IS IT POSSIBLE TO GET ABNORMAL RETURN UNDER THE ASSUMPTION OF CALENDAR ANOMALIES?

Abstract

In this study, calendar anomalies, a topic that many researchers focus on, are examined. It is being investigated whether it is possible to obtain an abnormal return with the perception of anomaly in a market. For this reason, the Event Study method is used and the holiday effect anomaly is emphasized. Within the scope of the study, national and religious holidays in Turkey were discussed. In the study; daily data were used for the years 2017, 2018 and 2019. Thus, it has tried to determine whether there is a holiday anomaly could provide abnormal returns in Turkey. Sector-based research results do not reveal any important situation in other sectors except the service sector. In the service sector, it has been observed that abnormal returns are predominantly positive before national holidays and negative abnormal returns before religious holidays. Briefly, it is necessary to pay attention especially to the service sector around the holiday periods. In the near-holiday periods, there is an opportunity in order to obtain an extraordinary return from the service sector, as well as the sector risks more during these periods.