An Analysis of the Day-of-the-Week Effect in the Indian Stock Market: Evidence from Bombay Stock Exchange

  • Nagesh Malavalli
  • S Sathyanarayana

Abstract

A major apprehension in the market efficiency hypothesis is the existence of calendar anomalies or seasonality in the stock market returns. One of the most prominent calendar anomalies is the”Day-of-the-Week” effect. Thus, investors are more worried about which day of the week is the best day for the trade. The current study aims to study empirically the Day-of-the-Week effect anomaly in the emerging stock market of a developing economy like India for the period 2004 to 2014 using end of day data for the benchmark Indian equity market index BSE Sensex using dummy variables regression. Empirical results conclude that BSE Sensex does not show any presence of “Day-of-the-Week” effect or seasonality. Hence one can conclude that the BSE Index is efficient and there is no Day-of-the-Week anomaly in Indian stock market.

Published
2015-01-01
How to Cite
MALAVALLI, Nagesh; SATHYANARAYANA, S. An Analysis of the Day-of-the-Week Effect in the Indian Stock Market: Evidence from Bombay Stock Exchange. Ushus - Journal of Business Management, [S.l.], v. 14, n. 1, p. 93-108, jan. 2015. ISSN 0975-3311. Available at: <http://journals.christuniversity.in/index.php/ushus/article/view/1616>. Date accessed: 27 may 2019.

Most read articles by the same author(s)

Obs.: This plugin requires at least one statistics/report plug-in to be enabled. If your statistics plugins provide more than one metric then please also select a main metric on the admin's site settings page and/or on the journal manager's settings pages.