Özet:

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.

Anahtar Kelimeler: