Stock returns and the day-of-the-week effect in i-super-˙stanbul Stock Exchange
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.
If 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 35 (2003)
Issue (Month): 8 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAEC20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAEC20|
References listed on IDEAS
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.:
- Keim, Donald B & Stambaugh, Robert F, 1984. " A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, vol. 39(3), pages 819-835, July.
- Lakonishok, Josef & Maberly, Edwin, 1990. " The Weekend Effect: Trading Patterns of Individual and Institutional Investors," Journal of Finance, American Finance Association, vol. 45(1), pages 231-243, March.
- Barnes, Michelle & Boyd, John H. & Smith, Bruce D., 1999. "Inflation and asset returns," European Economic Review, Elsevier, vol. 43(4-6), pages 737-754, April.
- Gabriel Hawawini & Donald B. Keim, "undated". "On the Predictability of Common Stock Returns: World-Wide Evidence (Revised: 22-94)," Rodney L. White Center for Financial Research Working Papers 23-92, Wharton School Rodney L. White Center for Financial Research.
- Rogalski, Richard J, 1984. " A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, vol. 39(3), pages 835-837, July.
- French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
- Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June.
- Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," The Journal of Business, University of Chicago Press, vol. 54(4), pages 579-596, October.
- Gultekin, N Bulent, 1983. " Stock Market Returns and Inflation: Evidence from Other Countries," Journal of Finance, American Finance Association, vol. 38(1), pages 49-65, March.
When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:35:y:2003:i:8:p:959-971. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.