  This study examines the monthly returns in Turkish and American stock market
indices to investigate whether these markets experience abnormal returns during
some months of the calendar year. The data used in this research includes 212
observations between January 1996 and August 2014. I apply statistical summary
analysis, decomposition technique, dummy variable estimation, and binary
logistic regression to check for the monthly market anomalies. The
multidimensional methods used in this article suggest weak evidence against the
efficient market hypothesis on monthly returns. While some months tend to show
abnormal returns, there is no absolute unanimity in the applied approaches.
Nevertheless, there is a strikingly negative May effect on the Turkish stocks
following a positive return in April. Stocks tend to be bullish in December in
both markets, yet we do not observe anya significant January effect is not
observed.
