The existence of seasonal behaviour in return and volatility of different international stock exchanges may be considered as an indication of nonintegrated financial markets. A type of this abnormal behaviour is the day of the week effect, which implies investment opportunities. This type of opportunity is studied in this paper, focused on the analysis of the day of the week effect on the major European stock markets using GARCH and T-ARCH models. Results show evidence in favour of day of the week effect in the volatility in the most of the studied countries.