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The day-of-the-week effect on return and volatility in the Turkish stock markets

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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 day-of-the-week effect on return and volatility in the Turkish stock markets