the week, turn of the month, time of the month) in both mean and volatility equations for Greece and Turkey, which is … their mature counterpart in the Balkan region (Greece), during the period 2000-2008. Five well known calendar effects on … both return and volatility are examined: The day of the week effect, the January effect, the half month effect, the turn of …

return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified …-GARCH (1,1) specification for both the return and volatility equations, findings indicate that the day of the week effect is …