The day of the week effect and interest rates

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buir.contributor.authorBerument, M. Hakan
dc.citation.epage63en_US
dc.citation.issueNumber1en_US
dc.citation.spage55en_US
dc.citation.volumeNumber20en_US
dc.contributor.authorGayaker, S.
dc.contributor.authorYalçın, Y.
dc.contributor.authorBerument, M. Hakan
dc.date.accessioned2021-02-19T06:42:47Z
dc.date.available2021-02-19T06:42:47Z
dc.date.issued2020
dc.departmentDepartment of Economicsen_US
dc.description.abstractThe day of the week effect is one of the regularities observed in financial markets which suggests that Friday returns are higher than Monday returns. One of the possible reasons for this regularity is that the date of trade in equity markets is not always the same as the date that payment is made, or the settlement date. The number of days that investors have to wait for payment is higher when that trade is realized on Fridays rather than on Mondays (due to the weekend holidays). Thus, investors have a few more days to use the money in alternative markets when the trade has been realized on Fridays and until the trade is settled on the settlement date. This paper provides empirical evidence that as the return in alternative markets (overnight interest rates) decreases, the day of the week effect decreases. Thus, there should be a positive relationship between the expected relative returns on Friday to Monday and overnight interest rates.en_US
dc.identifier.doi10.1016/j.bir.2019.07.010en_US
dc.identifier.issn2214-8450
dc.identifier.urihttp://hdl.handle.net/11693/75472
dc.language.isoEnglishen_US
dc.publisherElsevieren_US
dc.relation.isversionofhttps://doi.org/10.1016/j.bir.2019.07.010en_US
dc.source.titleBorsa İstanbul Reviewen_US
dc.subjectDay of the week effecten_US
dc.subjectMonday effecten_US
dc.subjectWeekend effecten_US
dc.subjectSettlement dateen_US
dc.subjectInterest ratesen_US
dc.titleThe day of the week effect and interest ratesen_US
dc.typeArticleen_US
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