Title: Day of the week effect in the Indian stock market

Authors: Rajesh Elangovan; Francis Gnanasekar; Satyanarayana Parayitam

Addresses: Department of Commerce, Bishop Heber College (Autonomous), Tiruchirappalli, India ' Department of Commerce, St. Joseph's College (Autonomous), Tiruchirappalli, India ' Department of Management and Marketing, Charlton College of Business, University of Massachusetts Dartmouth, 285 Old Westport Road, North Dartmouth, MA 02747, USA

Abstract: The objective of the present study is to examine the day-of-the week effects in the Indian stock market. For analysis, we selected the BSE Ltd and NSE benchmark indices namely S&P BSE SENSEX and NSE Nifty 50 in this research. The sample included from 1st April 2011 to 31st March 2021, which consists of ten years. The findings reveal that the values of coefficients of Wednesday are positively significant for S&P BSE SENSEX and NSE Nifty 50 Indices. The results from the study suggest that it would be beneficial for the investors to sell shares on Wednesdays and buy shares on other trading days. The results from the present study would be beneficial to individual investors, institutional investors, investment brokers, and administrators in companies.

Keywords: calendar anomalies; day of the week effect; ADF test; ARIMA; GARCH.

DOI: 10.1504/IJAF.2023.134517

International Journal of Accounting and Finance, 2023 Vol.11 No.3, pp.181 - 201

Accepted: 12 Jan 2023
Published online: 26 Oct 2023 *