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Author: Srinivasan Palamalai Publisher: ISBN: Category : Languages : en Pages : 20
Book Description
This paper investigates empirically the day-of-the-week effect on stock returns and volatility of the Indian stock markets. The GARCH (1,1), EGARCH (1,1) and TGARCH (1,1) models were employed to examine the existence of daily anomalies over the period of 1st July, 1997 to 29th June, 2012. The empirical results derived from the GARCH models indicate the existence of day-of-the-week effects on stock returns and volatility of the Indian stock markets. The study reveals positive Monday and Wednesday effects in the NSE-Nifty and BSE-SENSEX market returns. The average return on Monday is significantly higher than the average return of Wednesday in the NSE-Nifty and BSE-SENSEX markets. Besides, the findings confirm the strong support of ARCH and GARCH effects persist in the returns series. Moreover, the asymmetric GARCH models show that the Indian stock market returns exhibit asymmetric (leverage) effect. Most importantly, the empirical results indicate that Tuesday effects have negative impact on volatility after controlling the persistence and asymmetric effects.
Author: Srinivasan Palamalai Publisher: ISBN: Category : Languages : en Pages : 20
Book Description
This paper investigates empirically the day-of-the-week effect on stock returns and volatility of the Indian stock markets. The GARCH (1,1), EGARCH (1,1) and TGARCH (1,1) models were employed to examine the existence of daily anomalies over the period of 1st July, 1997 to 29th June, 2012. The empirical results derived from the GARCH models indicate the existence of day-of-the-week effects on stock returns and volatility of the Indian stock markets. The study reveals positive Monday and Wednesday effects in the NSE-Nifty and BSE-SENSEX market returns. The average return on Monday is significantly higher than the average return of Wednesday in the NSE-Nifty and BSE-SENSEX markets. Besides, the findings confirm the strong support of ARCH and GARCH effects persist in the returns series. Moreover, the asymmetric GARCH models show that the Indian stock market returns exhibit asymmetric (leverage) effect. Most importantly, the empirical results indicate that Tuesday effects have negative impact on volatility after controlling the persistence and asymmetric effects.
Author: Varun Arora Publisher: ISBN: Category : Languages : en Pages : 27
Book Description
The presence of the seasonal or monthly effect in stock returns has been reported in several developed and emerging stock markets. This study investigates the existence of seasonality in India's stock market, primarily trying to detect the quot;Day of the Week Effectquot; in the Stocks listed on the National Stock Exchange. It covers the post-reform period. The study uses the Daily return data of the stocks listed on National Stock Exchange and Bombay Stock Exchange Index for the period from November 1994 to September 2007 for analysis. After examining the stationarity of the return series, by applying quot;Kruskal Wallisquot; test and quot;One Way Anovaquot; i.e. using both Parametric and Non Parametric Tests, we specify an Augmented Dummy Regressive model to find the Day of the week effect monthly effect in stock returns in India. Another feature of our study was that we analysed the day of the week effect in three different phases of market ie. quot;Consolidationquot; Phase, quot;Bearishquot; Phase and the quot;Bullishquot; Phase. This was carried with an intention to see whether the day of the week effect was visible in these specific market phases or not. The results confirm the existence of seasonality (in the form of Day of the Week Effect) stock returns in India for 66 Stocks spanning across various sectors that we analysed - The results of the study imply that the stock market in India is inefficient, and hence, investors can time their share investments to improve returns and make abnormal profits. However the Day of the Week effect was found to be absent in the Bullish as well as the Bearish phase, which was a departure from our previous belief of the existence of this effect in all phases of the market.
Author: Golaka C. Nath Publisher: ISBN: Category : Languages : en Pages : 33
Book Description
The present study examines empirically the day of the week effect anomaly in the Indian equity market for the period from 1999 to 2003 using both high frequency and end of day data for the benchmark Indian equity market index Samp;P CNX NIFTY. Using robust regression with biweights and dummy variables, the study finds that before introduction of rolling settlement in January 2002, Monday and Friday were significant days. However after the introduction of the rolling settlement, Friday has become significant. This also indicates that Fridays, being the last days of the weeks have become significant after rolling settlement. Mondays were found to have higher standard deviations followed by Fridays. The existence of market inefficiency is clear. The market inefficiency still exists and market is yet to price the risk appropriately.
Author: Shahid Ahmed Publisher: ISBN: Category : Languages : en Pages : 27
Book Description
The present study examines the Day-of-the-Week effect anomaly in the Indian equity market during the period of July 1997 to March 2006 using daily data of NSE Nifty and BSE Sensex. The Day-of-the-Week effect implies that the stocks return is not independent of the Day-of-the-Week in which they are generated. If such an anomaly exists, market participants can take advantage of the same and adjust their buying and selling strategies accordingly to increase their returns. Both parametric and non-parametric approaches are applied to detect the Day-of- the-Week effect in both mean and volatility of returns. The results indicate that BSE starts upwards, declines in middle of the week and end downwards while NSE starts downward, upward in middle of the week and end downwards. The study reveals U-shaped intra-day pattern in price volatility in both the markets. The results also indicate differential pattern of movements in mean and variance of trading and non-trading returns across the weekdays. It is also observed that there is an improvement in the Day-of-the-Week anomaly during the period of January 2002 to March 2006.
Author: Dr. Samreen Akhtar Publisher: ISBN: Category : Languages : en Pages :
Book Description
This study tests the presence of day-of-the-week effect with respect to the VIX (fear gauge) and its underlying market index Nifty 50 in India for a period from March 2009 to February 2016 using OLS and GARCH (1, 1) framework. Investors can use the day-of-the-week effects information to avoid and reduce the risk when investing in Indian stock market. The results report the presence of strong positive Monday effect and negative Tuesday and Thursday effects in the Volatility index of India, while in the case of Nifty Monday effect is not found but a weak positive Wednesday effect is present. In order to obtain robust results, the analysis is also presented for sub-periods.
Author: Dr. P. Nageswari Sathish Publisher: ISBN: Category : Languages : en Pages : 1
Book Description
The presence of the Seasonal or Monthly Effect in stock returns has been reported in several developed and emerging stock markets. This study investigates the existence of seasonality in India's stock market. The Efficient Market Hypothesis suggests that all securities are priced efficiently to fully reflect all the information intrinsic in the asset. The Seasonal Effects create higher or lower returns depending on the Time Series. They are called Anomalies because they cannot be explained by traditional asset pricing models. Examples of such patterns include e.g. the January Effect, the Day-of-the Week Effect and the Week of the Month Effect etc. Studies on the Seasonal Effects in the Indian Stock Market are limited. In an attempt to fill this gap, this study explores the Indian Stock Market's Efficiency in the 'weak form' in the context of Seasonal Effects. The objective of this paper is to explore the Seasonal Effect on the Indian Stock Market. For the purpose this analysis BSE Sensex index was chosen for a period of ten years from 1st April 2000 to 31st March 2010. The study found that the Day of the Week Effect and Monthly Effect Pattern did not appear to exist in the Indian Stock Market during the study period.
Author: Dr Madhuchhanda Lahiri Publisher: Walnut Publication ISBN: 9391145787 Category : Antiques & Collectibles Languages : en Pages : 277
Book Description
The Efficient Market Hypothesis is an elegant edifice that provides a basis on which the efficiency tests of a stock market are performed at three distinct levels: weak - form, semi-strong form and strong - form. This magnificent edifice of EMH rests on the Random Walk Theory which contends that all price changes reflect a random departure from previous prices. The weak form of the hypothesis states that prices efficiently reflect all information contained in the past series of stock prices whereas the semi-strong form efficiency contends that security prices factor in publicly available information in the market and that the price changes to new equilibrium levels are reflections of that information. The book checks the weak-form and semi-strong form efficiency of the Indian stock market by examining the behaviour of the stock prices in the Indian stock market after the introduction of the various financial sector reforms using different methodologies. By using NSE data over the period 1998-2005 - the period which witnessed some major crises, scams, intense capital market activities and introduction of many new financial instruments - the study examines the information contents of historical stock price data, quarterly earnings announcements, and stock splits. The book also checks for the presence of the Day-of- the- Week Effect in the Indian stock market and enquires whether the introduction of the various instruments and policy changes have made the Indian stock market weak-form and semi-strong form efficient i.e., whether the efficiency of the stock market has been restored in the post-reforms period compared to the situation in the pre-reform period.
Author: Shilpa Lodha Publisher: ISBN: Category : Languages : en Pages :
Book Description
Seasonality in stock markets is a regular and repetitive phenomenon occurring at some regular intervals of time, which may generate abnormal or excess returns. This paper explores the existence of seasonality in Indian stock market in four forms, namely, day-of-the-week effect, month-of-the-year effect, quarterly effects, and monthly effects. For this purpose, S&P CNX Nifty was taken as the sample. The daily closing, opening, high and low prices were collected from November 3, 1995 to May 31, 2013. ADF test was used for checking stationarity, whereas a dummy variable regression was used for testing seasonality. It was found that all the four effects are present in the Indian stock market. The returns of September, Monday, first quarter and first-half of the month were significantly different. Thus the existence of seasonality in Indian stock markets was proved. All the four effects tested for Nifty indicate that seasonality has changed over the years.
Author: John Okey Onoh Publisher: ISBN: Category : Languages : en Pages : 15
Book Description
It is well documented that expected stock returns vary with the day of the week in developed stock markets as well as in emerging stock markets. The evidence of this seasonal pattern has, however, been very scanty in the case of Nigeria. The research therefore investigates the presence of the day of the week in the Nigerian Stock Exchange. The Ordinary Least Square method was used to analyze the stock returns pattern for a period ranging from 2nd January 2009 to 31st December 2015. Results obtained from the study shows that Friday returns is significantly higher than returns of other days of the week. This finding confirms the existence of the day of the week effect in the NSE daily return.
Author: Srinivasan Palamalai
Author: Srinivasan Palamalai
Author: Varun Arora
Author: Golaka C. Nath
Author: S. Arumugam
Author: Shahid Ahmed
Author: Dr. Samreen Akhtar
Author: Dr. P. Nageswari Sathish
Author: Dr Madhuchhanda Lahiri
Author: Shilpa Lodha
Author: John Okey Onoh