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Journal of Management Research and Analysis


Stability of the day of the week effect in return and in volatility: evidence from Bombay stock market


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Author Details : Pramod Kumar Patjoshi

Volume : 3, Issue : 4, Year : 2016

Article Page : 166-170


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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.

Keywords:
Stock Exchange, Indian Stock Market, BSE, Market risk factors, Indices, Day-of-the-week effects, Intraday effects

How to cite : Patjoshi P K, Stability of the day of the week effect in return and in volatility: evidence from Bombay stock market. J Manag Res Anal 2016;3(4):166-170

Copyright © 2016 by author(s) and J Manag Res Anal. This is an Open Access article distributed under the terms of the Creative Commons Attribution License (CC-BY-NC 4.0) (creativecommons.org)