Calendar Anomalies and Turkish Real Estate Investment Trusts (REITs)

Ali HEPSEN

Abstract


This study investigates the presence of calendar anomalies (January Effect; Day of the Week Effect; Turn of the Month Effect) on the daily returns at Istanbul Stock Exchange (ISE) real estate investment trusts (REIT) market. Although there have been numerous studies in the finance literature on the existence of calendar anomalies in common stocks but a few studies of anomalies in the markets for REITs. The research covers the period of January 4, 2000 to December 31, 2010, and the empirical study applies the ordinary least squares (OLS) model with dummy variables to investigate the calendar effects. The results prove that the daily returns of ISE REIT Index in January shows a statistically significant difference from other months. For the day of the week anomalies, statistics indicate that ISE-REIT Index daily returns on Tuesdays, Wednesdays, Thursdays and Fridays are significantly higher than the returns on Monday. This provides evidence of a day of the week effect in the market. On the other hand, the average return in turn of the month trading days is significantly higher than the average return in non turn of the month trading days and that is the existence of the turn of the month effect. In addition, there is no any previous study analyzing the calendar anomalies in REIT market. At this point, this paper is the first academic study that investigates anomalous behavior in REIT returns in Turkey.


Full Text: PDF DOI: 10.5539/ijef.v4n3p230

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International Journal of Economics and Finance  ISSN  1916-971X (Print) ISSN  1916-9728 (Online)

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