Day-Of-The-Week Effects in Overnight Interest Rates: Evidence from Turkish Money Markets

Recep Bildik

Istanbul Stock Exchange Review, 1998, vol. 2, issue 6, 49-78

Abstract: This study examines the daily seasonalities in Turkish Money Markets. Day-of-the week effects in overnight interest rates in the Central Bank Interbank Money and Istanbul Stock Exchange Repo Markets are investigated. Results show that overnight interest rates significantly fall on Wednesdays and increase on Mondays relative the previous days which indicated the existence of significant day-of-the-week-effect in overnight interest rates. There are also two other strong trends in interest rates indicate the decrease on Tuesdays and increase on Fridays. Some evidences are documented for the relationship between the existence of day effect in overnight interest rates and Treasury Public Borrowing Auctions, institutional practices, strategies of market participants and the other factors which effect the liquidity conditions of the market and create the seasonality in liquidity. Findings are consistent with the liquidity conditions of the market, the liquidity and so money policy of the Central Bank and Treasury Auction-related practices for the day-of-the-week effect in overnight interest rates which shows that regulatory bodies of the markets and public authorities have an important creative impact on the seasonalities in interest rates.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:bor:iserev:v:2:y:1998:i:6:p:49-78

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