An Investigation of the Day-of-the-Week Effect on Return and Volatility of NSE NIFTY
Published: 2013
Author(s) Name: Som Sankar Sen |
Author(s) Affiliation: Assistant Professor in Commerce, Rabindra Mahavidyalaya, Champadanga, Hooghly, West Bengal, India
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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
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