BIST'DE HAFTANIN GÜNÜ VE TATİL ETKİSİ ANOMALİLERİNİN GETİRİ VE OYNAKLIK ÜZERİNDEKİ ETKİSİNİN İNCELENMESİ.

The purpose of this study is to determine the effects of day of the week and holiday 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 day of the week and holiday anomalies on volatility and return in the BIST were determined during crisis and non-crisis periods. At the same time, the findings show that the all 5 BIST indices had negative return on Mondays and positive returns on Wednesday, except for the BIST Sinai index. [ABSTRACT FROM AUTHOR]