Day of the week effect on foreign exchange market volatility: evidence from Turkey

Date

2007

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Abstract

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.

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Research in International Business and Finance

Publisher

Elsevier Inc.

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Published Version (Please cite this version)

Language

English