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Day of week effect: an empirical study for Indian Stock Markets

Author

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  • Vanitha Chawla
  • Manjula Shastri

Abstract

The present study examines empirically the presence of day of week effect in Indian Stock Markets. The paper investigates the stock returns and volatility of Indian markets for the period from 2009 to 2018, using OLS regression, GARCH (1,1), EGARCH (1,1) and TGARCH (1,1) models. The results indicate presence of positive Monday effect which is not due to equity market risk. The study found weak Wednesday effect for small cap companies. The returns of Wednesday are volatile than any other day of the week.

Suggested Citation

  • Vanitha Chawla & Manjula Shastri, 2023. "Day of week effect: an empirical study for Indian Stock Markets," International Journal of Business and Globalisation, Inderscience Enterprises Ltd, vol. 33(3), pages 326-343.
    • Handle: RePEc:ids:ijbglo:v:33:y:2023:i:3:p:326-343
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