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

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Day of the week effect on foreign exchange market volatility Evidence from Turkey.pdf (148.36 KB)

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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.

Source Title

Research in International Business and Finance

Publisher

Elsevier Inc.

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Keywords

Day of the week effect, Exchange rate, Volatility

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http://hdl.handle.net/11693/23584

Published Version (Please cite this version)

http://dx.doi.org/10.1016/j.ribaf.2006.03.003

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Scholarly Publications - Economics

Language

English

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Article