TESTING THE DAY OF THE WEEK EFFECT ANOMALIES AT ISTANBUL STOCK EXCHANGE WITH
ARCH-GARCH-OLS MODELS

Elif G��
 Erdem SA�AN
 R�ya KAPLAN YILDIRIM

TESTING THE DAY OF THE WEEK EFFECT ANOMALIES AT ISTANBUL STOCK EXCHANGE WITH ARCH-GARCH-OLS MODELS

Abstract

Author(s): Elif GÃÃ* Erdem SAÃAN** RÃ¼ya KAPLAN YILDIRIM

In this study, day of week effect’s availibility on ISE has been studied by using OLS, ARCH and GARCH models.. Although vast number of studies on anomalies which are contrary to the Efficient Market Hypothesis as one of the main theories in finance literature, there is no study covering the whole trade period of BIST since it was established and utilizing this models to test for the anomalies stock market behavior, has been the starting point of this research. For the day-of-the-week anomalies, statistics indicate that ISE-100 daily returns on Fridays and Thursdays are meaningful and higher than the average as compared to other days, while returns on Mondays are lower and meaningless. In this study, by using daily closing data of BIST 100 for the period 2002-2013 these anomalies were tried to clarified

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