The Day-of-the-Week (DOW) effect on stock markets in India
Meher Shiva Tadepalli, Symbiosis International University (SIU)
Dr. Ravi Kumar Jain, Symbiosis Institute of Business Management Hyderabad (SIBM-H)
Abstract: To date, the most popular area of research to assess global stock markets is asset pricing in capital markets. Past research has evaluated global capital markets by using various asset pricing models. However, the literature indicates the widespread existence of seasonal anomalies. This article studies the various indices of stock exchanges in India in the context of a seasonal anomaly known as the Day-of-the-Week effect. ARIMAX modelling is used by extending the Autoregressive Integrated Moving Average (ARIMA) model through the inclusion of exogenous dummy variables (one for each trading day of the week). Change in the strength of the seasonality in relation to the advancements in the Indian stock market is also analysed. The study indicated a wide existence of the Day-of-the-Week effect in major broad-based and sectoral indices belong to the National Stock Exchange and Bombay Stock Exchange, especially, till the end of the accounting period settlement cycle.
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