A study is conducted to ascertain the existence of the day-of-the-week effect in the foreign exchange market. A comprehensive data set of six exchange rates is applied to two different types of distributional assumptions and distribution-free tests. Results show that there were higher returns on Wednesdays before Oct. 1, 1981, for the British pound, the Canadian dollar, the Deutsch mark, the French franc, the Swiss franc and the Japanese yen. After the settlement procedures were changed Oct 1, 1981 so that delivery would occur within two days, there were no more differential Wednesday returns.