An analysis on determining of the weekdays effect and holiday anomaly in futures and options market

ABSTRACT IN TURKISH: Finans literaturunde haftanin gunleri etkisi, hafta ici gunler icerisinde diger gunlere gore getirilerde bir farklilasmanin varligini savunur. Tatil anomalisi ise menkul kiymetlerin Cuma gunu kapanis degerleri ile pazartesi gunu kapanis degerleri arasinda iliski kurar. Hafta ici etkisi ve tatil anomalisi dunya uzerindeki pek cok borsada ve islem goren menkul kiymetler uzerinde arastirilmis ve bu iki olgunun varligina dair sayisiz akademik calisma cok sayida kuvvetli bulguya ulasilmistir. Bu calismada haftanin gunleri ve tatil etkisi arastirmak icin, Izmir Vadeli Islem ve Opsiyon Borsasinda (VOB) islem goren, IMKB Endeks 30 sozlesmesine ait 04.02.2005 yili ile 09.06.2011 yillari arasinda geceklesmis bulunan 1585 adet gunluk kapanis fiyati kullanilmistir. Analizler sonucunda haftanin gunleri etkisine dair kuvvetli bir bulgu elde edilememistir. Bununla beraber hafta sonu anomalisi calismamizda tespit edilmisti. Izmir Vadeli Islem ve Opsiyon Borsasi, Cuma gunu pozitif yuksek getiri oraniyla beraber pazartesi gunu negatif getiri oraniyla kapanan piyasalar ile bu acidan paralellik arz etmektedir. // ABSACT IN ENGLISH: Days of the week effect in the finance literature defends the existence of return differentiation between the weekdays as compared to the other days of the week. Holiday anomaly establishes a relationship among the closing values on Friday and closing prices of securities on Mondays. Weekday effect and holiday anomaly have been investigated in many exchanges around the world and over many traded securities and with respect to the existence of these two cases, numerous academic studies have reached a number of strong evidence. In this study, to investigate days of the week and holiday effects, 1585 daily closing prices of securities belonging to ISE-30 Index between the dates 04.02.2005 and 09.06.2011 have been used. As a result of our analysis strong evidence indicating the influence of the weekdays effect could not be obtained. However, weekend anomaly has been identified in our study. In this respect, Izmir Futures and Options Market have parallels with the markets that show positive high rate of return in closing prices on Friday and negative rate of return on Mondays. [web URL: http://iibfdergi.nigde.edu.tr/article/view/5000078984]