Day Of The Week Effect On Trading And Non Trading Stock Market Returns In India
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Day Of The Week Effect On Trading And Non Trading Stock Market Returns In India
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Author : Shahid Ahmed
language : en
Publisher:
Release Date : 2015
Day Of The Week Effect On Trading And Non Trading Stock Market Returns In India written by Shahid Ahmed and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
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.
Day Of The Week Effect On Gold Returns
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Author : Dr. Sunita Arora
language : en
Publisher:
Release Date : 2013
Day Of The Week Effect On Gold Returns written by Dr. Sunita Arora and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Day of the week effect has vastly been investigated for stock markets, but commodity markets have got less attention in this regard. Present study is an attempt to investigate the day of the week effect on gold futures return. For the purpose of study, opening and closing prices of gold futures contract, traded on India's largest commodity exchange i.e. Multi Commodity Exchange of India Limited (MCX), have been analysed with the help of dummy variables. Daily return from close to close prices was calculated and was further decomposed into trading period return and non trading period return. Gold is traded on MCX six days a week, from Mondays through Saturdays; therefore dummies for all the six days have been applied. Period of study spans from 1st April 2006 to 31st March 2012. Data has been analysed by applying linear regression of dummy variables on return. But after applying linear regression, ARCH effect was found to be left. To account for ARCH effect, GARCH(1,1) model was applied. Extreme value analysis was also carried on with the help of chi-square test. Presence of day of the week effect was found in all the three types of return series, but the impact was more during non trading period than during trading period. Results of the study may be useful for commodity market players in timing their trading.
Day Of The Week Effects In Nse Stock Returns
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Author : Varun Arora
language : en
Publisher:
Release Date : 2008
Day Of The Week Effects In Nse Stock Returns written by Varun Arora and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
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.
Capital Markets And Investment Decision Making
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Author : Raj S. Dhankar
language : en
Publisher: Springer
Release Date : 2019-04-25
Capital Markets And Investment Decision Making written by Raj S. Dhankar and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-04-25 with Business & Economics categories.
This book discusses capital markets and investment decision-making, focusing on the globalisation of the world economy. It presents empirically tested results from Indian and Southwest Asian stock markets and offers valuable insights into the working of Indian capital markets. The book is divided into four parts: the first part examines capital-market operations, particularly clearance and settlement processes, and stock market operations. The second part then addresses the functioning of global markets and investment decisions; more specifically it explores calendar anomalies, dependencies, overreaction effect, causality effect and stock returns volatility in South Asia, U.S. and global stock markets as a whole. Part three covers issues relating to capital structure, values of firm and investment strategies. Lastly, part four discusses emerging issues in finance like behavioral finance, Islamic finance, and international financial reporting standards. The book fills the gap in the existing finance literature and helps fund managers and individual investors make more accurate investment decisions.
Semi Strong Form Efficiency Of Indian Stock Market In Post Reform Period
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Author : Dr Madhuchhanda Lahiri
language : en
Publisher: Walnut Publication
Release Date : 2021-06-26
Semi Strong Form Efficiency Of Indian Stock Market In Post Reform Period written by Dr Madhuchhanda Lahiri and has been published by Walnut Publication this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-06-26 with Antiques & Collectibles categories.
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.
Artha Vij Na
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Author :
language : en
Publisher:
Release Date : 2006
Artha Vij Na written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Economics categories.
Finance Analytics In Business
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Author : Sanjay Taneja
language : en
Publisher: Emerald Group Publishing
Release Date : 2024-06-17
Finance Analytics In Business written by Sanjay Taneja and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-06-17 with Business & Economics categories.
Finance Analytics in Business brings together specialists around the world working in various disciplines to reflect on finance analytics in business. This crucial field gives different views of a company’s financial data, and helps it gain knowledge to take action to improve financial performance.
Finance India
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Author :
language : en
Publisher:
Release Date : 2008
Finance India written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Finance categories.
An Empirical Analysis Of Calendar Anomalies In Stock Returns Evidence From India
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Author : Dr. Sitaram Pandey
language : en
Publisher: Book Rivers
Release Date : 2022-03-09
An Empirical Analysis Of Calendar Anomalies In Stock Returns Evidence From India written by Dr. Sitaram Pandey and has been published by Book Rivers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-03-09 with Antiques & Collectibles categories.
The Sage Dictionary Of Quantitative Management Research
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Author : Luiz Moutinho
language : en
Publisher: SAGE
Release Date : 2011-02-09
The Sage Dictionary Of Quantitative Management Research written by Luiz Moutinho and has been published by SAGE this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-02-09 with Business & Economics categories.
Electronic Inspection Copy available for instructors here A must-have reference resource for quantitative management researchers, the Dictionary contains over 100 entries covering the fundamentals of quantitative methodologies; covering both analysis and implementation and examples of use, as well as detailed graphics to aid understanding. Every entry features: -An introduction to the topic, -Key relevant features, -A worked example, -A concise summary and a selection of further reading suggestions -Cross-references to associated concepts within the dictionary