International Journal of Financial Management

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An Investigation of the Day-of-the-Week Effect on Return and Volatility of NSE NIFTY


Affiliations
1 Assistant Professor in Commerce, Rabindra Mahavidyalaya, Champadanga, Hooghly, West Bengal, India
     

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The present study has sought to investigate the issue of day-of-the-week effect in Indian stock market. Applying GARCH-M model on the daily NIFTY returns data, a comparative study has been conducted to observe whether there is any difference between two sub-periods that is the period representing before the introduction of the T+2 rolling settlement and that of representing after the introduction of such system respectively regarding day-of-the-week effect in Indian stock market. The findings of the study clearly indicate that there was day-of- the- week effect in the daily NIFTY return during the pre T+2 rolling settlement period. But, such effect vanishes after the introduction of T+2 rolling settlement. However, a significant dayof- the- week effect remains in conditional volatility in the second sub-periods particularly in case of Tuesday. Application of TGARCH model has confirmed the above results.

Keywords

Day-of-the-Week effect, Volatility, GARCH-M, Dummy Variable, T+2 Rolling Settlement
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  • An Investigation of the Day-of-the-Week Effect on Return and Volatility of NSE NIFTY

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Authors

Som Sankar Sen
Assistant Professor in Commerce, Rabindra Mahavidyalaya, Champadanga, Hooghly, West Bengal, India

Abstract


The present study has sought to investigate the issue of day-of-the-week effect in Indian stock market. Applying GARCH-M model on the daily NIFTY returns data, a comparative study has been conducted to observe whether there is any difference between two sub-periods that is the period representing before the introduction of the T+2 rolling settlement and that of representing after the introduction of such system respectively regarding day-of-the-week effect in Indian stock market. The findings of the study clearly indicate that there was day-of- the- week effect in the daily NIFTY return during the pre T+2 rolling settlement period. But, such effect vanishes after the introduction of T+2 rolling settlement. However, a significant dayof- the- week effect remains in conditional volatility in the second sub-periods particularly in case of Tuesday. Application of TGARCH model has confirmed the above results.

Keywords


Day-of-the-Week effect, Volatility, GARCH-M, Dummy Variable, T+2 Rolling Settlement

References