Day of the Week Effect on Foreign Exchange Market Volatility : Evidence from Turkey

This paper assesses the day of the week effect of the daily depreciation of the Turkish lira (TL) against the US dollar (USD) and its volatility. The empirical evidence from Turkey presented here suggests that Thursdays are associated with higher and Mondays with lower depreciation rates compared to those of Wednesdays. Moreover, Mondays and Tuesdays are associated with higher volatility than Wednesdays

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Year of publication:	2018
Authors:	Berument, Hakan
Other Persons:	Coskun, Nejat (contributor) ; Sahin, Afsin (contributor)
Publisher:	[2018]: [S.l.] : SSRN
Subject:	Türkei \| Turkey \| Devisenmarkt \| Foreign exchange market \| Volatilität \| Volatility \| Kalendereffekt \| Calendar effect
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Series:	Research in International Business and Finance, Vol.21 ; No.1, pp.87-97, 2007
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 2007 erstellt Volltext nicht verfügbar
Classification:	F31 - Foreign Exchange ; C32 - Time-Series Models ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012915136