The day of the week effect: evidence from India
Tariq Aziz and
Valeed Ahmad Ansari
Afro-Asian Journal of Finance and Accounting, 2015, vol. 5, issue 2, 99-112
The day of the week effect is a well-documented calendar anomaly. This study investigates the presence of this effect in the Indian stock market during 1990 to 2013, using GARCH framework with three distribution assumptions. The results indicate that the traditional Monday effect is non-existent in the two leading market indices. In contrast, a positive Monday effect in Sensex and a positive Wednesday effect in Nifty are present in the entire sample period. The results remain robust to the distribution assumptions and sub-periods.
Keywords: day of the week effect; Monday effect; calendar anomalies; India; stock markets. (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ids:afasfa:v:5:y:2015:i:2:p:99-112
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