Day of Week Effect: Evidences from Indian Stock Market

Sanjeet Sharma
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Sanjeet Sharma: Assistant Professor, Department of Commerce, Govt. College Haripur(Guler), Distt.Kangra, Himachal Pradesh, India

Indian Journal of Commerce and Management Studies, 2011, vol. 2, issue 6, 25-30

Abstract: This study has been undertaken to examine whether day of week effect exist in Indian Stock Market or not. To analyses whether anomalies exist in India the data has been collected for the period form January 2008 to December 2009 for two indices: Sensex and Nifty. The results of this study show that the day of the week effect do not exist in the Indian Stock Market and this market can be considered as informationally efficient. Monday Effect and Friday Effect are also found insignificant while comparing Friday and Monday returns with other days mean returns. The above indicates that the Indian Stock Markets efficient now a days in years 2008 and 2009. The study suggest to investors that the non existence of anomalies may not provide opportunities to formulate profitable trading strategies so as to earn the abnormal return and can adopt a fair return for risk strategy.

Keywords: Day of Week effects; Monday Effect; Stock Market efficiency; Friday Effect; Efficient Market Hypothesis (search for similar items in EconPapers)
Date: 2011
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