Efficient market hypothesis suggests indifferent return of stock regardless its trading day. In fact, investors could made different return on certain day because of calendar effects. This different return is called an abnormal return which can affect investor in deciding their investment strategy, portfolio selection and profit management. The study researched day-of-the-week effects in Indonesia, Singapore and Malaysia stock markets in order to find out the existence of anomaly in the three countries. Previous research showed evidence of day-of-the-week effects in emerging markets. Our study employs EGARCH econometric models. The result shows that there was Friday positive abnormal return in Indonesia and Malaysia. In Singapore, there was no Friday positive abnormal return. The study also concludes that, there was no Monday negative abnormal return in the three countries.