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Can Day of the Week Effect be Explained by Interbank Rates: An Evidence from an Emerging Market

Ekrem Tufan
Canakkale Onsekiz Mart Universtiy, School of Tourism and Hotel Management


April 12, 2005


Abstract:     
This paper reports the results of various tests of the day of the week effects using daily observations on the National 30 Index for Turkish stock exchange and interbank rates for the period January 3, 1997 and July 23, 2001. It is also searched whether day of the week effects be explained by interbank rates or not. While significant evidence of day of the week effects is reported and tried to explain it's reasons in literature, there is no significant explanation about it. The paper reports a significant day of the week effects for both market and investors can beat the markets and earn excess returns by using an active trading strategy than a simple buy and hold strategy. It's also could be said day of the week effect can be explained by interbank rates for an emerging market, namely Turkey.

Keywords: Day of the week effects, Turkish stock market and interbank market

JEL Classifications: C14, C32, G14

Working Paper Series

Date posted: April 11, 2005 ; Last revised: April 16, 2005

Suggested Citation

Tufan, Ekrem, Can Day of the Week Effect be Explained by Interbank Rates: An Evidence from an Emerging Market (April 12, 2005). Available at SSRN: http://ssrn.com/abstract=633481


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Contact Information

Ekrem Tufan (Contact Author)
Canakkale Onsekiz Mart Universtiy, School of Tourism and Hotel Management ( email )
Terzioglu Yerleskesi
Canakkale 17100
Turkey
+90 286 218 00 18 (1545) (Phone)
+90 218 05 47 (Fax)
HOME PAGE: http://etufan.wordpress.com
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