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The day-of-the-week effect for Istanbul stock exchange: a stochastic dominance approach

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  • Ulkem Basdas

Abstract

Using the Stochastic Dominance (SD) approach, this paper revisits the day-of-the-week effect for a developing market, the Istanbul Stock Exchange (ISE). SD results provide different results independent of distribution assumptions. The results indicate that Monday and Tuesday cannot be dominated by all other days of the week. Monday is dominated by only Wednesday, Thursday and Friday, and Tuesday is dominated by Wednesday and Friday. The day with the highest number of significant test results is Friday, but Friday dominates all days, except Wednesday. On the other hand, the days with the least number of significant results are Monday and Tuesday. Even though SD results confirm low Monday and Tuesday, high Friday returns, one single day can neither separately dominate other days of the week nor is dominated by other days. Therefore, based on SD results the day-of-the-week effect is limited in the ISE contrary to previous studies finding a significant day-of-the week effect in the ISE.

Suggested Citation

  • Ulkem Basdas, 2011. "The day-of-the-week effect for Istanbul stock exchange: a stochastic dominance approach," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 1(4), pages 1-10.
    • Handle: RePEc:spt:apfiba:v:1:y:2011:i:4:f:1_4_10
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    Cited by:

    1. 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.
    2. Al-Khazali, Osamah & Mirzaei, Ali, 2017. "Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 190-208.
    3. Sonal Sahu & Alejandro Fonseca Ramírez & Jong-Min Kim, 2024. "Exploring Calendar Anomalies and Volatility Dynamics in Cryptocurrencies: A Comparative Analysis of Day-of-the-Week Effects before and during the COVID-19 Pandemic," JRFM, MDPI, vol. 17(8), pages 1-22, August.
    4. Al-Khazali, Osamah, 2014. "Revisiting fast profit investor sentiment and stock returns during Ramadan," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 158-170.
    5. 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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