Stability of the day of the week effect in return and in volatility: evidence from Bombay stock market
Journal Title: Journal of Management Research and Analysis - Year 2016, Vol 3, Issue 4
Abstract
Day of the week effect is one of the vital calendar irregularities that have been experiential in many stock markets in all over the world with a lot of unlike consequences. Stock markets are theoretical market, thus, investors are more worried about which day is the excellent for the trade. The main objective of this paper is to trace out the suitable day of the week consequence in the developing stock market of a emerging country like India for the period 1st January 2000 to 31st December 2014. So as to justify the objectives of the paper the daily returns data of four main indices of Bombay Stock Exchange have categorized focused on the day-of-the-week-Monday through Friday. For testing the uniformity of mean returns of the day the various parametric tests like Mean, Standard deviation, Skewness and Kurtosis have been adopted to study the volatility pattern of the daily returns with the intent of find out the day of the week effect. Although index displays Wednesday return on inter-day return of the index, Monday provides lowest return with higher volatility.
Authors and Affiliations
Pramod Kumar Patjoshi
Keywords
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