Day of the Week Effect on Foreign Exchange Market Volatility: Evidence from Turkey

Research in International Business and Finance, Vol.21, No.1, pp.87-97, 2007

Posted: 30 Jul 2018

See all articles by Hakan Berument

Hakan Berument

Bilkent University - Department of Economics

Nejat Coskun

Gazi University

Afsin Sahin

Ankara Haci Bayram Veli University - Department of Banking

Date Written: January 2007

Abstract

This paper assesses the day of the week effect of the daily depreciation of the Turkish lira (TL) against the US dollar (USD) and its volatility. The empirical evidence from Turkey presented here suggests that Thursdays are associated with higher and Mondays with lower depreciation rates compared to those of Wednesdays. Moreover, Mondays and Tuesdays are associated with higher volatility than Wednesdays.

Keywords: Exchange Rate; Day of the Week Effect; Volatility

JEL Classification: F31; C32; G14

Suggested Citation

Berument, Hakan and Coskun, Nejat and Sahin, Afsin, Day of the Week Effect on Foreign Exchange Market Volatility: Evidence from Turkey (January 2007). Research in International Business and Finance, Vol.21, No.1, pp.87-97, 2007. Available at SSRN: https://ssrn.com/abstract=3210733

Hakan Berument (Contact Author)

Bilkent University - Department of Economics ( email )

06533 Ankara
Turkey

Nejat Coskun

Gazi University ( email )

Teknikokullar Ankara, 06500
Turkey

Afsin Sahin

Ankara Haci Bayram Veli University - Department of Banking ( email )

Turkey
00903122162116 (Phone)
00903122162111 (Fax)

HOME PAGE: http://www.websitem.gazi.edu.tr/site/afsinsahin

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