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Day of the week effects: new evidence from an emerging stock market

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  • Ercan Balaban
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    Abstract

    The primary objective is to investigate day of the week effects in an emerging stock market of a developing country, namely Turkey. Empirical results verify that although day of the week effects are present in Istanbul Securities Exchange Composite Index (ISECI) return data for the period January 1988 to August 1994, these effects change in direction and magnitude through time.

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    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/135048595357465&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

    Volume (Year): 2 (1995)
    Issue (Month): 5 ()
    Pages: 139-143

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    Handle: RePEc:taf:apeclt:v:2:y:1995:i:5:p:139-143

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    Cited by:
    1. Ferhan Salman, 1999. "Risk-return-volume relationship in an emerging stock market," Discussion Papers 9901, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    2. Dumitriu, Ramona & Stefanescu, Razvan, 2013. "DOW effects in returns and in volatility of stock markets during quiet and turbulent times," MPRA Paper 47218, University Library of Munich, Germany, revised 02 Apr 2013.
    3. Miguel Balbina & Nuno C. Martins, 2002. "The Analysis of Seasonal Return Anomalies in the Portuguese Stock Market," Working Papers w200211, Banco de Portugal, Economics and Research Department.
    4. Ercan Balaban & Kursat Kunter, 1996. "Financial Market Efficiency in a Developing Economy : The Turkish Case," Discussion Papers 9611, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    5. Ercan Balaban, 1995. "Informational Efficiency of the Istanbul Securities Exchange and Some Rationale for Public Regulation," Discussion Papers 9502, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    6. repec:bor:iserev:v:12:y:2012:i:45:p:59-95 is not listed on IDEAS
    7. Buguk, Cumhur & Wade Brorsen, B., 2003. "Testing weak-form market efficiency: Evidence from the Istanbul Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 12(5), pages 579-590.
    8. repec:bor:iserev:v:12:y:2012:i:45:p:1-26 is not listed on IDEAS
    9. Ferhan Salman & Aslihan Salih, 1999. "Modeling the Volatility In the Central Bank Reserves In An Emerging Market Setting," Working Papers 9901, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    10. Michael Batuo Enowbi & Francesco Guidi & Kupukile Mlambo, 2010. "Testing the Weak-form Market Efficiency and the Day of the Week Effects of some African Countries," The African Finance Journal, Africagrowth Institute, vol. 12(Conferenc), pages 1-26.
    11. Lei Gao & Gerhard Kling, 2005. "Calendar Effects in Chinese Stock Market," Annals of Economics and Finance, Society for AEF, vol. 6(1), pages 75-88, May.
    12. Ercan Balaban, 1995. "January Effect, Yes. What About Mark Twain Effect?," Discussion Papers 9509, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    13. Shuhong Kong & Majid Taghavi, 2006. "The Effect of Annual Earnings Announcements on the Chinese Stock Markets," International Advances in Economic Research, Springer, vol. 12(3), pages 318-326, August.
    14. Ercan Balaban, 1995. "The Term Structure of Volatility in the Turkish Stock Market," Discussion Papers 9510, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    15. Bing Zhang & Xindan Li, 2006. "Do Calendar Effects Still Exist in the Chinese Stock Markets?," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 4(2), pages 151-163.
    16. Farag, Hisham, 2013. "Price limit bands, asymmetric volatility and stock market anomalies: Evidence from emerging markets," Global Finance Journal, Elsevier, vol. 24(1), pages 85-97.
    17. repec:bor:iserev:v:12:y:2012:i:45:p:27-58 is not listed on IDEAS
    18. P., Srinivasan & M., Kalaivani, 2013. "Day-of-the-Week Effects in the Indian stock market," MPRA Paper 46805, University Library of Munich, Germany.
    19. Faruk Bostanci & Saim Kilic, 2010. "The Effects of Free Float Ratios on Market Performance: An Empirical Study on the Istanbul Stock Exchange," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 12(45), pages 1-14.
    20. Asli Bayar & Ozgur Berk Kan, 2002. "Day of the Week Effects : Recent Evidence from Nineteen Stock Markets," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 2(2), pages 77-90.

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