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Day of the Week Effect on Turkish Foreign Exchange Market Volatility During the Global Financial Crisis

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  • Oral, Ece

Abstract

Exchange rate activities have effects on capital flows and international trade that are crucial particularly for developing countries. The day of the week effect on exchange rates can also be very essential for portfolio managers and economists. Therefore, the day of the week effect should be examined carefully in order to understand the cause of the anomalies in the market. This paper evaluates the day of the week effect on the daily returns on US dollar and its volatility in the light of the global financial crisis 2008-2009.

Suggested Citation

  • Oral, Ece, 2012. "Day of the Week Effect on Turkish Foreign Exchange Market Volatility During the Global Financial Crisis," MPRA Paper 44116, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:44116
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    References listed on IDEAS

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    11. Hsieh, David A., 1988. "The statistical properties of daily foreign exchange rates: 1974-1983," Journal of International Economics, Elsevier, vol. 24(1-2), pages 129-145, February.
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    Cited by:

    1. Vipul Kumar Singh, 2019. "Day-of-the-week effect of major currency pairs: new evidences from investors’ fear gauge," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 493-507, December.
    2. Elena Lidia Melnic, 2016. "New Approaches In The Retail Banking System For Creating Long Term Loyalty Relationships With Customers: Case Study On The Romanian Market," Eurasian Journal of Business and Management, Eurasian Publications, vol. 4(3), pages 49-64.
    3. Sedeaq Nassar, 2016. "The Day of the Week Effect of Stock Returns: Empirical Evidence from Five Selected Arab Countries," Eurasian Journal of Business and Management, Eurasian Publications, vol. 4(2), pages 55-64.

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    More about this item

    Keywords

    Exchange Rate; Volatility; Day of the week effect;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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