Day of the week effect is an important calendar anomaly that has been observed in many stock markets in all over the world. Investors around the world are more concerned about the day which is best for trading because stock markets are speculative market. The primary objective of this paper is to find out the significant day of the week effect in the emerging stock market of a developing country like Bangladesh. This study tests the presence of the day effect on stock market volatility by using the DSE market index during the period of June 2004 to March 2015. The findings show that the day effect is present in both volatility and return equations. While the highest and lowest returns are observed on Thursday and Monday respectively, the highest and the lowest volatility are observed on Monday and Wednesday respectively. Further investigation of sub-periods reinforces our findings that the volatility pattern across the days of the week is statistically different.