Stock Market Anomaly: Day of the Week Effect in Bombay Stock Exchange with the Application of GARCH Model
Pramod Kumar Patjoshi1, Girija Nandini2
1Dr. Pramod Kumar Patjoshi*, Department of Management, Centurion University of Technology and Management, Bhubaneswar, Odisha, India. Email
2Dr. Girija Nandini, Department of Management, Centurion University of Technology and Management, Bhubaneswar, Odisha, India.
Manuscript received on February 10, 2020. | Revised Manuscript received on February 26, 2020. | Manuscript published on March 10, 2020. | PP: 2244-2249 | Volume-9 Issue-5, March 2020. | Retrieval Number: E2999039520/2020©BEIESP | DOI: 10.35940/ijitee.E2999.039520
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© The Authors. Blue Eyes Intelligence Engineering and Sciences Publication (BEIESP). This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/)
Abstract: It has observed from many stock markets around the world that index value used to vary due to fluctuation in stock prices. One of the most important factors of variation in the stock prices is the day of the week effect, which indicates calendar irregularities in stock markets. Investment in the stock market is the most uncertain; therefore investors get worried regarding the appropriate day to trade in the financial market. The main objective of the present study is to find out the appropriate day of the week effect of developing the stock market of an emergent nation like India from 1st January 2000 to 31st December 2018. For fulfilling the objectives of the study, the daily closing value of four major indices of the Bombay Stock Exchange has been taken into consideration. To test the equality between average returns to different days and to examine the distribution pattern of daily returns series that measure the day of the week analysis, the parametric tools alike Mean and Standard deviation have employed. Apart from the parametric test, t-test has also applied to the daily returns in order to test the hypothesis. In this study, descriptive statistics and the GARCH model has also used with the purpose of measuring the day of the week effect analysis. Conferring to the results, the coefficients express that the return among different days of the week are statistically significant,
Keywords: Stock Market Anomaly, Indian Stock Market, BSE, Indices, Day Of The Week Effects, GARCH Model, Intra, Day effects.
Scope of the Article: Adaptive Networking Applications