REFERENCES


Aktas, H. and Kozoglu, M., 2007. Haftanın Günleri Etkisinin İstanbul Menkul Kıymetler
Borsası’nda GARCH Modeli ile Test Edilmesi. Finans, Politik &
Ekonomik Yorumlar Dergisi, 44(514), pp. 37-45.

Allen, P.R. and Sirmans, C.F., 1987. An analysis of gains to acquiring firm’s
shareholders – the special case of REITs. Journal of Financial
Economics, 18, pp. 175-184.

Ariel R., 1987. A monthly effect in stock returns. Journal of Financial Economics, 18,
pp. 161–174.

Balaban, E., 1995. Day of the Week Effects: New Evidence from an Emerging Market.
Applied Economics Letters, 2, pp.139-143.

Berument, H. Inamlik, A. and Kiymaz, H., 2004. The Day Of The Week Effect On
Stock Market Volatility:The Case of Istanbul Stock Exchange. İktisat
İşletme ve Finans, 19(223), pp. 91-102.

Bildik, R., 2000. Hisse Senedi Piyasalarında Dönemsellikler ve İMKB üzerine Ampirik
Bir Çalışma. İMKB Yayınları, İstanbul.
Bollerslev, T., 1986. Generalized Autoregressive Conditional Heteroskedasticity.
Journal of Econometrics, April, 31(3), pp. 307–27.

Brown, S. and Warner, J., 1985. Using Daily Stock Returns: The Case of Events
Studies, Journal of Financial Economics, 14, pp. 3-31.

Case, B. Yang, Y. and Yildirim, Y., 2012. Dynamic correlations among asset classes:
REIT and stock returns. Journal of Real Estate Finance & Economics,
44(3), pp. 298-318.

Chan, S.H. Chen, J., and Wang, K., 2013. Are REIT IPOs Unique?: The Global
Evidence. Journal of Real Estate Finance & Economics, 47, pp. 719-759.

Chan, S.H. Leung, W. and Wang, K., 2005. Changes in REIT structure and stock
performance: Evidence from the Monday stock anomaly. Real Estate
Economics, 33, pp. 89-120.

Chan, K.C., Hendershott, P.H. and Sanders, A.B., 1990. Risk and Return on Real
Estate : Evidence from Equity REITs. AREUEA Journal, 18, pp. 431-52.

Clayton, J. and MacKinnon, G., 2003. The Relative Importance of Stock, Bond and
Real Estate Factors in Explaining REIT Returns. Journal of Real
Estate Finance and Economics, 27(1), pp. 39-60.

Compton, W.S. Johnson, D.T. and Kunkel, R.A., 2006. The turn-of-the-month effect in
real estate investment trusts (REITs). Managerial Finance, 32(12), pp. 969-980.

Dicle M and Hassan, K., 2007. Day of the Week Effect in Istanbul Stock Exchange.
Scientific Journal of Administrative Development, 5.

Dirk, B. and Ben-Hamo, Y., 2009. Calendar anomalies: The case of international
property shares. The Journal of Real Estate Finance and Economics, 38(2), pp. 115-136.

Ergul, N. Akel, V. and Dumanoglu, S., 2009. Haftanın Günü Etkisi İMKB İkinci Ulusal
Pazar’da Geçerli midir?. Maliye ve Finans Yazıları Dergisi, 22(82), pp. 57-73.

Friday S.H. and Higgins, E.J., 2000. The day of the week effect in real estate
investment trusts. Journal of Real Estate Portfolio Management, 6, pp. 273-282.

Glascock, J.L. Lu, C. and So, R.W., 2000. Further Evidence on the Integration of
REIT, Bond, and Stock Returns. The Journal of Real Estate Finance
and Economics, 20(2), pp.177-194.

Hardin, W.G. Liano, K. and Huang, G.C., 2005. Real estate investment trusts and
calendar anomalies: Revisited. International Real Estate Review, 8,
pp. 83-94.
Hepsen, Ali, 2012. Calendar Anomalies and Turkish Real Estate Investment Trusts
(REITs). International Journal of Economics and Finance, 4(3).

Hudson-Wilson, S., 2001. Why Real Estate?. The Journal of Portfolio Management,
Fall, pp. 20-32.

Keim, D.B., 1983. Size related anomalies and stock return seasonality: Further
empirical evidence. Journal of Financial Economics, 12(1), pp.13-32.

Kıyılar, M. and Karakas, C., 2005. İstanbul Menkul Kıymetler Borsasında Zamana
Dayalı Anomalilere Yönelik Bir İnceleme. Yönetim Dergisi İ.Ü.,İşletme
İktisadı Enstitüsü, pp.16-52.

Lenkkeri, V. Marquering, W. Strunkmann-Meister, B., 2006. The Friday effect in
European securitized real estate index returns. Journal of Real Estate
Finance and Economics, 33(1): 31-50.

Li, Y. Wang, K., 1995. The Predictability of REIT Returns and Market Segmentation.
The Journal of Real Estate Research, 10, pp. 471-482.

Ling, D.C. and Naranjo, A., 1999. The Integration of Commercial Real Estate Markets
and Stock Markets. Real Estate Economics, 27, pp. 483-515.

Liu, C.H. and Mei, J., 1992. The Predictability of Returns on Equity REITs and Their
Co-Movement with Other Assets. Journal of Real Estate Finance and
Economics, 5(4), pp. 401-418.

Mei, J. and Liu, C., 1994. The Predictability of Real Estate Returns and Market Timing.
Journal of Real Estate Finance and Economics, 8, pp.115-135.

Muradoğlu, G. and Oktay, F., 1993. Türk Hisse Senedi Piyasasında Zayıf Formda
Etkinlik, Takvim Anomalileri. H.Ü. İİBF Dergisi, 11, pp. 51-62.

Nelson, Daniel B., 1991. Conditional Heteroskedasticity in Asset Returns: A New
Approach. Econometrica, 59(2), pp. 347-370.

Ogden, J., 1990. Turn-of-the-Month Evaluation of Liquid Profits and Stock Returns: A
Common Explanation of the Monthly and January Effects. Journal of
Finance, 45, pp. 1259-72.

Oguzsoy, C.B. and Guven, S., 2003. Stock Returns and the Day-of-the-Week Effect in
İstanbul Stock Exchange. Applied Economics, 35, pp. 959-971.

Ozer, G. and Ozcan, M., 2002. IMKB’da Ocak etkisi, etkinin surekliligi, firma
buyuklugu ve portfoy denklestirilmesi uzerine deneysel bir arastirma.
Suleyman Demirel Universitesi Iktisadi ve Idari Bilimler Fakultesi, 7(2), pp.133-158.

Ozmen, T., 1997. Dunya Borsalarinda Gozlemlenen Anomaliler ve Istanbul Menkul
Kıymetler Borsasi Uzerine Bir Deneme. Sermaye Piyasasi Kurulu
Yayinlari, No.1.

Price, S.M, Gatzlaff, D.H., and Sirmans, C.F., 2012. Information uncertainty and the
post-earnings announcement drift anomaly: Insights from REITs.
Journal of Real Estate Finance and Economics, 44 (1/2), pp. 250-274.

Redman, A.L. Manakyan, H. and Liano, K., 1997. Real estate investment trusts and
calendar anomalies. Journal of Real Estate Research, 14(1), pp. 19-28.

Roll, R., 1983. Vas ist das? The Turn of the Year Effect and the Return Premium of
Small Fims. Journal of Portfolio Management, 9, pp.18-28.

Rozeff, M.S. and Kinney, W., 1976. Capital market seasonality: The case returns. Journal of Financial Economics, 4(3), pp. 379-402.

Seyhun, H.N., 1993. Can Omitted Risk Factors Explain the January Effect? A
Stochastic  Dominance  Approach.  Journal  of  Financial  and
Quantitative Analysis, 28, pp. 195-212.

Smith, K.V. and Shulman, D., 1976. The Performance Record of the Equity REITs.
Financial Analysts Journal, 32, pp. 61-66.

Tuncel A.K. , 2007. İMKB’de Haftanın Günü Etkisi. Akdeniz İİBF Dergisi, 13, pp. 252-265.

Wiley, J.A. and Zumpano, L.V., 2009. Institutional Investment and the Turn-of-the-
Month Effect: Evidence from REITs. Journal of Real Estate Finance
and Economics, 39, pp.180-201.

Wilson, P.J. and Okunev, J., 1996. Evidence of segmentation in domestic and
international property markets. Journal of Property Finance, 7(4), pp. 78-97.

Zerbst, R.H. and Cambon, B.R., 1984. Real Estate: Historical Returns and Risks.
Journal of Portfolio Management, 10, pp. 5-20.