Except from being an indicator of regional development, city indexes formed in the area of finance by Borsa Istanbul might be a significant guide for investors while deciding on an investment in the relevant city. Due to the fact that the main purpose of these indexes is to monitor the price and return performances of companies in the same city, it is possible to compare the performances on the basis of the cities. In this study, the existence of the day-of-the-week (DOW) anomaly is investigated with GARCH and EGARCH specifications for each city indexes. According to estimated model results, EGARCH specification gives more consistent results for Bursa, Istanbul, Izmir and Kayseri city index series. However, positive Monday effect is observed on mean returns for Bursa city index which mostly contains stocks of manufacturing sector. Further, the results provide evidence that return volatility changes through weekdays in Antalya, Kayseri and Tekirdag city indexes.