Day of the Week Effect in Istanbul Stock Exchange

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.

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