The impact of natural time cycles on Borsa Istanbul returns: An analysis of BIST based on ARDL and cointegration

This study aims to examine the potential effects of natural time cycles on the returns of the Istanbul Stock Exchange (BIST) using econometric methods. These time-based elements, considered under the headings of calendar effects and behavioural anomalies in the financial literature, can indirectly influence investor sentiment and market dynamics. In this context, the study analyses the relationship between time indicators representing the phases of the moon (new moon, full moon, first quarter, and last quarter) and the daily returns of the BIST 100 index. Daily BIST 100 index data from 2014:01–2025:03 were used in the analyses. To examine the short- and long-term relationships among the variables, the ARDL bounds test was used, along with FMOLS, DOLS, and CCR cointegration estimators. The findings indicate that, according to the ARDL results, there are statistically significant relationships between the variables representing the phases of the moon and BIST 100 returns in the short term. In contrast, when long-term coefficients were evaluated using FMOLS, DOLS, and CCR estimators, it was concluded that these time cycles did not persistently affect the BIST 100 index. These findings indicate that some short-term market fluctuations may reflect deviations from rational expectations and that timing-based factors may influence investor behaviour. However, the results show that such effects are not systematically and sustainably reflected in market prices in the long term. The study emphasises that natural time cycles can be considered a potential behavioural anomaly in financial markets, but this relationship should be interpreted cautiously and with limited insight.