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
Date Written: January 2007
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: Suggested Citation