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Day of the Week Effects in NSE Stock Returns

2008
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Release : 2008
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Book Synopsis Day of the Week Effects in NSE Stock Returns by : Varun Arora

Download or read book Day of the Week Effects in NSE Stock Returns written by Varun Arora. This book was released on 2008. Available in PDF, EPUB and Kindle. Book excerpt: The presence of the seasonal or monthly effect in stock returns has been reported in several developed and emerging stock markets. This study investigates the existence of seasonality in India's stock market, primarily trying to detect the quot;Day of the Week Effectquot; in the Stocks listed on the National Stock Exchange. It covers the post-reform period. The study uses the Daily return data of the stocks listed on National Stock Exchange and Bombay Stock Exchange Index for the period from November 1994 to September 2007 for analysis. After examining the stationarity of the return series, by applying quot;Kruskal Wallisquot; test and quot;One Way Anovaquot; i.e. using both Parametric and Non Parametric Tests, we specify an Augmented Dummy Regressive model to find the Day of the week effect monthly effect in stock returns in India. Another feature of our study was that we analysed the day of the week effect in three different phases of market ie. quot;Consolidationquot; Phase, quot;Bearishquot; Phase and the quot;Bullishquot; Phase. This was carried with an intention to see whether the day of the week effect was visible in these specific market phases or not. The results confirm the existence of seasonality (in the form of Day of the Week Effect) stock returns in India for 66 Stocks spanning across various sectors that we analysed - The results of the study imply that the stock market in India is inefficient, and hence, investors can time their share investments to improve returns and make abnormal profits. However the Day of the Week effect was found to be absent in the Bullish as well as the Bearish phase, which was a departure from our previous belief of the existence of this effect in all phases of the market.

Day of the Week Effects in Stock Returns

1997 Stock exchanges
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Release : 1997
Genre : Stock exchanges
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Book Synopsis Day of the Week Effects in Stock Returns by : S. Arumugam

Download or read book Day of the Week Effects in Stock Returns written by S. Arumugam. This book was released on 1997. Available in PDF, EPUB and Kindle. Book excerpt:

Day-of-the-Week Effects in the Indian Stock Market

2015
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Release : 2015
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Book Synopsis Day-of-the-Week Effects in the Indian Stock Market by : Srinivasan Palamalai

Download or read book Day-of-the-Week Effects in the Indian Stock Market written by Srinivasan Palamalai. This book was released on 2015. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates empirically the day-of-the-week effect on stock returns and volatility of the Indian stock markets. The GARCH (1,1), EGARCH (1,1) and TGARCH (1,1) models were employed to examine the existence of daily anomalies over the period of 1st July, 1997 to 29th June, 2012. The empirical results derived from the GARCH models indicate the existence of day-of-the-week effects on stock returns and volatility of the Indian stock markets. The study reveals positive Monday and Wednesday effects in the NSE-Nifty and BSE-SENSEX market returns. The average return on Monday is significantly higher than the average return of Wednesday in the NSE-Nifty and BSE-SENSEX markets. Besides, the findings confirm the strong support of ARCH and GARCH effects persist in the returns series. Moreover, the asymmetric GARCH models show that the Indian stock market returns exhibit asymmetric (leverage) effect. Most importantly, the empirical results indicate that Tuesday effects have negative impact on volatility after controlling the persistence and asymmetric effects.

Day of the Week Effect

2016
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Release : 2016
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Book Synopsis Day of the Week Effect by : John Okey Onoh

Download or read book Day of the Week Effect written by John Okey Onoh. This book was released on 2016. Available in PDF, EPUB and Kindle. Book excerpt: It is well documented that expected stock returns vary with the day of the week in developed stock markets as well as in emerging stock markets. The evidence of this seasonal pattern has, however, been very scanty in the case of Nigeria. The research therefore investigates the presence of the day of the week in the Nigerian Stock Exchange. The Ordinary Least Square method was used to analyze the stock returns pattern for a period ranging from 2nd January 2009 to 31st December 2015. Results obtained from the study shows that Friday returns is significantly higher than returns of other days of the week. This finding confirms the existence of the day of the week effect in the NSE daily return.

Day-of-the-Week Effect on Trading and Non-Trading Stock Market Returns in India

2015
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Release : 2015
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Book Synopsis Day-of-the-Week Effect on Trading and Non-Trading Stock Market Returns in India by : Shahid Ahmed

Download or read book Day-of-the-Week Effect on Trading and Non-Trading Stock Market Returns in India written by Shahid Ahmed. This book was released on 2015. Available in PDF, EPUB and Kindle. Book excerpt: The present study examines the Day-of-the-Week effect anomaly in the Indian equity market during the period of July 1997 to March 2006 using daily data of NSE Nifty and BSE Sensex. The Day-of-the-Week effect implies that the stocks return is not independent of the Day-of-the-Week in which they are generated. If such an anomaly exists, market participants can take advantage of the same and adjust their buying and selling strategies accordingly to increase their returns. Both parametric and non-parametric approaches are applied to detect the Day-of- the-Week effect in both mean and volatility of returns. The results indicate that BSE starts upwards, declines in middle of the week and end downwards while NSE starts downward, upward in middle of the week and end downwards. The study reveals U-shaped intra-day pattern in price volatility in both the markets. The results also indicate differential pattern of movements in mean and variance of trading and non-trading returns across the weekdays. It is also observed that there is an improvement in the Day-of-the-Week anomaly during the period of January 2002 to March 2006.

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