THE DAY OF THE WEEK EFFECT IN BORSA ISTANBUL; A GARCH MODEL ANALYSIS

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Uluslararası Yönetim İktisat ve İşletme Dergisi
Volume:13 Issue:3
THE DAY OF THE WEEK EFFECT IN BORSA ISTANBUL; A GARCH MODEL ANALYSIS

THE DAY OF THE WEEK EFFECT IN BORSA ISTANBUL; A GARCH MODEL ANALYSIS

Authors : Mehmet Akif ÖNCÜ, Aslıhan ÜNAL, Oğuz DEMİREL

Pages : 521-534

Doi:10.17130/ijmeb.2017331332

View : 62 | Download : 9

Publication Date : 2017-08-01

Article Type : Research Paper

Abstract :The aim of this study is to investigate the Day of the Week Effect DWE in Borsa Istanbul BIST-100 Index. For this purpose, the dataset of closing prices of the firms was gathered from 03.01.2005 to 06.11.2015. The data transformed to return series by taking logarithmic differences, and analyzed with GARCH 1,1 Model. According to the findings, although the coefficients representing the returns of Monday and Thursday are statistically significant, the returns of the trading days of the week are equal. Consequently, for the related period, DWE did not detected in BIST-100 Index.
Keywords : Haftanın Günü Anomalisi, GARCH Model, BIST 100 Endeksi

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