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Day Of The Week Effects In The Indian Stock Market
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Book Synopsis Day-of-the-Week Effects in the Indian Stock Market by : Srinivasan Palamalai
Download or read book Day-of-the-Week Effects in the Indian Stock Market written by Srinivasan Palamalai and published by . This book was released on 2015 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates empirically the day-of-the-week effect on stock returns and volatility of the Indian stock markets. The GARCH (1,1), EGARCH (1,1) and TGARCH (1,1) models were employed to examine the existence of daily anomalies over the period of 1st July, 1997 to 29th June, 2012. The empirical results derived from the GARCH models indicate the existence of day-of-the-week effects on stock returns and volatility of the Indian stock markets. The study reveals positive Monday and Wednesday effects in the NSE-Nifty and BSE-SENSEX market returns. The average return on Monday is significantly higher than the average return of Wednesday in the NSE-Nifty and BSE-SENSEX markets. Besides, the findings confirm the strong support of ARCH and GARCH effects persist in the returns series. Moreover, the asymmetric GARCH models show that the Indian stock market returns exhibit asymmetric (leverage) effect. Most importantly, the empirical results indicate that Tuesday effects have negative impact on volatility after controlling the persistence and asymmetric effects.
Book Synopsis Day of the Week Effects in NSE Stock Returns by : Varun Arora
Download or read book Day of the Week Effects in NSE Stock Returns written by Varun Arora and published by . This book was released on 2008 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: The presence of the seasonal or monthly effect in stock returns has been reported in several developed and emerging stock markets. This study investigates the existence of seasonality in India's stock market, primarily trying to detect the quot;Day of the Week Effectquot; in the Stocks listed on the National Stock Exchange. It covers the post-reform period. The study uses the Daily return data of the stocks listed on National Stock Exchange and Bombay Stock Exchange Index for the period from November 1994 to September 2007 for analysis. After examining the stationarity of the return series, by applying quot;Kruskal Wallisquot; test and quot;One Way Anovaquot; i.e. using both Parametric and Non Parametric Tests, we specify an Augmented Dummy Regressive model to find the Day of the week effect monthly effect in stock returns in India. Another feature of our study was that we analysed the day of the week effect in three different phases of market ie. quot;Consolidationquot; Phase, quot;Bearishquot; Phase and the quot;Bullishquot; Phase. This was carried with an intention to see whether the day of the week effect was visible in these specific market phases or not. The results confirm the existence of seasonality (in the form of Day of the Week Effect) stock returns in India for 66 Stocks spanning across various sectors that we analysed - The results of the study imply that the stock market in India is inefficient, and hence, investors can time their share investments to improve returns and make abnormal profits. However the Day of the Week effect was found to be absent in the Bullish as well as the Bearish phase, which was a departure from our previous belief of the existence of this effect in all phases of the market.
Book Synopsis Day of the Week Effects in Stock Returns by : S. Arumugam
Download or read book Day of the Week Effects in Stock Returns written by S. Arumugam and published by . This book was released on 1997 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Day of the Week Effect and Market Efficiency - Evidence from Indian Equity Market Using High Frequency Data of National Stock Exchange by : Golaka C. Nath
Download or read book Day of the Week Effect and Market Efficiency - Evidence from Indian Equity Market Using High Frequency Data of National Stock Exchange written by Golaka C. Nath and published by . This book was released on 2008 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present study examines empirically the day of the week effect anomaly in the Indian equity market for the period from 1999 to 2003 using both high frequency and end of day data for the benchmark Indian equity market index Samp;P CNX NIFTY. Using robust regression with biweights and dummy variables, the study finds that before introduction of rolling settlement in January 2002, Monday and Friday were significant days. However after the introduction of the rolling settlement, Friday has become significant. This also indicates that Fridays, being the last days of the weeks have become significant after rolling settlement. Mondays were found to have higher standard deviations followed by Fridays. The existence of market inefficiency is clear. The market inefficiency still exists and market is yet to price the risk appropriately.
Book Synopsis Day-of-the-Week Effect on Trading and Non-Trading Stock Market Returns in India by : Shahid Ahmed
Download or read book Day-of-the-Week Effect on Trading and Non-Trading Stock Market Returns in India written by Shahid Ahmed and published by . This book was released on 2015 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present study examines the Day-of-the-Week effect anomaly in the Indian equity market during the period of July 1997 to March 2006 using daily data of NSE Nifty and BSE Sensex. The Day-of-the-Week effect implies that the stocks return is not independent of the Day-of-the-Week in which they are generated. If such an anomaly exists, market participants can take advantage of the same and adjust their buying and selling strategies accordingly to increase their returns. Both parametric and non-parametric approaches are applied to detect the Day-of- the-Week effect in both mean and volatility of returns. The results indicate that BSE starts upwards, declines in middle of the week and end downwards while NSE starts downward, upward in middle of the week and end downwards. The study reveals U-shaped intra-day pattern in price volatility in both the markets. The results also indicate differential pattern of movements in mean and variance of trading and non-trading returns across the weekdays. It is also observed that there is an improvement in the Day-of-the-Week anomaly during the period of January 2002 to March 2006.
Book Synopsis Day-of-The-Week Effect in Fear Gauge by : Dr. Samreen Akhtar
Download or read book Day-of-The-Week Effect in Fear Gauge written by Dr. Samreen Akhtar and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study tests the presence of day-of-the-week effect with respect to the VIX (fear gauge) and its underlying market index Nifty 50 in India for a period from March 2009 to February 2016 using OLS and GARCH (1, 1) framework. Investors can use the day-of-the-week effects information to avoid and reduce the risk when investing in Indian stock market. The results report the presence of strong positive Monday effect and negative Tuesday and Thursday effects in the Volatility index of India, while in the case of Nifty Monday effect is not found but a weak positive Wednesday effect is present. In order to obtain robust results, the analysis is also presented for sub-periods.
Book Synopsis An Empirical Study on Seasonal Analysis in the Indian Stock Market by : Dr. P. Nageswari Sathish
Download or read book An Empirical Study on Seasonal Analysis in the Indian Stock Market written by Dr. P. Nageswari Sathish and published by . This book was released on 2020 with total page 1 pages. Available in PDF, EPUB and Kindle. Book excerpt: The presence of the Seasonal or Monthly Effect in stock returns has been reported in several developed and emerging stock markets. This study investigates the existence of seasonality in India's stock market. The Efficient Market Hypothesis suggests that all securities are priced efficiently to fully reflect all the information intrinsic in the asset. The Seasonal Effects create higher or lower returns depending on the Time Series. They are called Anomalies because they cannot be explained by traditional asset pricing models. Examples of such patterns include e.g. the January Effect, the Day-of-the Week Effect and the Week of the Month Effect etc. Studies on the Seasonal Effects in the Indian Stock Market are limited. In an attempt to fill this gap, this study explores the Indian Stock Market's Efficiency in the 'weak form' in the context of Seasonal Effects. The objective of this paper is to explore the Seasonal Effect on the Indian Stock Market. For the purpose this analysis BSE Sensex index was chosen for a period of ten years from 1st April 2000 to 31st March 2010. The study found that the Day of the Week Effect and Monthly Effect Pattern did not appear to exist in the Indian Stock Market during the study period.
Book Synopsis Semi-Strong Form Efficiency of Indian Stock Market in Post-Reform Period by : Dr Madhuchhanda Lahiri
Download or read book Semi-Strong Form Efficiency of Indian Stock Market in Post-Reform Period written by Dr Madhuchhanda Lahiri and published by Walnut Publication. This book was released on 2021-06-26 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis is an elegant edifice that provides a basis on which the efficiency tests of a stock market are performed at three distinct levels: weak - form, semi-strong form and strong - form. This magnificent edifice of EMH rests on the Random Walk Theory which contends that all price changes reflect a random departure from previous prices. The weak form of the hypothesis states that prices efficiently reflect all information contained in the past series of stock prices whereas the semi-strong form efficiency contends that security prices factor in publicly available information in the market and that the price changes to new equilibrium levels are reflections of that information. The book checks the weak-form and semi-strong form efficiency of the Indian stock market by examining the behaviour of the stock prices in the Indian stock market after the introduction of the various financial sector reforms using different methodologies. By using NSE data over the period 1998-2005 - the period which witnessed some major crises, scams, intense capital market activities and introduction of many new financial instruments - the study examines the information contents of historical stock price data, quarterly earnings announcements, and stock splits. The book also checks for the presence of the Day-of- the- Week Effect in the Indian stock market and enquires whether the introduction of the various instruments and policy changes have made the Indian stock market weak-form and semi-strong form efficient i.e., whether the efficiency of the stock market has been restored in the post-reforms period compared to the situation in the pre-reform period.
Book Synopsis Evidence for Seasonality and Changes in Seasonal Trends in Indian Stock Market by : Shilpa Lodha
Download or read book Evidence for Seasonality and Changes in Seasonal Trends in Indian Stock Market written by Shilpa Lodha and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Seasonality in stock markets is a regular and repetitive phenomenon occurring at some regular intervals of time, which may generate abnormal or excess returns. This paper explores the existence of seasonality in Indian stock market in four forms, namely, day-of-the-week effect, month-of-the-year effect, quarterly effects, and monthly effects. For this purpose, S&P CNX Nifty was taken as the sample. The daily closing, opening, high and low prices were collected from November 3, 1995 to May 31, 2013. ADF test was used for checking stationarity, whereas a dummy variable regression was used for testing seasonality. It was found that all the four effects are present in the Indian stock market. The returns of September, Monday, first quarter and first-half of the month were significantly different. Thus the existence of seasonality in Indian stock markets was proved. All the four effects tested for Nifty indicate that seasonality has changed over the years.
Book Synopsis Day of the Week Effect by : John Okey Onoh
Download or read book Day of the Week Effect written by John Okey Onoh and published by . This book was released on 2016 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is well documented that expected stock returns vary with the day of the week in developed stock markets as well as in emerging stock markets. The evidence of this seasonal pattern has, however, been very scanty in the case of Nigeria. The research therefore investigates the presence of the day of the week in the Nigerian Stock Exchange. The Ordinary Least Square method was used to analyze the stock returns pattern for a period ranging from 2nd January 2009 to 31st December 2015. Results obtained from the study shows that Friday returns is significantly higher than returns of other days of the week. This finding confirms the existence of the day of the week effect in the NSE daily return.
Book Synopsis Study of Calendar Anomalies in Indian Stock Markets by : Neeraj Amarnani
Download or read book Study of Calendar Anomalies in Indian Stock Markets written by Neeraj Amarnani and published by . This book was released on 2014 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock market anomalies can be broadly categorized as calendar, fundamental and technical anomalies. Calendar anomalies however are among the most discussed issues in the financial literature. This is because these anomalies are the primary contributors towards the abnormalities in the stock returns. Calendar anomalies are basically defined as an irregular pattern of stock returns which are based on a calendar year. This paper attempts to determine the existence of calendar anomalies, namely, Day of the week effect, Turn of the month effect and Month of the year effect in Indian stock market. Daily data of Sensex and Nifty for the period of 1993-2013 is analyzed using different statistical techniques. The tests indicate absence of significant day of the week effect and month of the year effect, while significant turn of the month effect is observed. There are multiple hypotheses associated with anomalies, but only turn of the month stands valid for Indian context.
Book Synopsis Calendar Anomalies in the Indian Stock Market by : Anokhi Parikh
Download or read book Calendar Anomalies in the Indian Stock Market written by Anokhi Parikh and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the month-of-the-year and day-of-the-week effect in the Indian stock market, during the period 1998-2007. The Standard GARCH model, GARCH-in-Mean, Exponential GARCH and Threshold ARCH models have been employed to test for calendar anomalies using the monthly and daily stock returns of the National Stock Exchange Index. The results confirm the presence of a significant 'December effect' in the Indian stock market even after taking time varying volatility into account. However, the 'Wednesday effect' detected by the Ordinary Least Squares model disappeared when time varying volatility was considered. The other findings of the study confirm that there are no information asymmetries in the Indian stock market as seen in the results produced by the EGARCH and TARCH models. An abridged version of this paper has been published by the National Stock Exchange of India Limited.
Book Synopsis Monday Effect and Stock Return Seasonality by : Dr. Rengasamy Elango
Download or read book Monday Effect and Stock Return Seasonality written by Dr. Rengasamy Elango and published by . This book was released on 2010 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates whether the anomalous 'weekend effect' found in many developed and developing markets around the world is also present in the rapidly emerging Indian equity market. We use the real-time data of three of the major indices of the National Stock Exchange of India (NSE) for 1999-2007 period. Standardizing the data, we apply a set of descriptive and inferential statistics on the above three indices. Our analysis produced mixed results indicating that the Monday returns are negative and low in the case of two out of three indices. The K-W test, which is a non-parametric test applied to examine whether the ranks of mean returns for each day of the week are equal, shows evidence of a statistically significant difference in the case of one sample index, CNX Samp;P Nifty Junior. The implication is that the weekend effect is present in small stocks. Dummy variable regression, which again examines the weekend effect shows that Monday returns are negative in one of the bench-mark indices, the NSE Samp;P Nifty confirming that the Indian Market is inefficient and could be exploited to maximize returns. Surprisingly, Wednesdays have yielded the highest mean returns across indices. However, volatility is also higher in these stocks. These findings offer interesting opportunities for individual investors and portfolio managers to place bid/ask orders in order to maximize their returns. However, due caution needs to be exercised while making the above decisions.
Book Synopsis Seasonalities in Stock Markets by : George Drogalas
Download or read book Seasonalities in Stock Markets written by George Drogalas and published by . This book was released on 2014 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: Day of the week effect phenomenon is one of the most important calendar anomalies that have been observed in many stock markets in all over the world. This specific phenomenon has been observed and studied by many researchers for many years and as a consequence there are a lot of different results. The present paper aims at examining in a theory level the meaning, the boundaries and the effects of this phenomenon. First of all, we make a short introduction about the day of the week effect phenomenon in general. After that, we present two significant issues: on the one hand the distinction between perfect and imperfect markets, on the other hand the analysis of the efficient market hypothesis. Then we analyze some of the most important calendar anomalies, which have been observed in many stock markets in all over the world and its possible explanations. Finally we analyze more analytically, the day of the week effect phenomenon and its possible explanations.
Book Synopsis The Day-of-the-Week Effect by : Marc Häfliger
Download or read book The Day-of-the-Week Effect written by Marc Häfliger and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This master thesis examines the day-of-the-week effect. The day-of-the-week effect is a stock market anomaly which challenges the Efficient Market Hypothesis, because in an efficient market the returns should be evenly distributed across the weekdays. This comprehensive analysis looks at the day-of-the-week effect from three different points of view: international evidence, size effect and market environment. To test the significance of the results, the Kruskal-Wallis test was applied. The analysis of 26 stock market indices from 1990 to 2011 and two sub-periods (1990-2000 and 2001-2011) gave evidence that the effect still existed in some countries, but diminished over time and was stronger for emerging stock markets. A significant day-of-the-week effect for all three periods analyzed was detected in Chile, Indonesia, Malaysia, the Philippines, Thailand and Turkey. The test of the size effect showed that the day-of-the-week effect was stronger for indices with lower capitalized stocks. In addition, this study found evidence that the day-of-the-week effect was more pronounced during times of low implied volatility, however, the results were not significant.
Book Synopsis An Empirical Analysis of Calendar Anomalies in Stock Returns – Evidence from India by : Dr. Sitaram Pandey
Download or read book An Empirical Analysis of Calendar Anomalies in Stock Returns – Evidence from India written by Dr. Sitaram Pandey and published by Book Rivers. This book was released on 2022-03-09 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Indian Stock Market by : Bishnupriya Mishra
Download or read book Indian Stock Market written by Bishnupriya Mishra and published by Excel Books India. This book was released on 2008 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: Indian Capital Market is considered the second largest capital market in the world next only to the United States of America. Stock Markets in India have grown exponentially as measured in terms of the number of listed companies, market capitalization, turnover on stock exchanges, price indices and others. In terms of reforms and development, the Indian stock market has been the fastest to grab every opportunity presented by the paradigm shift in India's economic policy. A well-organized and well-regulated capital market facilitates sustainable development of the economy by providing long-term funds in exchange for financial assets to investors. This book is based on a collection of chapter-contributions from leading academicians on relevant, authoritative and thought provoking aspects of Indian Stock Market. It contains both conceptual and empirical studies so as to enable the reader to acquire a holistic view of the subject. This book is designed to meet the requirements of MBA students specializing in the area of Finance, students of CA/ICWA, students of M.Com/B.Com, academicians, researchers, practitioners and investors in general.
