TY  - JOUR
TT  - Day of the Week Anomaly for Istanbul Gold Exchange: Gold and
AU  - Aksoy, Mine
PY  - 2013
DA  - January
JF  - Muhasebe ve Finansman Dergisi
PB  - Muhasebe ve Finansman Öğretim Üyeleri Bilim ve Araştırma Derneği
WT  - DergiPark
SN  - 2146-3042
SP  - 149
EP  - 152
IS  - 57
KW  - Haftanın günleri
KW  - oynaklık
KW  - GARCH
KW  - EGARCH
N2  - This study investigates the day of the week effect on gold and silver, return and volatility, for Istanbul Gold Exchange (IGE) through the period August 2008 and December 2011 using reference exchange rates. For gold, the empirical results provide evidence for the existence of the days of the week anomaly for return and volatilities. For silver, days of the week anomaly is found only for volatility but not for return. When we compare gold and silver volatility, we find that gold is more volatile than silver. We also find that gold and silver volatility gives different reactions to good and bad news. This will be the first study on the calendar anomalies on gold and silver, return and volatility, for Istanbul Gold Exchange using GARCH methodology. The findings of this study has implications for local and international investors for designing trading strategies, drawing investment decisions, risk management and portfolio performance evaluation.
UR  - https://dergipark.org.tr/tr/pub/mufad/issue//396163
L1  - https://dergipark.org.tr/tr/download/article-file/427032
ER  -