The day of the week effect: evidence from India Online publication date: Mon, 15-Jun-2015
by Tariq Aziz; Valeed Ahmad Ansari
Afro-Asian J. of Finance and Accounting (AAJFA), Vol. 5, No. 2, 2015
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.
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.Complimentary Subscribers, Editors or Members of the Editorial Board of the Afro-Asian J. of Finance and Accounting (AAJFA):
Login with your Inderscience username and password:
Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.
If you still need assistance, please email subs@inderscience.com