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BUSINESS AND ECONOMICS RESEARCH JOURNAL

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Article Information
Journal: Business and Economics Research Journal
Title of Article: Investigation of the Anomaly Existence in the Advanced and Emerging Markets
Author(s): İbrahim Bozkurt
Volume: 6
Number: 4
Year: 2015
Page: 19-37
ISSN: 1309-2448
Abstract
The main aim of this study is to investigate the existence of the anomalies which are the day of the week effect, Friday the thirteenth effect, January effect and full moon effect and is to reveal whether or not these anomalies become different between the advanced and emerging markets if there are these anomalies. In this study which used the daily close prices of 6 advanced and 6 emerging market indexes between 2000-2014 as data, the hypothesizes were tested by using Mann-Whitney U and Kruskal Wallis H tests. The findings of this study have revealed that there is the day of the week anomaly in Brazil, Peru, Poland, the United Kingdom and the Singapore stock exchanges; there is January anomaly in India and the UK stock exchanges; there is full moon anomaly in Turkey, Brazil, Poland, Japan, the USA and Canadian stock exchanges and there is Friday the thirteenth anomaly in Mexico. The findings of this study have also revealed that there is not a relationship between the development levels of the markets and aforementioned anomalies.
Keywords: Anomaly, index, stock return, advanced market, emerging market
JEL Classification: G02, G12, G15

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