2009 EABR & TLC Conferences Proceedings Prague, Czech Republic 1 Examining The Day Of The Week Effect In Istanbul Stock Exchange (ISE) Murat Cinko, Marmara University, Turkey Emin Avci, Marmara University, Turkey Abstract The existence of day of the week effect for Istanbul Stock Exchange (ISE) was analyzed on the basis of ISE-100 index returns, the returns of all stocks traded in ISE and market capitalization based portfolio returns during 1995-2008. In line with the previous findings, the results of the study presented that the ISE-100 index, ISE traded stocks and market capitalization based portfolios had significant negative Monday and significant positive Thursday and Friday returns. I. Introduction For over a century, investors and academicians around the world have been studying to figure out the way the security prices fluctuate. Although several academicians suggested various theories to explain the securities price movements in the financial markets, there is no consensus on the validity of those theories and a few could survive to the current decade. One of these theories is the Efficient Market Hypothesis (EMH). Since its introduction by Eugene Fama (1965), the validity EMH has been questioned on several aspects. One of the critics directed to EMH is the existence of price anomalies, like reoccurrence of similar price patterns in the stock market during a trading day; week or year or period. These anomalies are generally called as the day of the week effect, January effect, and turn of the month effect. This study will investigate the existence of day of the week effect in Istanbul Stock Exchange (ISE). Although, the evidences about the day of the week effect anomaly in ISE had been documented by several studies; the findings of those studies were based on market indexes, like ISE-100 index. However, this study investigated the existence of the day of the week effect on stock basis by examining the returns of each stock traded on ISE and market capitalization based portfolio returns. The study is organized as follows. Section two summarizes the literature on the day of the week effect anomaly; section three provides the research design of the study; section four presents the empirical findings and the last section concludes. II. Literature Review Several studies were devoted to investigate the existence of day of the week effect anomaly in developed stock markets. Among the studies that examined the US stock markets documented that daily stock returns tend to be negative on Mondays, and tend positive on Fridays (Cross, 1973; French, 1980; Gibbons and Hess, 1981; Keim and Stambaugh, 1984; Rogalski, 1984). On the other hand, several other evidences for the existence of day of the week effect were also reported for developed stock markets (Kiymaz and Berument, 2003; Gregoriou et.al., 2004). Furthermore, in several studies, the evidences for the day of the week effect was also documented for the developing stock markets (Brooks and Persand, 2001; Chusanachoti and Kamath, 2002, Demirer and Karan, 2002; Ajayi, et.al., 2004; Tonchev and Kim, 2004; Hui,2005; Cinko, 2008).