THE DAY OF THE WEEK EFFECT: A STUDY ON THE STOCKS OF BIST 30 INDEX

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This study aims to analyze the day of the week effect in BIST 30 Index by August 2015. In this respect, the stock market data, which consist of BIST 30 stock returns, were used from January 2003 to May 2015. Contrary to most studies in the relevant literature, individual stocks are considered for the above-mentioned analysis. In order to analyze this effect, we have applied nonparametric statistical analysis methods, which are the Kruskal-Wallis test and the Wilcoxon rank sum test. The results of the paper cannot provide evidence of the presence of the day of the week effects on all the stocks, but apply particularly to BIMAS, EKGYO, and TCELL. The return of Friday for BIMAS and TCELL and the return of Monday for EKGYO are higher than the return on other days of the week.

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Efficiency , Seasonal Anomalies , Day Effect , Borsa Istanbul 30 Index

Journal Of Financial Researches an‎d Studies

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Journal Of Financial Researches an‎d Studies