文章基本信息

标题：Day of the Week and Weekend Effects in the Indian Stock Market
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作者：Rashmi Ranjan Paital ; Ajaya Kumar Panda
期刊名称：Theoretical Economics Letters
印刷版ISSN：2162-2078
电子版ISSN：2162-2086
出版年度：2018
卷号：08
期号：11
页码：2559-2568
DOI：10.4236/tel.2018.811164
语种：English
出版社：Scientific Research Publishing
摘要：The present study has investigated the day of the week and weekend effect on index returns and it’s volatility in the Indian stock market using GARCH (1, 1) for Nifty 50, Nifty midcap 50 and Nifty smallcap 50 indices. The study period starts from 1 ^st April, 2005 to 29 ^th June, 2018. This study found a strong evidence of a positive weekend effect as well as a negative Tuesday effect across all the 3 indices. It is observed that the returns on Tuesday are lower than the returns on Monday. The study also found a positive weekend effect (except Nifty 50) as well as a negative Tuesday effect on return volatility for all these 3 indices. Like return, it is also observed that market is less volatile in Tuesday than Monday. In addition to this, the present study also revealed a negative Thursday effect on return (except Nifty 50) as well as a negative Friday effect on return for Nifty smallcap index only. It is concluded that Monday is a high risk and high return day whereas, Tuesday is a low risk and low return day in comparison to Monday. If traders can take higher risk they can earn higher return on Monday. The overall findings of the study suggest that the Indian market is not efficient and market can be predictable based on historical series. The findings of this study is valuable to both academicians as well as the market participants.
关键词：Day of the Week Effect;Weekend Effect;Seasonality;Nifty 50;Nifty Midcap 50;Nifty Smallcap 50;NSE;INDIA;GARCH (1;1)