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Day-of-the-Week Effects in the Indian stock market

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  • P., Srinivasan
  • M., Kalaivani

Abstract

This paper investigates empirically the day-of-the-week effect on stock returns and volatility of the Indian stock markets. The GARCH (1,1), EGARCH (1,1) and TGARCH (1,1) models were employed to examine the existence of daily anomalies over the period of 1st July, 1997 to 29th June, 2012. The empirical results derived from the GARCH models indicate the existence of day-of-the-week effects on stock returns and volatility of the Indian stock markets. The study reveals positive Monday and Wednesday effects in the NSE-Nifty and BSE-SENSEX market returns. The average return on Monday is significantly higher than the average return of Wednesday in the NSE-Nifty and BSE-SENSEX markets. Besides, the findings confirm the strong support of ARCH and GARCH effects persist in the returns series. Moreover, the asymmetric GARCH models show that the Indian stock market returns exhibit asymmetric (leverage) effect. Most importantly, the empirical results indicate that Tuesday effects have negative impact on volatility after controlling the persistence and asymmetric effects.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 46805.

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Date of creation: 07 May 2013
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Handle: RePEc:pra:mprapa:46805

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Keywords: Day-of-the-week Effect; Weak-form Efficiency; GARCH Models; Asymmetric Effect;

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