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ndamental nor technical analysis can be used to achieve superior gains. Investors should concentrate on constructing and holding efficiently diversified portfolios.

2.6 Empirical Evidences
Based on the literature, it can be seen that there are two competing schools of thoughts about market efficiency. The first school argues that markets are efficient and as a result, returns cannot be predicted. For example early studies (Working, 1934; Kendall, 1943, 1953; Cootner, 1962; Osborne, 1962; Fama, 1965) on developed markets support the weak form efficiency of the market with a low degree of serial correlation and transaction cost. The studies in this school of thought, support the Efficient Market Hypothesis (EMH) and show that price changes could not be used to forecast future price changes, especially after transaction costs were taken into account.

The second school, on the other hand, provides empirical evidence of a€˜anomalies' that contradict the theory of efficient markets. Some of these studies are Summers (1986), Keim (1988), Fama and French (1988), Lo and MacKinlay (1988) and Poterba and Summers (1988). They found some a€˜anomalies', which could not be explained by the theory of Fama (1965). Some of the market anomalies that they found are:

· January Effect/Turn of The Year Effect
Stock returns are usually abnormally high during the first few days of January. The January effect occurs because many investors choose to sell some of their stock right before the end of the year in order to claim a capital loss for tax purposes. Then they quickly reinvest their money after the new year, causing stock prices to rise. Rozeff and Kinney (1976) was among the first to prove this market anomaly. Rozeff and Kinney (1976) methodology gives smaller companies greater relative influence than would be true in value-weighted indices where large firms dominate. Subsequent researches (Reinganum, 1983; Roll, 1983, among others) later confirm that the January effect is a small cap phenomenon.

· Size Effect/Small Firm Effect
The Size Effect is the tendency for firms with a small market capitalization to outperform larger companies over the long term. For example Banz (1981) and Reinganum (1981) showed that small-capitalization firms on the New York Stock Exchange (NYSE) earned a return in excess of what would be predicted by the Sharpe (1964) a€“ Linter (1965) capital asset-pricing model (CAPM) from 1936-1975. However as mentioned by G.W. Schwert(2003, p.943), it seems that the small-firm anomaly has disappeared since the initial publication of the papers that discovered it. Alternatively, the differential risk premium for small-capitalization stocks has decreased over the years.

· Weekend Effect/Day of The Week Effect
This is a phenomenon in which stock returns on Mondays are often significantly lower than those of the immediately preceding Friday. French (1890) observed this anomaly. He noted that the average return to the Standard and Poor's (S&P) Composite Portfolio was reliably negative over weekends in the periods 1953-1977. Again, like the size effect, the weekend effect seems to have disappeared, or at least substantially attenuated, since it was first documented in 1980.

· Value Effect/Price Earnings Ratio Effect
The value effect refers to the tendency for stocks with low price earnings ratio to outperform portfo