The day of the week effect and interest rates

Gayaker S., Yalcin Y., Berument M. H.

Borsa Istanbul Review, vol.20, no.1, pp.55-63, 2020 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 20 Issue: 1
  • Publication Date: 2020
  • Doi Number: 10.1016/j.bir.2019.07.010
  • Journal Name: Borsa Istanbul Review
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus, EconLit, Directory of Open Access Journals
  • Page Numbers: pp.55-63
  • Keywords: Day of the week effect, Monday effect, Weekend effect, Settlement date, Interest rates, STOCK RETURNS, FUTURES
  • Ankara Haci Bayram Veli University Affiliated: Yes


© 2019 The AuthorsThe day of the week effect is one of the regularities observed in financial markets which suggests that Friday returns are higher than Monday returns. One of the possible reasons for this regularity is that the date of trade in equity markets is not always the same as the date that payment is made, or the settlement date. The number of days that investors have to wait for payment is higher when that trade is realized on Fridays rather than on Mondays (due to the weekend holidays). Thus, investors have a few more days to use the money in alternative markets when the trade has been realized on Fridays and until the trade is settled on the settlement date. This paper provides empirical evidence that as the return in alternative markets (overnight interest rates) decreases, the day of the week effect decreases. Thus, there should be a positive relationship between the expected relative returns on Friday to Monday and overnight interest rates.