Day of the Week effect in Indian Stock Market

Abstract

Day of the Week effect is a calendar anomaly which suggests that stock returns vary systematically by weekday, challenging the Efficient Market Hypothesis. Even though it has been extensively documented in global market, recent evidence from India remains limited, especially in light of the evolving market dynamics and technology. This study investigates the Day of the Week effect in the Indian stock market using 15 years of nifty 50 data divided into five sub groups of 3 years each. The study also uses Indian volatility index (VIX) as a control variable to account for uncertain risk. The findings from the OLS and GARCH models indicate a robust and statistically significant positive Monday effect across most periods, along with a negative Thursday effect in the recent years. The study highlights the persistence and changing pattern of the Day of the Week effect and provides insights for the investors and help them understand and anticipate week-day based return patterns.