Abstract

The day of the week effect is the most investigated anomaly type for the world capital markets. In the several studies, this effect has been searched on the basis of stock exchanges indices. This paper targets whether there is a different between the day of the week effect that is seen on the returns of the ISE-100 index and the same effect that is seen on the returns of the portfolios created in accordance with the Beta coefficients of the individual common stocks. For this purpose, the related literature was summarized and an empirical study was performed. In the empirical section of the paper, the day of the week effect was investigated on the returns of the ISE-100 index that were calculated by using the daily closing values for the period of Jan.1st,2005-Dec.31th,2007. Furthermore, the daily, weekly and monthly returns of the individual common stocks were calculated by using the data related to daily closing prices, capital increase and dividend payment for the period of Jan.1st,2000-Dec.31th,2004. These common stocks have been transacted in the First National Market since Jan.1st,2000. The data was collected from the daily bulletins of the ISE that are broadcasted on its official web site. Using the market model, Beta coefficients of the common stocks were calculated on the basis of daily, weekly and monthly time intervals. Then, two portfolios were created. First one is the portfolio of “Common stocks that have the least beta coefficients” and the second one is the portfolio of “Common stocks that have the biggest beta coefficients”. The day of the week effect was investigated on the returns of these portfolios for the period of Jan.1st,2005-Dec.31th,2007. As a result, even if there are some proofs related to the existence of the day of the week effect, there are not significant differences among the returns of the each day of the week