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An Analysis of the “Day of the Week Effect” on the Istanbul Stock Exchange

Author

Listed:
  • Kivilcim Metin
  • Gulnur Muradoglu
  • Bilgehan Yazici

Abstract

This paper examined the weak form of efficiency by using the random walk test and the day of the week effect at Istanbul Stock Exchange (ISE) during the period 4 January 1988 - 27 December 1996. The random walk model is rejected for all periods under consideration and test results provide an evidence in favour of the rejection of a weak form of efficiency. Testing for the day of the week effect resulted that both Friday and Monday effects are observed and thus, it is concluded that market is inefficient.

Suggested Citation

  • Kivilcim Metin & Gulnur Muradoglu & Bilgehan Yazici, 1997. "An Analysis of the “Day of the Week Effect” on the Istanbul Stock Exchange," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 1(4), pages 15-26.
    • Handle: RePEc:bor:iserev:v:1:y:1997:i:4:p:15-26
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    File URL: http://www.borsaistanbul.com/datum/imkbdergi/EN/ISE_Review_04.pdf
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    References listed on IDEAS

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    Cited by:

    1. Lokman Gunduz, 2001. "Monetary Transmission and Bank Lending in Turkey," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 5(18), pages 13-32.
    2. Coskun, Yener & Seven, Unal, 2016. "Etkin Piyasalar Hipotezi ve BİST’in Zayıf Form Etkinlik Analizi (Book Chapter) [Efficient Market Hypothesis and Weak Form Efficiency Analysis of Borsa Istanbul (Book Chapter)]," MPRA Paper 80263, University Library of Munich, Germany.
    3. Cem Payaslioglu, 2001. "Testing Volatility Asymmetry in Istanbul Stock Exchange," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 5(18), pages 1-12.
    4. Hülya Cengiz & Ömer Bilen & Ali Hakan Büyüklü & Gülizar Damgacı, 2017. "Stock market anomalies: the day of the week effects, evidence from Borsa Istanbul," Journal of Global Entrepreneurship Research, Springer;UNESCO Chair in Entrepreneurship, vol. 7(1), pages 1-11, December.
    5. C.Emre Alper & S.Boragan Aruoba, 2001. "Deseasonalizing Macroeconomic Data: A Caveat to Applied Researchers in Turkey," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 5(18), pages 33-52.

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