Volume 1 Number 1 January 2011 9 Journal of Economic and Social Studies ABSTRACT It is a well-known fact that the day-of-the-week efect in stock markets is one of the most prominent puzzling seasonal anomalies in fnance and has been increasingly attracting attention from researchers and practitioners, as well as academics. Tis paper scrutinizes the day-of-the- week efect in the emerging equity market of Saudi Arabia, TADAWUL. By using a non-linear GARCH model and covering the data from January 2001 to December 2009, the fndings of the study reveal that the returns on the fve trading days follow diferent process. Tis confrms that mean daily returns are signifcantly diferent from each other and validates the day-of-the- week efect in TADAWUL. Keywords: Day of the week efect; GARCH; Saudi stock exchange Te Day-of-the-Week Efect in the Saudi Stock Exchange: A Non-Linear Garch Analysis Talat ULUSSEVER Department of Finance and Economics King Fahd University of Petroleum and Minerals, Dhahran, Saudi Arabia, talat@kfupm.edu.sa Ibrahim GURAN YUMUSAK Department of Economics Kocaeli University, Izmit, Turkey, iyumusak@kocaeli.edu.tr Muhsin KAR Department of Economics Cukurova University, Adana, Turkey mkar@cu.edu.tr