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İstanbul Menkul Kıymetler Borsasında Ocak Ayı Etkisi = January Effect in Istanbul Stock Exchange

Author(s): Murat ÇİNKO

Journal: Dogus University Journal
ISSN 1302-6739

Volume: 9;
Issue: 1;
Start page: 47;
Date: 2008;
Original page

Keywords: Ocak ayı etkisi | Etkin piyasa hipotezi | January effects | Market efficiency hypothesis

There are some questions of validity of Market Efficiency Theory because of the findings about the seasonalities. January effect is one of most studied subject in the literature. Tax reduction is the mostly used hypothesis to explain the January effect. According to the hypothesis: investors, who tried to get a tax reduction, are the main cause of the January effect. Investors are selling the stocks in December and make some loses and reduce the quantity from the tax. In January they buy stocks and make increase price and make profit. In this study January effect for ISE is tested starting from January 1989 and December 2006, 215 monthly returns. There is no evidence to prove the January effect in ISE.
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