Day of the week effects: new evidence from an emerging stock market

Ercan Balaban

143 citations0/0 files storedApplied Economics Letters

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

Abstract

The primary objective is to investigate day of the week effects in an emerging stock market of a developing country, namely Turkey. Empirical results verify that although day of the week effects are present in Istanbul Securities Exchange Composite Index (ISECI) return data for the period January 1988 to August 1994, these effects change in direction and magnitude through time.

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References

1980Stock returns and the weekend effect 1981Day of the Week Effects and Asset Returns 1984A Further Investigation of the Weekend Effect in Stock Returns 1973The Behavior of Stock Prices on Fridays and Mondays 1985The Week-End Effect in Common Stock Returns: The International Evidence 1994Anomalies or illusions? Evidence from stock markets in eighteen countries 1982Weekend Effects on Stock Returns: A Note 1986Day-of-the-week and intraday effects in stock returns

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1997Security price anomalies in the London International Stock Exchange: a 60 year perspective 2003Testing weak-form market efficiency: Evidence from the Istanbul Stock Exchange 2006Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach 2005Calendar Effects in Chinese Stock Market 2006Performance of soccer on the stock market: Evidence from Turkey 2015The efficient market hypothesis and calendar anomalies: a literature review

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