusion-It becomes apparent that there is a gap in the Turkish capital market-related combined studies on herding and calendar anomalies. The aim of this study, therefore, is to fill this gap, using analyses of the BIST-100 and sectoral indices. Main indices, consisting of blue-chips, are analyzed frequently; however, abnormal trading behaviors could be detected specifically on sectoral basis.

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Stock market anomalies: the day of the week effects, evidence from Borsa Istanbul

Cited by 15 publications

References 16 publications

Impact of Weekdays on the Return Rate of Stock Price Index: Evidence from the Stock Exchange of Thailand

Impact of Weekdays on the Return Rate of Stock Price Index: Evidence from the Stock Exchange of Thailand

Analysis of Fatal and Injury Traffic Accidents in Istanbul Sarıyer District with Spatial Statistics Methods

Does Borsa Istanbul incorporate herding and calendar anomalies an empirical evidence

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