Using the Stochastic Dominance (SD) approach, this paper revisits the day-of-the-week effect for a developing market, the Istanbul Stock Exchange (ISE). SD results provide different results independent of distribution assumptions. The results indicate that Monday and Tuesday cannot be dominated by all other days of the week. Monday is dominated by only Wednesday, Thursday and Friday, and Tuesday is dominated by Wednesday and Friday. The day with the highest number of significant test results is Friday, but Friday dominates all days, except Wednesday. On the other hand, the days with the least number of significant results are Monday and Tuesday. Even though SD results confirm low Monday and Tuesday, high Friday returns, one single day can neither separately dominate other days of the week nor is dominated by other days. Therefore, based on SD results the day-of-the-week effect is limited in the ISE contrary to previous studies finding a significant day-of-the week effect in the ISE.
ISSN: 1792-6599 (Online)