This paper explores the day-of-the-week impact and efficiency of the stock markets in Mexico, Indonesia, Nigeria and Turkey by using closing prices of a major index from each stock market. Parametric models (the Levene, Welch and Brown–Forsythe tests), nonparametric models (the Kruskal–Wallis and Bartlett tests) and econometric models (exponential general autoregressive conditional heteroscedastic mean (EGARCH-M)) are used to test the presence of the day-of-the-week effect. The results of the parametric and nonparametric tests show weekly anomalies in the stock market of Nigeria and Turkey. A run test also confirms weak-form inefficiency in the stock market of Nigeria. The EGARCH-M model reports negative returns and the highest volatility on Monday in Nigeria’s stock market. This paper will help traders to create trading strategies, especially for trading in these indexes, as the returns will vary following the presence of the day-of-the-week effect.