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Abstract Details

Activity Number: 574
Type: Contributed
Date/Time: Wednesday, August 1, 2012 : 2:00 PM to 3:50 PM
Sponsor: Business and Economic Statistics Section
Abstract - #305051
Title: Day of the Week Effect on Turkish Foreign Exchange Market Volatility During the Global Financial Crisis
Author(s): Ece Oral*+
Companies: Central Bank of the Republic of Turkey
Address: Istiklal Cad. No:10 Ulus Ankara, , , Turkey
Keywords: exchange rate ; day of the week effect ; volatility

Exchange rate activities have effects on capital flows and international trade that are crucial particularly for developing countries. The day of the week effect on exchange rates can also be very essential for portfolio managers and economists. Therefore, the day of the week effect should be examined carefully in order to understand the cause of the anomalies in the market. This paper evaluates the day of the week effect on the daily returns on US dollar and its volatility in the light of the global financial crisis 2008-2009.

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