TITLE:
Day of the Week and Weekend Effects in the Indian Stock Market
AUTHORS:
Rashmi Ranjan Paital, Ajaya Kumar Panda
KEYWORDS:
Day of the Week Effect, Weekend Effect, Seasonality, Nifty 50, Nifty Midcap 50, Nifty Smallcap 50, NSE, INDIA, GARCH (1, 1)
JOURNAL NAME:
Theoretical Economics Letters,
Vol.8 No.11,
August
24,
2018
ABSTRACT: The present study has investigated the day of the
week and weekend effect on index returns and it’s volatility in the Indian
stock market using GARCH (1, 1) for Nifty 50, Nifty midcap 50 and Nifty
smallcap 50 indices. The study period starts from 1st April, 2005 to
29th June, 2018. This study found a strong evidence of a positive weekend effect as
well as a negative Tuesday effect across all the 3 indices. It is observed that
the returns on Tuesday are lower than the returns on Monday. The study also
found a positive weekend effect (except Nifty 50) as well as a negative Tuesday
effect on return volatility for all these 3 indices. Like return, it is also
observed that market is less volatile in Tuesday than Monday. In addition to
this, the present study also revealed a negative Thursday effect on return
(except Nifty 50) as well as a negative Friday effect on return for Nifty
smallcap index only. It is concluded that Monday is a high risk and high return
day whereas, Tuesday is a low risk and low return day in comparison to Monday.
If traders can take higher risk they can earn higher return on Monday. The overall findings of the
study suggest that the Indian market is not efficient and market can be
predictable based on historical series. The findings of this study is valuable to both
academicians as well as the market participants.