Existence of Day-of-the-Week Effect: Evidence from Indian Stock Market

Hem Chandra Kothari

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Existence of Day-of-the-Week Effect: Evidence from Indian Stock Market

机译：每日效应的存在：来自印度股票市场的证据

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This study is an attempt to measure Day-of-the-Week Effect on the return and volatility of BSE and NSE indices for the period of 2005 through 2014. Along with the descriptive statistics, t-test and ANOVA has been used to capture mean deference in returns for the trading days Monday through Friday. Mean returns of only one index, Nifty Junior, has found statistically significant while using t-test whereas, no such difference was observed in any of the index (BSE and NSE) in ANOVA. To confirm the findings of t-test and ANOVA, an econometric model AR (1)-GARCH (1, 1) has been used. In contrast of the findings of the other indices, return on Monday for BSE Small Cap has found statistically significant. It has also observed that, volatility on Monday for return on BSE Small Cap is statistically significant. Return on Tuesday, for BSE Small Cap and BSE Mid Cap, has found negative and statistically significant. Returns on these two indices have also found negatively volatile on Tuesday. Wednesday effect has only observed on Nifty Junior but, there is no volatility captured on Wednesday for Nifty Junior. Return on Nifty Junior has also found positive and statistically significant on Friday but, there is no volatility captured for return on Nifty Junior on Friday.

机译：这项研究是为了衡量2005年至2014年期间BSE和NSE指数的收益率和波动率的逐日影响。除描述性统计数据外，还使用t检验和ANOVA来捕获均值尊重周一至周五交易日的收益。在使用t检验时，只有一项指数Nifty Junior的平均收益在统计上显着，而在ANOVA中，任何一项指数（BSE和NSE）都没有观察到这种差异。为了确认t检验和ANOVA的发现，已使用计量经济学模型AR（1）-GARCH（1，1）。与其他指数的发现相反，周一，疯牛病小盘股的收益率具有统计意义。它还观察到，周一疯牛病小盘收益率的波动具有统计意义。对于BSE小盘股和BSE中盘股，周二的收益率为负且具有统计意义。周二，这两个指数的回报也出现了负波动。周三效应仅在Nifty Junior上观察到，但是在Nifty Junior上没有捕获到波动。 Nifty Junior的收益在周五也显示出正值并具有统计意义，但周五Nifty Junior的收益没有波动。

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《European Journal of Business and Management》 |2016年第4期|共12页
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Hem Chandra Kothari;
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1. Existence of Day-of-the-Week Effect: Evidence from Indian Stock Market [J] . Hem Chandra Kothari European Journal of Business and Management . 2016,第4期

机译：每日效应的存在：来自印度股票市场的证据
2. THE EXISTENCE OF BEHAVIOURAL FACTORS AMONG INDIVIDUAL INVESTORS FOR INVESTMENT DECISION IN STOCK MARKET: EVIDENCE FROM INDIAN STOCK MARKET [J] . Swati Mehta, Jaydip Chaudhari Global Journal of Research in Management . 2016,第1期

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机译：中国股票市场的市场效率问题：I.中国股票市场的周日效应，月度效应和月度效应。二。中国的两个股票市场（上海和深圳）是整合还是细分？三，重新对中国股市施加10％的价格限制的影响。
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7. Day-of-the-Week Effect on Stock Market Return and Volatility: Evidence from Indian Stock Market [O] . Papia Mitra 2016

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Existence of Day-of-the-Week Effect: Evidence from Indian Stock Market

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