Investigation of The Months of The Year Anomalies on Return and Volatility in The Stock Market: Istanbul Stock Exchange Application

The aim of in this study, the existence of the months of the year in the BIST is determined and the effects of the determined anomalies on the volatility and return in the BIST are determined. In order to investigate the anomalies and volatility, daily closing data of BIST 100, BIST Mali, BIST Service, BIST Sinai and BIST Technology indices were used between 2002 and 2016 and analyzed with ARCH-GARCH methods. In addition, in order to see the effect of 2008 Global Crisis in the study, two periods were considered between 02.01.2008-30.08.2009 for crisis period and period except Crisis. As a result of the work done, except for the crisis and the crisis the months of the year effect anomalies were determined on the volatility in the Turkish markets