THE DAY OF THE WEEK EFFECT ON STOCK MARKET VOLATILITY : ISTANBUL STOCK EXCHANGE Hakan Berument Department of Economics, Bilkent University 06800, Ankara, Turkey Phone: +90 312 266 25 29 Fax: +90 312 266 58 40 E-mail: berument@bilkent.edu.tr Ali Inamlik Department of Economics, Bilkent University 06800, Ankara, Turkey Phone: +90 312 290 43 61 E-mail: inamlik@alumni.bilkent.edu.tr Halil Kiymaz Department of Finance, School of Economics and Public Administration University of Houston-Clear Lake, Houston, TX 77058, USA Phone: +1 281 283 32 08 Fax: +1 281 283 39 51 E-mail: kiymaz@cl.uhl.edu Abstract: This study investigates the day of the week effect on return and volatility for Istanbul Stock Exchange (ISE) throught the period 1986 and 2003. Using generalized autoregressive conditional heteroskedasticity (GARCH) model, we find statistically significant evidence to report that there is the day of the week effect. Friday has the highest effect on return with 0,015 while Monday has the lowest return with-0,003 compared to return on Wednesday. When volatility of return is concerned, Monday has the highest volatility with 0,933 and Tuesday has the lowest volatility with –0,716 compared to return on Wednesday. JEL classification: G10, G12, C22 Keywords: Day of the week effect, volatility, GARCH, Emerging Market.