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2003•Unpublished venueRequires access

The Day of the Week Effect on Stock Market Volatility and Volume: International Evidence

Hakan Berument, Halil Kiymaz

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Abstract

Abstract: This study investigates the day of the week effect on return and volatility for Istanbul Stock Exchange (ISE) throught the period 1986 and 2003. Using generalized autoregressive conditional heteroskedasticity (GARCH) model, we find statistically significant evidence to report that there is the day of the week effect. Friday has the highest effect on return with 0,015 while Monday has the lowest return with-0,003 compared to return on Wednesday. When volatility of return is concerned, Monday has the highest volatility with 0,933 and Tuesday has the lowest volatility with –0,716 compared to return on Wednesday.

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What this paper is about

Abstract: This study investigates the day of the week effect on return and volatility for Istanbul Stock Exchange (ISE) throught the period 1986 and 2003. Using generalized autoregressive conditional heteroskedasticity (GARCH) model, we find statistically significant evidence to report that there is the day of the week effect. Friday has the highest effect on return with 0,015 while Monday has the lowest return with-0,003 compared to return on Wednesday. When volatility of return is concerned, Monday has the highest volatility with 0,933 and Tuesday has the lowest volatility with –0,716 compared to return on Wednesday.

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Available abstract

Abstract: This study investigates the day of the week effect on return and volatility for Istanbul Stock Exchange (ISE) throught the period 1986 and 2003. Using generalized autoregressive conditional heteroskedasticity (GARCH) model, we find statistically significant evidence to report that there is the day of the week effect. Friday has the highest effect on return with 0,015 while Monday has the lowest return with-0,003 compared to return on Wednesday. When volatility of return is concerned, Monday has the highest volatility with 0,933 and Tuesday has the lowest volatility with –0,716 compared to return on Wednesday.

Key concepts: Volatility (finance), Economics, Monetary economics, Financial economics, Stock market, Geography, Context (archaeology), Archaeology

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