Does the Day of the Week Effect Apply in the ISE Second National Market?

Nuray Ergül, Veli Akel and Sezai Dumanoğlu
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Nuray Ergül: Marmara University
Veli Akel: Bozok University
Sezai Dumanoğlu: Marmara University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2009, vol. 24, issue 82, 48-65

Abstract: The day-of-the-week effect patterns in ISE Second National Market Index (former name ISE Regional and New Companies In- dex) are examined using daily logarithmic data according to the OLS model during the period of January 1997 and December 2007. The highest average return, significant at 5%, is observed on Friday, while the lowest return is observed on Wednesday. This re- sult holds for only two of the subperiods (2002 and 2006) during the 2000-2007 sampling period. In 2000 and 2001, Thursday is the second day for which average return of ISE Second National Market Index is all negative for the same period consistently. The mean returns of the days of the week are not significantly different from zero in the other years of the analysis period.

Keywords: Daily Anomaly; The One Way Variance (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:24:y:2009:i:82:p:48-65

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