Day of the Week Effect on Turkish Foreign Exchange Market Volatility During the Global Financial Crisis
AbstractExchange rate activities have effects on capital flows and international trade that are crucial particularly for developing countries. The day of the week effect on exchange rates can also be very essential for portfolio managers and economists. Therefore, the day of the week effect should be examined carefully in order to understand the cause of the anomalies in the market. This paper evaluates the day of the week effect on the daily returns on US dollar and its volatility in the light of the global financial crisis 2008-2009.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 44116.
Date of creation: 01 Sep 2012
Date of revision:
Exchange Rate; Volatility; Day of the week effect;
Find related papers by JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Cornett, Marcia Millon & Schwarz, Thomas V. & Szakmary, Andrew C., 1995. "Seasonalities and intraday return patterns in the foreign currency futures market," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 843-869, August.
- Hsieh, David A., 1988. "The statistical properties of daily foreign exchange rates: 1974-1983," Journal of International Economics, Elsevier, vol. 24(1-2), pages 129-145, February.
- Kiymaz, Halil & Berument, Hakan, 2003. "The day of the week effect on stock market volatility and volume: International evidence," Review of Financial Economics, Elsevier, vol. 12(4), pages 363-380.
- Hilliard, Jimmy E. & Tucker, Alan L., 1992. "A note on weekday, intraday, and overnight patterns in the interbank foreign exchange and listed currency options markets," Journal of Banking & Finance, Elsevier, vol. 16(6), pages 1159-1171, December.
- McFarland, James W & Pettit, R Richardson & Sung, Sam K, 1982. " The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement," Journal of Finance, American Finance Association, vol. 37(3), pages 693-715, June.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
- Karolyi, G Andrew, 1995. "A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 11-25, January.
- Wang, Ko & Li, Yuming & Erickson, John, 1997. " A New Look at the Monday Effect," Journal of Finance, American Finance Association, vol. 52(5), pages 2171-86, December.
- Berument, Hakan & Coskun, M. Nejat & Sahin, Afsin, 2007. "Day of the week effect on foreign exchange market volatility: Evidence from Turkey," Research in International Business and Finance, Elsevier, vol. 21(1), pages 87-97, January.
- Kursat Aydoğan & G. Geoffrey Booth, 2003. "Calendar anomalies in the Turkish foreign exchange markets," Applied Financial Economics, Taylor & Francis Journals, vol. 13(5), pages 353-360.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.