Author : Srinivasan Palamalai
Release : 2015
Genre :
Kind : eBook
Book Rating : /5 ( reviews)
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.
