An Empirical Investigation of Day of the Week Effect and Volatility in Nifty Sectoral Indices

Suraj Tuyekar
2018 International Journal of Management Studies  
The present study is an empirical investigation of day of the week effect and volatility across Nifty Sectoral Indices of NSE for the period from 2013 to 2017.The existence of day of the week effect in Indian stock market and volatility was measured using various statistical tools and econometric tool like descriptive statistics, Unit Root test, Generalized Auto Regressive Conditional Hetroscedasticity (GARCH) Model. The required analyses were performed using statistical software E-views and
more » ... rosoft Excel. The concluded that for the selected period of study, the mean return for Nifty Auto INTRODUCTION: The present paper documents seasonality in Nifty sectoral indices in different trading days in the Indian stock market i.e. known as Day-of-the-Week effect. In financial markets, anomalies refer to situations when a security or group of securities performs contrary to the notion of efficient markets, where security prices are said to reflect all available information at any point in time. Calendar anomaly is a phenomena in the financial market in which returns on stocks or stock indices are found abnormal. Calendar anomalies state that, the stock return is abnormally high on some specific day, period or point of time. Day of the week effect is one of the most common calendar anomaly found in the financial market. This anomaly states that, returns on stocks and stock indices are not same for all the trading days of the week. The day-of-the-week effect is an example of a calendar anomaly where the daily mean return differs across the days of the week. It is noticed in previous studies that, average return on Monday are lower than the average returns on other trading days of the week. On the other hand, it is also found that, returns on Friday are higher than the return on other trading days of the week. Though, such observations are not same throughout the world. Some study (Sanjeeta, 2011; Mitra, 2016) revealed that the day of the week effect do not exist in the Indian Stock Market and therefore market can be considered as informationally efficient. The non-existence of anomalies may not provide opportunities to formulate profitable trading strategies so as to earn the abnormal return and can adopt a fair return for risk strategy. LITERATURE REVIEW: Tajinder Jassal and Babli Dhiman (2017) analysed stocks of eleven sectors for calendar anomalies. Study showed that there was Friday effect in both banking and Private sector banking Indices. Wednesday was found positive and significant for FMCG and Pharma Sector returns. Monday and Tuesday returns were positive and International Journal of Management Studies ISSN(Print) 2249-0302 ISSN (Online)2231-2528
doi:10.18843/ijms/v5is5/17 fatcat:k5vxia245fhr5gu3fdqtqsffse