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.
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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
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