Etkin Piyasalar Hipotezi Kapsamında İmalat Sektöründe Haftanın Günleri Anomalisi

Özet

The Efficient Markets Hypothesis defines investors as individuals who are able to solve problems in order to maximise their utility and who do not let their emotions interfere with their decisions. It argues that investors are rational, that is, they act like a robot. In the Efficient Markets Hypothesis, rational people make certain decisions and make calculable preferences with the expected utility theory when making investment choices, and the Efficient Market Hypothesis, which argues that the information entering the market will be automatically reflected in the prices, accepts investors as the same and error-free. In this study, in addition to the 2001 and 2008 crisis periods, the impact of which has been revealed in many studies, it has been investigated whether there is a days of the week effect on stocks traded in the sub-sectors in the manufacturing sector according to the Public Disclosure Platform (KAP) classification during the Covid-19 period. Considering for one sector, three crisis periods and each crisis period consisted of two parts as pre- and post-crisis periods, and as a result, six periods were analysed for one sector. Since eight sub-sectors were analysed, a total of forty-eight periods were analysed and the days of the week effect was examined. OLS dummy variable method was used in the research. When the results are analysed, the average returns on Monday twelve times, Tuesday five times, Thursday ten times and Friday three times in forty-eight periods differed significantly from the BIST average return.