Day Of The Week Effects In Nse Stock Returns

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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.

Day Of The Week Effects In The Indian Stock Market

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Author : Srinivasan Palamalai
language : en
Publisher:
Release Date : 2015

Day Of The Week Effects In The Indian Stock Market written by Srinivasan Palamalai 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.

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.

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

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Author : John Okey Onoh
language : en
Publisher:
Release Date : 2016

Day Of The Week Effect written by John Okey Onoh and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.

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.

Day Of The Week Effects In Stock Returns

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Author : S. Arumugam
language : en
Publisher:
Release Date : 1997

Day Of The Week Effects In Stock Returns written by S. Arumugam and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Stock exchanges categories.

Monday Effect And Stock Return Seasonality

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Author : Dr. Rengasamy Elango
language : en
Publisher:
Release Date : 2010

Monday Effect And Stock Return Seasonality written by Dr. Rengasamy Elango and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.

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.

The Day Of The Week Effect In Daily Stock Returns

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Author : Jing Zhao
language : en
Publisher:
Release Date : 2004

The Day Of The Week Effect In Daily Stock Returns written by Jing Zhao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.

Once Upon A Time

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Author : Jörg Prokop
language : en
Publisher:
Release Date : 2009

Once Upon A Time written by Jörg Prokop and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.

This paper studies the development of the day-of-the-week effect in German and US stock market returns over the past decades. Using an OLS regression approach, we analyse four major German stock market indices for abnormal returns on each trading day of the week, with the longest observation period ranging from 2007 back to the mid-1960s. Moreover, as prior studies indicate the existence of a relationship between the magnitude of the day-of-the-week anomaly and the time of the month at which it occurs, we also analyse the indices' return behaviour categorised by week of the month. The results are compared to those of prior studies, as well as to our own findings for a sample covering the US stock market. We find that for both markets, the leading equity indices, DAX and SP500, exhibit a strong Monday effect during the older sample periods, which is fading over time, reversing during the 1990s, and vanishing after the year 2000. However, regarding smaller stock market indices, our results for the German and for the US data differ substantially, indicating that there is no general parallel market behaviour with respect to this specific return anomaly. Finally, with respect to the more recent sample periods, none of the daily return anomalies observable between the 1960s and the 1980s seem to have persisted, suggesting an increase in informational efficiency of the respective markets over time.

Day Of The Week Intraday Effects In Stock Returns

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Author : Michael Smirlock
language : en
Publisher:
Release Date : 1985

Day Of The Week Intraday Effects In Stock Returns written by Michael Smirlock and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with Stocks categories.

Day Of The Week Effect Of Common Stock Returns

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Author : Loke Yee Wong
language : en
Publisher:
Release Date : 1987

Day Of The Week Effect Of Common Stock Returns written by Loke Yee Wong and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Stocks categories.