Journal Press India^®

Author Details ( * ) denotes Corresponding author

Investors aim to achieve superior profits through meticulous examination of stock prices. One noteworthy phenomenon in this regard is the day-of-the-week effect, which proposes that stock returns follow a discernible pattern based on the trading day. In line with the Efficient Market Hypothesis, the expectation is that daily mean returns should be uniform. To investigate this phenomenon, the study focused on the day-of-the-week effect using the S&P BSE index. Daily closing prices of S&P BSE 200 from April 1, 2021, to March 31, 2023, were observed and sourced from the Bombay Stock Exchange website. Various statistical tests, such as the Jarque Bera test, Student’s t-test, and Ordinary Least Square (OLS) model, were employed. The analysis of the findings revealed a deviation from a normal distribution. Both the Student’s t-test and OLS regression identified Tuesday and Wednesday as statistically significant days. The study concludes that the S&P BSE 200 index exhibits the day-of-the-week effect anomaly, suggesting that investors can achieve abnormal profits by strategically observing specific trading days.

Keywords

Day of the week effect; Market anomaly; Market efficiency; OLS regression

1. Alagidede, P., & Panagiotidis, T. (2009). Calendar Anomalies in the Ghana Stock Exchange. Journal of Emerging Market Finance, 8(1), 1–23. https://doi.org/10.1177/097265270900800101
2. Berument, H., & Kiymaz, H. (2001). The day of the week effect on stock market volatility. Journal of Economics and Finance, 25(2), 181–193. https://doi.org/10.1007/BF02744521
3. Bush, P. J., & Stephens, J. E. (2016). The Return of the Monday Effect in European Currency Markets: An Empirical Analysis of the Impact of the Economic Crisis on Market Efficiency: Monday Effect in European Currency. International Journal of Finance & Economics, 21(3), 241–246. https://doi.org/10.1002/ijfe.1534
4. Fama, E. F. (1965). The Behavior of Stock-Market Prices. The Journal of Business, 38(1), 34–105.
5. Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383. https://doi.org/10.2307/2325486
6. Mallesha, L., & Archana, H. N. (2023). Impact of Dividend Declarations on Stock Prices During COVID-19 in India: An Event Study Approach. Research Bulletin, 48(3–4), 71–87.
7. Mehla, S., & Goyal, S. K. (2012). Empirical Evidence on Weak Form of Efficiency in Indian Stock Market. Asia-Pacific Journal of Management Research and Innovation, 8(1), 59–68. https://doi.org/10.1177/2319510X1200800107
8. Poshakwale, S. (2002). The Random Walk Hypothesis in the Emerging Indian Stock Market. Journal of Business Finance <html_ent Glyph="@amp;" Ascii="&amp;"/> Accounting, 29(9 & 10), 1275–1299. https://doi.org/10.1111/1468-5957.00469
9. Rehman, S., Chhapra, I. U., Kashif, M., & Rehan, R. (2018). Are Stock Prices a Random Walk? An Empirical Evidence of Asian Stock Markets. ETIKONOMI, 17(2), 237–252. https://doi.org/10.15408/etk.v17i2.7102
10. Rossi, M., & Gunardi, A. (2018). Efficient Market Hypothesis And Stock Market Anomalies: Empirical Evidence In Four European Countries. Journal of Applied Business Research (JABR), 34(1), 183–192. https://doi.org/10.19030/jabr.v34i1.10111
11. Sadat, A. R. (2019). Testing Weak Form of Market Efficiency of DSE Based on Random Walk Hypothesis Model: A Parametric Test Approach. International Journal of Accounting and Financial Reporting, 9(1), 15.
12. Said, A., & Harper, A. (2015). The Efficiency of The Russian Stock Market: A Revisit of The Random Walk Hypothesis. 19(1), 8.
13. Sharma, D. S. (2011). DAY OF WEEK EFFECT: EVIDENCES FROM INDIAN STOCK MARKET. 6, 6.
14. Sharma, V., & Singh, B. (2006). Day-Of-The-Week Effect And Indian Stock Market. Paradigm, 10(1), 31–43. https://doi.org/10.1177/0971890720060106
15. Siddiqui, T. A., & Narula, I. (2013). Market Efficiency and Anomalies: Evidences from S&P CNX NIFTY. Vision: The Journal of Business Perspective, 17(3), 233–245. https://doi.org/10.1177/0972262913496728
16. Slater, J. J., Brown, P. E., & Rosenthal, J. S. (2021). Forecasting subnational COVID‐19 mortality using a day‐of‐the‐week adjusted Bayesian hierarchical model. Stat, 10(1). https://doi.org/10.1002/sta4.328
17. Srinivasan, P. (2010). Testing Weak-Form Efficiency of Indian Stock Markets. 1(2), 8.
18. Tadepalli, M. S., Jain, R. K., & Metri,  and B. A. (2022). An Enquiry into the Persistence of Turn-of-the-Month Effect on Stock Markets in India: Insights and Perspectives on a Seasonal Anomaly. Business Perspectives and Research, 10(1), 9–26. https://doi.org/10.1177/2278533721994713