The Day-of-the-Week Effect on Return and Volatility in the Turkish Stock Markets

This study investigates the presence of the day-of-the-week effect on the return and return volatility of the BIST (Borsa Istanbul) stock indexes, those of the BIST-100, the BIST-Financials, the BIST-Services, the BIST-Industrials, and the BIST-Technology for the period January 7, 2008 to December 28, 2012 in Turkey. Empirical findings obtained from EGARCH (1,1) model show that the returns on Mondays are positive and the highest during the week for all indexes, and only the BIST-Financials index returns do not show the significant Monday effect. There isn’t any evidence of the day-of-the-week effect on the BIST-Financials returns. The BIST-100 Industrials returns also show a significant positive Tuesday and Wednesday effects, while the BIST-Technology shows a positive Tuesday effect. On Fridays, all index returns are positive and not significant except the BIST-Services. Return volatility increases the most on Mondays, while decreases the most on Fridays for each index. This is statistically significant for the BIST-100, the BIST-Financials and the BIST-Industrials. On Tuesdays, volatility declines insignificantly in all index returns except the BIST-Industrials. On Wednesdays and Thursdays, there is no significant impact on the volatility. There exists no evidence of the day-of-the-week on the volatility of the BIST-Services and the BIST-Technology returns. This study also finds that the leverage effect exists in all indexes and all of them display strong GARCH effects.