Title: Seasonal Effects in the Turkish Stock Market
Abstract: We test for seasonality in returns of various industry indices in the Istanbul Stock Exchange. The residual returns for all the industry indices in the Turkish stock market are computed and analyzed using the CAPM model. The empirical evidence based on monthly return data from MATRİKS points out to weak evidence of return seasonality in some industries, especially in IT, leasing, holding and tourism. Interestingly, the timing of these returns confirms prior work done in developed markets, where returns are generally positive during the first half of the year and negative during the 3rd and 4th quarters. For robustness, we repeat the same procedure with the Fama – French 3 factor model and obtain similar results. Other industry indices show no evidence of seasonality.
Publication Year: 2010
Publication Date: 2010-01-01
Language: en
Type: article
Indexed In: ['crossref']
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