Özet:

This paper examines the presence of the day of the week effect as calendar anomaly in the BIST 100 index Before and after the Global Financial Crisis. In this context, GARCH (1,1) model is employed on the main period (January 2005– December 2012) and three sub-periods which are pre-crisis period: January 2005-January 2008, crisis period: January 2008- December 2009 and post-crisis period: January 2010-December 2012. According to the outcomes, even though we have figured out different negative and positive results for the main period and sub-periods, only the negative Monday value appeared in the main period is statistically significant at 10% level

Anahtar Kelimeler: