Abstract
This paper examines the day-of-the-week effects in some of the Gulf Cooperation Council (GCC) stock markets namely the Saudi Stock Market, the Kuwaiti Stock Exchange, and the Dubai Financial Market. The empirical research was conducted using the variances (ANOVA) test to find if there were significant differences between the daily returns in these markets from January 2002 to December 2005. Results obtained indicate the significant presence of the day of the week effect on the Kuwaiti Stock Exchange (KSE), the highest return is observed on Saturday and the lowest return is observed on Sunday.