Title: The day of the week effect: evidence from India

Authors: Tariq Aziz; Valeed Ahmad Ansari

Addresses: Department of Business Administration, Aligarh Muslim University, Aligarh, India ' Department of Business Administration, Aligarh Muslim University, Aligarh, India

Abstract: The day of the week effect is a well-documented calendar anomaly. This study investigates the presence of this effect in the Indian stock market during 1990 to 2013, using GARCH framework with three distribution assumptions. The results indicate that the traditional Monday effect is non-existent in the two leading market indices. In contrast, a positive Monday effect in Sensex and a positive Wednesday effect in Nifty are present in the entire sample period. The results remain robust to the distribution assumptions and sub-periods.

Keywords: day of the week effect; Monday effect; calendar anomalies; India; stock markets.

DOI: 10.1504/AAJFA.2015.069886

Afro-Asian Journal of Finance and Accounting, 2015 Vol.5 No.2, pp.99 - 112

Received: 19 Dec 2013
Accepted: 08 Dec 2014
Published online: 15 Jun 2015 *

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