Presence of Friday Effect in the Indian Stock Market

DR. Bishnupriya Mishra

Paradigm, 1999, vol. 3, issue 2, 57-64

Abstract: Identification of the day of the week effect in the capital market can be of immense help for an investor to reap handsomely from investment in the stock market. Various studies undertaken on capital markets of the developed countries have identified ‘the Monday effect’. “Is there any such effect in the Indian capital market?†To find an answer to this question is the motivating factor for our study. This study has been done by considering two different indices and is divided into three sections. Section I deals with the literature pertaining to earlier studies undertaken by different researchers. Section II discusses the methodology of our study and section III elaborately provides the results obtained. Use of vital non parametric test and Dunn's multiple pair comparison test infer the presence of seasonal effect, i.e., returns on Friday are the highest in the Indian capital market.

Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:sae:padigm:v:3:y:1999:i:2:p:57-64

DOI: 10.1177/0971890719990209

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