Abstract
It is a well-known fact that the day-of-the-week effect in stock mar kets is one of the most prominent puzzling seasonal anomalies in finance and has been incr easingly attracting attention from researchers and practitioners, as well as academics. This paper scr utinizes the day-of-theweek effect in the emerging equity mar ket of Saudi Arabia, TADAWUL. By using a non-linear GARCH model and covering the data from January 2001 to December 2009, the findings of the study reveal that the returns on the fiv e trading days follow differ ent process. This confirms that mean daily returns are significantly differ ent from each other and validates the day-of-theweek effect in TADAWUL.
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