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Stock returns and the day-of-the-week effect in i-super-˙stanbul Stock Exchange

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  • Cemal Berk O˛uzsoy
  • Sibel Guven

Abstract

This study investigates the existence of the day-of-the-week effect on stock returns in the stanbul Stock Exchange (ISE) for the period between 1988 and 1999. ISE that was established in 1986 is a rapidly growing emerging market for which there are only a few studies that have been conducted and reported. Since emerging markets are becoming good diversification alternatives for international investors, the analysis of stock return behaviour of ISE will be of interest to all investors, domestic and foreign. With this purpose, both ISE National 100 Composite Index, and 30 stocks of ISE for which trade volume is the highest are analysed. The analysis of ISE National 100 Composite index reveals strikingly low Tuesday and dominantly high Friday returns, with return variances at their lowest on Fridays. It is also observed that for most of the stocks among the 30 highly traded stocks of ISE, maximum return is on Fridays whereas minimum return is either on Mondays or Tuesdays with return variances at their highest on Mondays. Moreover for all individual ISE-30 stocks, the day with the maximum return is one of the days after the day with the minimum return.

Suggested Citation

  • Cemal Berk O˛uzsoy & Sibel Guven, 2003. "Stock returns and the day-of-the-week effect in i-super-˙stanbul Stock Exchange," Applied Economics, Taylor & Francis Journals, vol. 35(8), pages 959-971.
    • Handle: RePEc:taf:applec:v:35:y:2003:i:8:p:959-971
    DOI: 10.1080/0003684032000050586
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    References listed on IDEAS

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