Day of the week effect on foreign exchange market volatility: Evidence from Turkey
Coskun, M. N.
Please cite this item using this persistent URLhttp://hdl.handle.net/11693/11608
Research in International Business and Finance
- Department of Economics 
This paper assesses the day of the week effect of the daily depreciation of the Turkish lira (TL) against the US dollar (USD) and its volatility. The empirical evidence from Turkey presented here suggests that Thursdays are associated with higher and Mondays with lower depreciation rates compared to those of Wednesdays. Moreover, Mondays and Tuesdays are associated with higher volatility than Wednesdays. © 2006 Elsevier B.V. All rights reserved.
Berument, H., Coskun, M. N., & Sahin, A. (2007). Day of the week effect on foreign exchange market volatility: Evidence from Turkey. Research in International Business and Finance, 21(1), 87-97.