The day of the week effect on the Istanbul Stock Exchange

The Day Of The Week Effect Abstract This paper investigates the day of the week effect on the Istanbul Stock Exchange (ISE) by comparing the returns of the stocks for different days of the week. Totally, 115 stocks listed in ISE for more than 10 years (1992-2002) were included in the study. The data consisted of daily closing prices (on the closest contract) for each of these stocks during the selected period. The daily returns were calculated as percentage price changes. These daily returns were than used to test two alternative models: S The trading time model ?S The calendar time model The methodology used is similar to ones followed by French and by Gibbson and Hess. On the other hand, if the returns are generated in trading time, the returns for all five days reflect one day investment; hence the mean return will be expected to be the same for each day of the week. In other words, there should be no systematic difference between Monday and the other days of the week. According to the calendar time model, the returns for Monday represent a three- calendar day investment, from the close of trading Friday to the close of trading Monday, while the returns for the other days represent a one-day investment. Hence the mean return on Monday will be expected to be three times the mean for the other days of the week.