Journal of Contemporary Issues in Business Research

ISSN 2305-8277
An Analysis of Day-Of-The-Week and Intraday Effects in the Indian Stock Market: Evidence from National Stock Exchange
An Analysis of Day-Of-The-Week and Intraday Effects in the Indian Stock Market: Evidence from National Stock Exchange
Papia Mitra, 1 and Gholam Syedain Khan 2
Author Affiliations
  • 1&2 Department of Commerce, University of Calcutta

  • Abstract

    Day of the week effect is one of the most important calendar anomalies that have been observed in many stock markets in all over the world with a lot of different results. Stock markets are speculative market, thus, investors are more concerned about which day is the best for the trade. The primary objective of this paper is to find out the significant day of the week effect in the emerging stock market of a developing country like India for the period January 2001 to December 2012. In order to fulfill the objectives of the paper, 5 models have been estimated. In each model risk factor is defined in different ways thereby leading to different results. Empirical results verify that NSE Nifty50 does not depict such day of the week effects on the intraday and inter-day stock returns. While index exhibits Wednesday effect on inter-day return of the index, Monday gives lowest return but maximum volatility. However, in certain cases, Friday also suffers from the lowest return indicating presence of reverse weekend effect in the Indian stock market.

    Keywords
    Conditional; Unconditional; Market risk factors; NSE; Day-Of-The-Week effects; Intraday effects; Indian Stock Market.

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    MLA
    Mitra, Papia and Gholam Syedain Khan. "An Analysis of Day-Of-The-Week and Intraday Effects in the Indian Stock Market: Evidence from National Stock Exchange." Journal of Contemporary Issues in Business Research 3.3 (2014): 115-127.
    APA
    Mitra, Papia, and Gholam Syedain Khan. "An Analysis of Day-Of-The-Week and Intraday Effects in the Indian Stock Market: Evidence from National Stock Exchange." Journal of Contemporary Issues in Business Research 3, no. 3 (2014): 115-127.
    Chicago
    Mitra, P., & Khan, G. S. (2014). An Analysis of Day-Of-The-Week and Intraday Effects in the Indian Stock Market: Evidence from National Stock Exchange. Journal of Contemporary Issues in Business Research , 3 (3), 115-127.
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    First published online before print: 2014
    Vol. 3, No. 3, 2014, pp. 115-127
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