Open Access

Stock market anomalies: the day of the week effects, evidence from Borsa Istanbul

  • Hülya Cengiz1Email author,
  • Ömer Bilen2,
  • Ali Hakan Büyüklü2 and
  • Gülizar Damgacı2
Journal of Global Entrepreneurship Research20177:4

https://doi.org/10.1186/s40497-017-0062-6

Received: 4 October 2016

Accepted: 12 January 2017

Published: 9 February 2017

Abstract

This study was conducted to investigate the market anomalies in the Borsa Istanbul Index (BIST). The scope of this study is to examine the Monday effects in BIST that are stock index of Turkey with an data set that contains daily stock prices between 02.01.2010 and 22.10.2014. The stock returns of the 289 companies were calculated according to the daily historical stock prices of companies. These returns were classified based on the sectors, and statistically analysed if the days of the week had any effects on Monday when the daily stock returns of Monday were fixed constant. The findings showed that the stock returns on Monday were affected by the other days. These effects were mostly negative, and varied according to the stocks and sectors. Thursday and Friday had the highest effect, whereas Tuesday had the least effect on the stocks. The results show that the stock market in Turkey has market anomaly, and BIST is not an efficient market.

Keywords

The day of week effectsMarket anomaliesMarket efficiencyMonday effects

Background

Turkey is located at the junction of Europe, Asia and Middle East. This strategic geographical location, combined with massive domestic market and stable macroeconomic policy has enabled it to become the 16th largest economy of the world. It is a country with which large exchanges and global players wish to partner, and do business (Borsa Istanbul A Story of Transformatıon 2013; Ernst & Young, Attractiveness Survey Turkey 2013). The regulatory and supervisory authority is Capital Markets Board of Turkey (CMB) in charge of the securities markets in Turkey. All the exchange operating is done under Borsa Istanbul (BIST) in Turkey. The products of BIST are equities, exchange traded funds, warrants, options, futures, certificates, debt instruments and lease certificates (Borsa Istanbul 2016). Markets of BIST are equity market, debt securities market, derivatives market, precious metals and diamond market, and market surveillance activities (Borsa Istanbul 2016).

The day of the week effect is one of the market anomalies that has tendency to show more performance, and may give possibility for investors to make extra stock returns. Market anomalies have been reported in the developing markets, as well as in the developed markets. Getting high stock returns and predicting the behaviour of stock prices are important for investors and subjects of studies. One of the methods of the predicted returns is the detection of the day of the week effects in the stock markets. “Week-day effect” is a specific anomaly in the behaviour of asset prices and financial indexes (Carlucci, Júnior, Lima, & Gaio, 2014). In the literature section the studies which were found the existence of the day of the week effects are indicated.

Literature

The existence of the day of the week effect was found from 1950’s to 1970’s for Standard & Poor’s Index (Cross, 1973; French, 1980; Gibbons & Hess, 1981; Keim & Stambaugh, 1984; Lakonishok & Levi, 1982; Rogalski, 1984). Additionally, in later studies, the day of the week effect was tested for different markets and periods. These studies were grouped according to markets.

The day of the week effect in international markets

The day of week effect was investigated previously in various studies which are summarized in Table 1.
Table 1

Summary of the studies about the day of the week effect in international markets

Market

Main Finding

Reference

Financial Times Stock Exchange (FTSE) 100 Index in the United Kingdom (UK)

Negative Monday and Fridays returns were different from their mid-week counterparts for the period 1991–1998

(Steeley, 2001)

Dow Jones Industrial Average Index in the United States (U.S.)

The positive Monday returns and the positive Friday returns for the period 1988–1995

(Brusa, Liu, & Schulman, 2003)

Foreign marketsa

Negative Monday returns or no weekend effect at all for the period 1988–1995

(Brusa, et al., 2003)

Standard & Poor’s 500 in the U.S., FTSE 30 in the UK and DAX 30 (German Stock Index) in the German Stock Markets

Monday effect was found in the 1970s and 1980s,

Monday effect vanished in the 1990s and 2000s in all three markets

(Alt, Fortin, & Weinberger, 2011).

Bovespa Index in Brazil, Mexican Stock Exchange in Mexico and the Dow Jones in the U.S.

There were no statistically significant differences between the mean returns of each weekday for the indexes for the period 2004–2012

(Carlucci, Júnior, Lima, & Gaio, 2014)

U.S. Stock Market Indexesc

Reversal (from negative to positive) Monday effect in large-cap stockindexes

(Mehdian & Perry, 2001)

Eastern European emerging marketsb

Negative Monday returns were found in markets of Estonia and Lithuania, positive Monday returns were found in the market of Russia for the period 1990s–2002

(Ajayi, Mehdian, & Perry, 2004)

aThe foreign markets are the All Ordinaries Shares Index of Australia, Nikkei 225 Index of Japan, Hang Seng Index of Hong Kong, CAC 40 Index of France, Financial Times Stock Exchange 100 Index of the United Kingdom, IPSA Stock Index of Chile, Bovespa Stock Index of Brazil, and Merval Stock Index of Argentina

bCroatia, Czech Republic, Estonia, Hungary, Latvia, Lithuania, Poland, Romania, Russia, Slovakia, and Slovenia

cThe Dow Jones composite (DJCOMP), the New York Stock Exchange (NYSE) composite, the Standard & Poors 500 (SP500), the National Association of Securities Dealers Automated Quotation composite (NASDAQ) and the Russell 2000 (RUSSELL)

A study by Bayar and Kan Another study (Bayar & Kan, 2012) investigated the day of the week effects in stock market returns denominated in both U.S. dollars and local currencies in most of the nineteen countries for the period from July 1993 to July 1998. In local currency terms, the highest returns were on Tuesday and then Wednesday; the least returns were on Thursday and then Friday. In U.S. dollar currency, the highest returns occurred on Wednesday and then Tuesday. The lowest returns were found towards the end of the week, on Thursday and then Friday (Bayar & Kan, 2012).

The day of the week effect in Turkey’s market

The studies that examined the day of the week effect in Borsa Istanbul in Turkey is summarized in Table 2. The day of the week effect existed for BIST-100, BIST-50, BIST-30 and sector indexes on several studies (Berk Oğuzsoy & Güven, 2003; Cinko & Avci, 2011; Demirer & Karan, 2002; Dicle & Hassan, 2007). These studies examined whether stock returns on the days of the week are equal or not. The day of week effects were found different days for example daily returns on Friday, Tuesday and Monday were the highest; daily returns on Monday, Thursday and Friday were the least return in BIST.
Table 2

Summary of the studies about the day of the week effect in Turkey’s market

Market

Main Finding

Reference

BIST

Friday returns were the highest but there was no evidence of a Monday or Tuesday effect for the period 1988–1996

(Demirer & Karan, 2002)

BIST 100 Index

Friday returns were the highest, Tuesday returns were the least for the period 1988–1999

(Berk Oğuzsoy & Güven, 2003)

BIST

Monday had negative returns, Thursday and Friday had positive returns for the period 1987–2005

(Dicle & Hassan, 2007)

BIST 100 Index

There were not significant differences among returns of the days for the period 2002-2005

(Tunçel, 2007)

BIST 100 Index

Negative Monday and positive Thursday and Friday returns for the period 1995–2008

(Cinko & Avci, 2011)

On the other hand some studies were found the day of the week effect for the years 1990s. Friday and Monday effects were observed for the period from 1988 to 1996 (Metin, Muradoglu, & Yazici, 1997), and stock returns were higher in the second part of week and lower in the first two days of the week from 1988 to 1999 (Bildik, 2001).

The objective of this paper is to examine Monday effect in stock index in Turkey with an updated and extended data set that contains daily stock returns from 2010 to 2014. Previous studies were conducted before 2008. Moreover, 289 companies in Borsa Istanbul classified according to sectors were analysed.

The day of the week effects were found to be varying in the previously mentioned studies. For this reason, this study aimed to reexamine the existence of the day of the week effect in BIST when Monday returns kept constant with a larger amount of data in the BIST.

Method

Research design

The method of least squares was used to obtain the coefficients of the returns of the days of the week. Descriptive statistics were used to define the features of stock returns in the analysis. In order to determine whether there were any significant differences between the means of stock returns, the one-way analysis of variance (ANOVA) was used. This method was used for re-examines the Monday effect in the U.S. stock market, using daily returns (Mehdian & Perry, 2001)

Daily returns of BIST were calculated from the Eq. 1.
$$ {\mathrm{R}}_{\mathrm{t}}\kern0.5em = \ln\ \left[{\mathrm{E}}_{\mathrm{t}}/{\mathrm{E}}_{\mathrm{t}\hbox{-} 1}\right] $$
(1)

Where Rt was daily logarithmic returns of the index at the time t, Et was daily closing values at the time t, Et-1 was daily closing values at the time t-1 in the equation.

Equation 2 was used to analyse for there were any significant differences between the returns in different days of the week in BIST.
$$ {\mathrm{R}}_{\mathrm{t}}\kern0.5em = {\upbeta}_0\kern0.5em + {\upbeta}_1\mathrm{Tuesday} + {\upbeta}_2\mathrm{Wednesday} + {\upbeta}_3\mathrm{Thursday} + {\upbeta}_4\mathrm{Friday} + {\mathrm{E}}_{\mathrm{i}} $$
(2)

Where Rt was daily returns of the index, β0 was coefficient of fixed variable in the model that was coefficient of Monday, β1−β4 were coefficient of regression for the days, the days of Tuesday, Wednesday, Thursday and Friday were dummy variables in the equation

The t-tests were performed to check the means of other day returns which were statistically different from Monday returns. If there were any differences on Monday, this would contradict with the efficient-market hypothesis. The natural logarithm was used to eliminate the negative effect of extreme value in the data set. The hypotheses in the research are stated below, and sub-hypothesis is showed Table 3.
Table 3

The sub-hypothesis of the t-test in the analysis

H0

H1

Hypothesis

  

There is no difference between the average returns on the days of week on Monday in BIST

β = 0

β ≠ 0

Sub-hypothesis

There is no difference between the average returns on

Tuesday and Monday

Wednesday and Monday

Thursday and Monday

Friday and Monday

Data design

In the analysis, listed companies in equity market on the BIST were used in the period of 02.01.2010-22.10.2014. Stock returns of 289 listed companies were calculated according to daily historical stock prices of companies and were classified according to the sectors.

Results and Discussion

The daily stock returns of 289 companies that were constantly traded between 02.01.2010 and 22.10.2014 were studied, and it was analysed if the other days of the week had any effects on Monday when the daily stock returns of Monday were kept constant. The results of the statistical analysis indicated that, the day of the week effects in BIST were found. The stock returns on Monday were affected by the other days. These effects varied according to stocks that were showed in Appendix 1. The average returns of stocks on Monday had all days effects.

A group of stocks which are significant had the all-day effects on Monday stock returns. The closing day returns of these stocks were presented according to the sectors (Table 4). Monday returns were affected negatively by all other days for these stocks that were industrial textile, media, ceramics, iron steel and tourism. All day effect that was found for seven stocks was not common for all stocks. According to the analysis, there were the days of the week effects which are significant on the average stock returns and the effect of each day on stock returns were different (Table 5). According to statistically significant results, 7% of the stocks have the day of effect on Tuesday, 15% on Wednesday, 19% on Thursday, and 17% on Friday.
Table 4

The seven stocks that have the all-day effects which are significant on Monday mean returns

Name of Stock

Sector

Mean Returns

Monday (Base)

Tuesday

Wednesday

Thursday

Friday

AKSA

Industrial Textile

0.490

−0.362

−0.610

−0.502

−0.439

DOBUR

Media

0.477

−0.462

−0.523

−0.769

−0.436

EGSER

Ceramics

0.671

−0.460

−0.829

−0.877

−0.481

KORDS

Industrial Textile

0.342

−0.289

−0.323

−0.465

−0.349

KRDMD

Iron Steel

0.522

−0.497

−0.399

−0.502

−0.513

KUTPO

Ceramics

0.502

−0.411

−0.764

−0.68

−0.483

MARTI

Tourism

0.506

−0.488

−0.724

−0.576

−0.760

Table 5

The quantity of stocks which have the day effects on stock returns

Day Effects

Quantity of stocks

Monday effect

49

Tuesday effect

20

Wednesday effect

44

Thursday effect

55

Friday effect

48

The day of the week effects on the stock returns were grouped according to the sectors, and the number of these stocks were classi fied as negative or positive and showed in Table 6. There were negative effects on the sectors of automotive & parts, holdings, cement and concrete, iron steel, industrial textile, ceramics, tourism, livestock, and retail trader.
Table 6

The quantity of stocks which had the day of the week effects on the stock returns based on the sectors

Sector

The day of week effects

Monday

Tuesday

Wednesday

Thursday

Friday

Positive

Negative

Positive

Negative

Positive

Negative

Positive

Negative

Positive

Negative

Holdings

5

  

1

 

2

 

4

 

5

Cement & Concrete

3

  

1

 

2

 

4

 

4

Iron Steel

3

 

1

2

 

1

 

2

 

1

Industrial Textile

3

  

3

 

3

 

2

 

3

Ceramics

3

  

2

 

2

 

3

 

2

Tourism

3

  

2

 

3

1

3

 

1

Investment Trusts

3

    

4

 

2

 

2

Banking

2

      

1

 

3

Real Estate Investment Trusts

2

   

1

2

1

2

 

3

Food

 

2

1

   

3

1

1

1

Paper

2

    

4

 

1

 

2

Automotive & Parts

6

 

1

  

4

 

6

 

2

Agricultural Chemicals

2

    

2

 

3

 

1

Paint

1

        

2

Consumer Durables

1

 

1

  

1

 

1

 

1

Iron Steel

1

      

1

 

1

Leasing & Factoring

1

    

2

  

1

1

Airlines & Ground Handling Services

1

        

1

Livestock

1

  

1

 

2

 

1

 

1

Construction and Building Materials

1

    

2

 

2

 

1

Media

1

  

1

 

1

 

1

 

1

Marketing

1

    

1

 

1

 

1

Retail Trade

1

  

1

 

1

 

1

 

1

Glass

  

1

    

1

 

1

Information Machines

  

1

  

1

   

1

Insurance

    

1

  

2

  

Electric

     

1

 

1

  

Construction

       

1

  

Technology

     

1

 

1

  

Petroleum

       

1

  

Pharmaceutical and Health

       

1

  

Furniture

         

1

Integrated Textile

         

1

Other

         

1

Total

47

2

6

14

2

42

5

50

2

46

Conclusion

This study examines the Monday effect in listed companies in Borsa Istanbul that is one of the stock market of Turkey. The day of the week effects were found to be varying in the previously mentioned studies. For this reason, this study aimed to re-examine the existence of the day of the week effect in BIST when Monday returns kept constant with a larger amount of data in the BIST. This study covers all companies continuously listed in BIST and it is limited for the 5 years from 2010 to 2014. It is aim to present a statistical evidence of the day of the week effect in Turkey’ market. The results of the statistical analysis of the daily returns on Monday were affected by the other days. These effects were mostly negative and varied according to the stocks and sectors. The sector of food showed positive effects on Monday returns compared to the other sectors on Tuesday, Thursday and Friday. On the other hand, positive effects were found on Monday returns on Tuesday and Thursday. These positive effects were not in the same sectors except for the sector of food. The sectors of airlines & ground handling services, construction, petroleum, pharmaceutical and health, furniture, integrated textile, and others were found to have the least effects. The sectors of automotive & parts, holdings, cement & concrete, and industrial textile were found to have the most effects. These statistical results confirmed the day of the week effects on Monday return for the period from 2010 to 2014 in the BIST. The results of the present study show that the day of the week effect, which is one of the indicator of inefficient stock market, may give possibility to estimate the stock returns in the Turkish emerging stock market. Furute research could be determined the relation between company size and the day of week effect.

Abbreviations

ANOVA: 

The One-way Analysis of Variance

BIST: 

Borsa Istanbul Index

CMB: 

Capital Markets Board of Turkey

DAX: 

German Stock Index

Eq: 

Equation

FTSE: 

Financial Times Stock Exchange

U.S.: 

United States

UK: 

United Kingdom

Declarations

Acknowledgments

None.

Funding

No funding was received for manuscript.

Authors’ contributions

HC carried out literature survey, the data analysis and drafted the manuscript while OB and AHB guided data collection, coordinated the research and carried out the data analysis, and GD collected data and carried out the data analysis. All authors read and approved the final manuscript.

Competing interests

The authors declare that they have no competing interests.

Open AccessThis article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.

Authors’ Affiliations

(1)
Graduate School of Social Sciences, Yildiz Technical University
(2)
Department of Statistics, Yildiz Technical University

References

  1. Ajayi, R. A., Mehdian, S., & Perry, M. J. (2004). The day-of-the-week effect in stock returns: further evidence from Eastern European emerging markets. Emerging Markets Finance and Trade, 40(4), 53–62.Google Scholar
  2. Alt, R., Fortin, I., & Weinberger, S. (2011). The Monday effect revisited: an alternative testing approach. Journal of Empirical Finance, 18(3), 447–460.View ArticleGoogle Scholar
  3. Bayar, A., & Kan, O. B. (2012). Day of the week effects: Recent evidence from nineteen stock markets. Central Bank Review, 2(2), 77–90.Google Scholar
  4. Berk Oğuzsoy, C., & Güven, S. (2003). Stock returns and the day-of-the-week effect in Istanbul Stock Exchange. Applied Economics, 35(8), 959–971.Google Scholar
  5. Bildik, R. (2001). Day of the Week Effects in Turkish Stock and Money Markets. Available at SSRN 259222.Google Scholar
  6. Borsa Istanbul. (2016). From http://www.borsaistanbul.com/ Accessed 21 Jan 2016.
  7. Borsa Istanbul A Story of Transformation. (2013). From http://www.borsaistanbul.com/data/kilavuzlar/Borsa_Istanbul_A_Story_of_Transformation.pdf. Accessed 24 Jan 2016.
  8. Brusa, J., Liu, P., & Schulman, C. (2003). The “Reverse” weekend effect: the US market versus international markets. International Review of Financial Analysis, 12(3), 267–286.View ArticleGoogle Scholar
  9. Carlucci, F. V., Júnior, T. P., Lima, F. G., & Gaio, L. E. (2014). The “Week-Day Effect” anomaly in the behavior of stock index returns of Brazil, Mexico and the USA. Business and Management Review, 3(09), 31–38.Google Scholar
  10. Cinko, M., & Avci, E. (2011). Examining the day of the week effect in Istanbul Stock Exchange (ISE). International Business & Economics Research Journal (IBER), 8(11), 45-50.Google Scholar
  11. Cross, F. (1973). The behavior of stock prices on fridays and mondays. Financial Analysts Journal, 29(6), 67–69.View ArticleGoogle Scholar
  12. Demirer, R., & Karan, M. B. (2002). An investigation of the day-of-the-week effect on stock returns in Turkey. Emerging Markets Finance & Trade, 38(6), 47–77. Google Scholar
  13. Dicle, M. F., & Hassan, M. K. (2007). Day of the week effect in Istanbul Stock Exchange. Scientific Journal of Administrative Development, 5. From SSRN: https://ssrn.com/abstract=930974.
  14. Ernst & Young, Attractiveness Survey Turkey. (2013). From http://www.ey.com/tr/en/issues/business-environment/turkey-attractiveness-survey. Accessed 06 Jan 2016.
  15. French, K. R. (1980). Stock returns and the weekend effect. Journal of Financial Economics, 8(1), 55–69.View ArticleGoogle Scholar
  16. Gibbons, M. R., & Hess, P. (1981). Day of the week effects and asset returns. Journal of Business, 54(4), 579–596.Google Scholar
  17. Keim, D. B., & Stambaugh, R. F. (1984). A further investigation of the weekend effect in stock returns. The Journal of Finance, 39(3), 819–835.View ArticleGoogle Scholar
  18. Lakonishok, J., & Levi, M. (1982). Weekend effects on stock returns: a note. The Journal of Finance, 37(3), 883–889.View ArticleGoogle Scholar
  19. Mehdian, S., & Perry, M. J. (2001). The reversal of the Monday effect: new evidence from US equity markets. Journal of Business Finance & Accounting, 28(7–8), 1043–1065.View ArticleGoogle Scholar
  20. Metin, K., Muradoglu, G., & Yazici, B. (1997). An analysis of the “Day of the Week Effect” on the Istanbul Stock Exchange. Istanbul Stock Exchange Review, 1(4), 15–26.Google Scholar
  21. Rogalski, R. J. (1984). A further investigation of the weekend effect in stock returns: Discussion. Journal of Finance, 39(3), 835–837.Google Scholar
  22. Steeley, J. M. (2001). A note on information seasonality and the disappearance of the weekend effect in the UK stock market. Journal of Banking & Finance, 25(10), 1941–1956.View ArticleGoogle Scholar
  23. Tunçel, A. K. (2007). IMKB'de Haftanin Günü Etkisi. Akdeniz Üniversitesi IIBF Dergisi, 13, 252–265.Google Scholar

Copyright

© The Author(s). 2017

Advertisement