Day of the Week Effect in Istanbul Stock Exchange

Scientific Journal of Administrative Development, Vol. 5, 2007

27 Pages Posted: 18 Sep 2006 Last revised: 10 May 2009

See all articles by Mehmet F. Dicle

Mehmet F. Dicle

Loyola University New Orleans - Joseph A. Butt, S.J. College of Business; Research ATA, LLC

M. Kabir Hassan

University of New Orleans - College of Business Administration - Department of Economics and Finance

Abstract

Market anomalies are reported for developed markets as well as for emerging markets. While day of the week effect is the most reported anomaly, it is also the most persistent one. We employ AR-GARCH-M model to estimate the day of the week effect for all of the Istanbul Stock Exchange indexes for the period starting from 1987 until the end of 2005. We find statistically significant day of the week effect for Mondays (with negative returns), for Thursdays (with positive returns) and for Fridays (with positive returns). We model each index differently in terms of AR and GARCH-M orders, which increases the efficiency of our estimation significantly. We also employ difference-in-mean and difference-in-variation tests to confirm our results.

Keywords: Market efficiency, ISEC, day-of-the-week effect

JEL Classification: G14

Suggested Citation

Dicle, Mehmet F. and Hassan, M. Kabir, Day of the Week Effect in Istanbul Stock Exchange. Scientific Journal of Administrative Development, Vol. 5, 2007. Available at SSRN: https://ssrn.com/abstract=930974

Mehmet F. Dicle (Contact Author)

Loyola University New Orleans - Joseph A. Butt, S.J. College of Business ( email )

6363 St. Charles Avenue
New Orleans, LA 70118
United States

HOME PAGE: http://researchforprofit.com

Research ATA, LLC ( email )

Mandeville, LA 70448
United States

HOME PAGE: http://researchata.com

M. Kabir Hassan

University of New Orleans - College of Business Administration - Department of Economics and Finance ( email )

2000 Lakeshore Drive
New Orleans, LA 70148
United States

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