OECD Journal: Journal of Business Cycle Measurement and Analysis

The Journal of Business Cycle Measurement and Analysis has been discontinued as of 24 June 2016. This journal was published jointly with CIRET from 2004 to 2015. For more information see www.ciret.org/jbcy.


Keywords: business tendency, economic measurement, economic statistics, cyclical indicators, business surveys, business cycles, economic research, business investment, consumer surveys, economic indicators, economic cycle, cyclical fluctuations, short-term, economic analysis

Day-of-the-week effect in Consumer Confidence Index

The case of Turkey

The aim of this study is to examine the validity of the day-of-the-week effect on both mean and volatility for changes in Consumer Confidence Index in Turkey. To the best of our knowledge, there is no previous study on this topic for an emerging market. Employing the E-GARCH method, we are able to validate day-of-the-week effect both in mean and volatility of the daily changes in the Consumer Confidence Index. In our findings, the mean equation exhibits only a Friday effect and the lowest volatility is also observed for Friday. Additionally, we use nonparametric stochastic dominance (SD) approach by employing several SD tests and verify the existence of Friday effects.


JEL: C32: Mathematical and Quantitative Methods / Multiple or Simultaneous Equation Models; Multiple Variables / Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models; D11: Microeconomics / Household Behavior and Family Economics / Consumer Economics: Theory; C14: Mathematical and Quantitative Methods / Econometric and Statistical Methods and Methodology: General / Semiparametric and Nonparametric Methods: General; D12: Microeconomics / Household Behavior and Family Economics / Consumer Economics: Empirical Analysis
This is a required field
Please enter a valid email address
Approval was a Success
Invalid data
An Error Occurred
Approval was partially successful, following selected items could not be processed due to error