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Week End Effect:Evidence from Indian Stock Market


Affiliations
1 Department of Humanities, PSG College of Technology, Coimbatore - 641004, India
 

The study provides the evidence for the presence of seasonality across the days of the week by using the percentage changes of daily closing values of two NSE indices, i.e. CNX 500 index and CNX Sharia 500 index for the period from 1st January 2010 to 31st December 2016. The Kruskall-Wall is nonparametric test (by computing 'H' statistic) is adopted in lieu of parametric one-way analysis of variance in this study to test the week form efficiency of the market. From the results it is observed the market may be inefficient during the short period of time, but in the long run it is efficient. Hence, the investors cannot outperform the market for a long period of time by investing on the particular day of the week.
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  • Week End Effect:Evidence from Indian Stock Market

Abstract Views: 603  |  PDF Views: 335

Authors

S. Muruganandan
Department of Humanities, PSG College of Technology, Coimbatore - 641004, India

Abstract


The study provides the evidence for the presence of seasonality across the days of the week by using the percentage changes of daily closing values of two NSE indices, i.e. CNX 500 index and CNX Sharia 500 index for the period from 1st January 2010 to 31st December 2016. The Kruskall-Wall is nonparametric test (by computing 'H' statistic) is adopted in lieu of parametric one-way analysis of variance in this study to test the week form efficiency of the market. From the results it is observed the market may be inefficient during the short period of time, but in the long run it is efficient. Hence, the investors cannot outperform the market for a long period of time by investing on the particular day of the week.

References





DOI: https://doi.org/10.23874/amber%2F2017%2Fv8%2Fi1%2F158365