This study examines the January anomaly at the industry level in the emerging Istanbul Stock Exchange (ISE). Analyses of the data from 1986 through 2007 provide evidence for the anomaly. There is also strong evidence that the anomaly has partially shifted to December of the previous year....

This study measures the performance of the pairs trading strategy in an emerging stock market setting, using the methodology of Gatev et al. (2006). Distance-based pairs trading methodology gives an average excess return of 5.4 % for the top 20 best pairs portfolios. Although statistically...