FM 303 Revisiting Day-of-The-Week Effect in Indian Stock Market
Authors:-
Dr. Deepa Mangala
Lecturer, Haryana School of Business,
Guru Jambheshwar University of Science & Technology, Hisar
Mobile No. - 9416396883
Email Address- deepa_mangalabharti@rediffmail.com
Monika Dhawan
Student, M BA Final Year, Haryana School of Business,
Guru Jambheshwar University of Science & Technology, Hisar
Mobile No.- 9896881380
Email Address- harshu_monika@yahoo.co.in
ABSTRACT
In recent years the testing of market anomalies in stock returns has become an active field of research in empirical finance and has been receiving attention not only from academic journals but also from the financial press as well. Among the more well-known anomalies are the size effect, the January effect and the day-of-the week effect. According to this phenomenon, the average daily return of the market is not the same for all days of the week, as we would expect on the basis of the efficient market theory.
The objective of this paper is to examine the existence of day of week effect in Indian stock market. Daily closing prices of S&P CNX Nifty index have been analyzed over fifteen years period commencing from January 1994 to December 2008. A set of parametric and non parametric tests has been used to test the equality of mean returns and standard deviations of the returns. The mean returns on Monday and Tuesday are negative while on Wednesday these are highly positive. Also, the impact of introduction of rolling settlement on the stock returns is observed. The results show that before rolling settlement came in 2001, Tuesday was showing highly negative returns and Wednesday highly positive. But after the introduction of rolling settlement, the seasonality in the distribution of the mean returns across different days of the week ceased to appear. Thus the markets have become more efficient over a period of time.
KEY WORDS: Market Efficiency, Calendar Anomalies and... [continues]
Authors:-
Dr. Deepa Mangala
Lecturer, Haryana School of Business,
Guru Jambheshwar University of Science & Technology, Hisar
Mobile No. - 9416396883
Email Address- deepa_mangalabharti@rediffmail.com
Monika Dhawan
Student, M BA Final Year, Haryana School of Business,
Guru Jambheshwar University of Science & Technology, Hisar
Mobile No.- 9896881380
Email Address- harshu_monika@yahoo.co.in
ABSTRACT
In recent years the testing of market anomalies in stock returns has become an active field of research in empirical finance and has been receiving attention not only from academic journals but also from the financial press as well. Among the more well-known anomalies are the size effect, the January effect and the day-of-the week effect. According to this phenomenon, the average daily return of the market is not the same for all days of the week, as we would expect on the basis of the efficient market theory.
The objective of this paper is to examine the existence of day of week effect in Indian stock market. Daily closing prices of S&P CNX Nifty index have been analyzed over fifteen years period commencing from January 1994 to December 2008. A set of parametric and non parametric tests has been used to test the equality of mean returns and standard deviations of the returns. The mean returns on Monday and Tuesday are negative while on Wednesday these are highly positive. Also, the impact of introduction of rolling settlement on the stock returns is observed. The results show that before rolling settlement came in 2001, Tuesday was showing highly negative returns and Wednesday highly positive. But after the introduction of rolling settlement, the seasonality in the distribution of the mean returns across different days of the week ceased to appear. Thus the markets have become more efficient over a period of time.
KEY WORDS: Market Efficiency, Calendar Anomalies and... [continues]
Cite This Essay
- APA
-
(2010, 12). Revisiting Day of the Week Effect in Indian Stock Market. StudyMode.com. Retrieved 12, 2010, from http://www.studymode.com/essays/Revisiting-Day-Of-The-Week-Effect-505624.html
- MLA
-
"Revisiting Day of the Week Effect in Indian Stock Market" StudyMode.com. 12 2010. 12 2010 <http://www.studymode.com/essays/Revisiting-Day-Of-The-Week-Effect-505624.html>.
- CHICAGO
-
"Revisiting Day of the Week Effect in Indian Stock Market." StudyMode.com. 12, 2010. Accessed 12, 2010. http://www.studymode.com/essays/Revisiting-Day-Of-The-Week-Effect-505624.html.
