The presence of asymmetries in stock returns, known as seasonal anomalies, has been rigorously probed in the array of academic literature evaluating the validity of Efficient Market Hypothesis. Even though there is an abundance of studies focusing on the presence of the day of the week effect, no clear-cut findings have been documented in both developed and emerging market stock exchanges. This paper attempts to investigate whether the day of the week effect exists on an initial dataset of 33 developed stock indices in the period between 1999 and 2013. However, the final dataset encompasses 24 indices belonging to 16 countries due to statistical considerations. The significant findings as to negative Monday and positive Friday returns belong to 3 and 6 of the indices, respectively. Whereas none of the markets demonstrates any significant Tuesday returns, only two of the markets show significantly negative Wednesday returns. Additionally, significant and positive Thursday returns are observed in 2 of the indices. Therefore, no systematic pattern has been detected as to the presence of the day of the week effect in selected developed stock indices during the period analyzed.