An Analysis of the “Day of the Week Effect” on the Istanbul Stock Exchange

This paper examined the weak form of efficiency by using the random walk test and the day of the week effect at Istanbul Stock Exchange (ISE) during the period 4 January 1988 - 27 December 1996. The random walk model is rejected for all periods under consideration and test results provide an evidence in favour of the rejection of a weak form of efficiency. Testing for the day of the week effect resulted that both Friday and Monday effects are observed and thus, it is concluded that market is inefficient.