Berument, HakanDoǧan, N.2016-02-082016-02-08201113071637http://hdl.handle.net/11693/21677This paper assesses whether the return-volatility relationship is the same on Monday compared to other days. Empirical evidence suggests that the Monday return-volatility relationship is different from the other days for equally and value weighted NYSE, S&P500, AMEX and equally weighted NASDAQ indexes. © International Economic Society.EnglishEGARCH modelsMonday effectReturn-volatility relationshipArticle