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An Investigation of the Day-of-the-Week Effect on Stock Returns in Turkey

Listed author(s):
  • Riza Demirer
  • M. Baha Karan

This paper examines evidence for the possible existence of the "daily effect" in the Istanbul Stock Exchange (ISE). In addition to ISE daily closing index returns, excess index returns over the risk-free rate—overnight interest rates in this case—and inflation are analyzed since the Turkish economy has been experiencing high inflation and unstable financial markets that make it different from the stable Western economies. The analysis of sign transitions between returns for successive days suggests that the daily effect shows itself in a different form—start-of-the-week effect—in the sense that starting a week with a positive return is an indicator of the overall return pattern for the week. In the context of the models developed in the literature, the findings indicate that the Turkish market appears efficient in terms of expected returns. However, it seems inefficient in terms of expected variability of these returns and in terms of investors' expectations.

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Article provided by Taylor & Francis Journals in its journal Emerging Markets Finance and Trade.

Volume (Year): 38 (2002)
Issue (Month): 6 (December)
Pages: 47-77

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Handle: RePEc:taf:emfitr:v:38:y:2002:i:6:p:47-77
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