This PhD dissertation research primarily aims to empirically investigate into two major, but distinct, financial topics, using data from Turkey, with special reference to both return and volatility seasonality, in terms of four different calendar effects, with asymmetric time varying volatility, and effectiveness of hedging foreign exchange risk in stock market investments. These two topics are presented in two separate, self-contained and stand-alone empirical chapters. To the best of my knowledge, most parts of my research into the Turkish stock market in these contexts seem to remain as a first attempt. Using firm-level intra-day and daily data sets from the Istanbul Stock Exchange, the first topic of my dissertation primarily aims to test weak form informational efficiency with respect to calendar effects, risk-return relationship, and asymmetric conditional volatility. For these three main research concerns, I employ a unified framework, modified threshold asymmetric conditional heteroscedasticity in mean model, with return and volatility seasonality dummy variables. The overall empirical results suggest that there is significant seasonality in both stock returns and their conditional volatility at firm level. However, most of these calendar effects seem to be supported by a positive risk-return relationship in a mean-variance pricing framework. It is clear that only systematic risk is priced; and the conditional volatility estimates as a proxy for total risk do not seem significant. In addition, the asymmetric effects in the conditional volatility seem to remain negligible. The second topic of my dissertation primarily focuses on the effectiveness of hedging foreign exchange risk in stock market investments. A strong conclusion for the full sample analysis can be derived such that the hedging foreign exchange rate risk in the Turkish stock market is always effective or necessary for all individual firms investigated and the market portfolio itself, and regardless of any of the six foreign currencies used for investment. The monthly time varying analysis suggests that hedging foreign exchange risk is required for most of the time for all firms and the market portfolio itself, and regardless of currency chosen.