The day of the week effect in stock markets: An empirical study on ISE indices

The ?Day of the Week Effect? has been a frequently-observed seasonal anomaly, on which a great deal work has been put forth. It has also brought into question the validity of the market efficiency hypothesis? assumptions and foresights in regard to whether stock returns are dependent on the day of the week. This paper utilizes GARCH models to examine the `day of the week effect? in the Istanbul Stock Exchange Market. Using the most recent data set, the prospective empirical research indicates the persistent presence of the ?day of the week effect?, and it reveals that the returns on Thursdays and Fridays have been positive and significant in statistical sense. In addition, the study also argues and emphasizes that the existence of the ?day of the week effect? can not be explained by variation in the conditional risk