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

Author

Listed:
  • 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.

Suggested Citation

  • P., Srinivasan & M., Kalaivani, 2013. "Day-of-the-Week Effects in the Indian stock market," MPRA Paper 46805, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:46805
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    File URL: https://mpra.ub.uni-muenchen.de/46805/1/MPRA_paper_46805.pdf
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    References listed on IDEAS

    as
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    Cited by:

    1. Nicholas Crafts & Alan Hughes, 2013. "Industrial Policy for the Medium to Long-term," Working Papers wp455, Centre for Business Research, University of Cambridge.
    2. Elena Lidia Melnic, 2016. "New Approaches In The Retail Banking System For Creating Long Term Loyalty Relationships With Customers: Case Study On The Romanian Market," Eurasian Journal of Business and Management, Eurasian Publications, vol. 4(3), pages 49-64.
    3. repec:eee:jomega:v:71:y:2017:i:c:p:129-145 is not listed on IDEAS
    4. Sedeaq Nassar, 2016. "The Day of the Week Effect of Stock Returns: Empirical Evidence from Five Selected Arab Countries," Eurasian Journal of Business and Management, Eurasian Publications, vol. 4(2), pages 55-64.

    More about this item

    Keywords

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

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • O53 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Asia including Middle East

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