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Does the Day of the Week Effect Apply in the ISE Second National Market?

Author

Listed:
  • Yard. Nuray Ergül

    (Marmara University)

  • Veli Akel

    (Bozok University)

  • Sezai Dumanoğlu

    (Marmara University)

Abstract

The day-of-the-week effect patterns in ISE Second National Market Index (former name ISE Regional and New Companies In- dex) are examined using daily logarithmic data according to the OLS model during the period of January 1997 and December 2007. The highest average return, significant at 5%, is observed on Friday, while the lowest return is observed on Wednesday. This re- sult holds for only two of the subperiods (2002 and 2006) during the 2000-2007 sampling period. In 2000 and 2001, Thursday is the second day for which average return of ISE Second National Market Index is all negative for the same period consistently. The mean returns of the days of the week are not significantly different from zero in the other years of the analysis period.

Suggested Citation

  • Yard. Nuray Ergül & Veli Akel & Sezai Dumanoğlu, 2009. "Does the Day of the Week Effect Apply in the ISE Second National Market?," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 24(82), pages 48-65, January.
    • Handle: RePEc:acc:malfin:v:24:y:2009:i:82:p:48-65
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    Keywords

    Daily Anomaly; The One Way Variance;

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