z-logo
open-access-imgOpen Access
Calendar Anomalies and Turkish Real Estate Investment Trusts (REITs)
Author(s) -
Ali Hepşen
Publication year - 2012
Publication title -
international journal of economics and finance
Language(s) - English
Resource type - Journals
eISSN - 1916-9728
pISSN - 1916-971X
DOI - 10.5539/ijef.v4n3p230
Subject(s) - real estate investment trust , real estate , ordinary least squares , economics , financial economics , index (typography) , names of the days of the week , stock exchange , stock market index , stock (firearms) , stock market , econometrics , finance , geography , context (archaeology) , archaeology , world wide web , computer science , linguistics , philosophy

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.

The content you want is available to Zendy users.

Already have an account? Click here to sign in.
Having issues? You can contact us here