Search

The purpose of this study is to determine the effects wheather and lunar cycle anomalies on the volatility and return in the BIST. Within the scope of this research, daily closing data of BIST 100, BIST Financial, BIST Service, BIST Industrial and BIST Technology indices which were generated between 2002 and 2016 were used in order to investigate the anomalies and volatility and these data were analyzed by ARCH-GARCH methods. In addition, the study was investigated into two periods named as crisis and non-crisis periods in order to demonstrate the impact of the 2008 Global Crisis. Within this framework, the crisis period was determined between 02.01.2008 and 30.08.2009. As a result of this study, the impact of wheather and lunar cycle anomalies on volatility and return in the BIST were determined during crisis and non-crisis periods. In terms of return, except for the crisis in the BIST Financial index, full moon effect which gives a positive return in the period and new moon anomalies which cause negative effect in the crisis period have been determined. The weather effect is determined on volatility, which does not cause an anomaly in terms of return. [ABSTRACT FROM AUTHOR]