SELECTED TOPIC FROM THE LIST

Market Volatility
NAME OF THE TOPIC
Financial Market Anomalies: Evidence from Day-of-the-Week Effect in Stock
Returns of Bombay Stock Exchange (BSE) during 2009-2014

Name of the Authors:

1st Author :
Prof. Anupam Panigrahi
Asst. Professor
ECONOMIC DEVELOPMENT INSTITUTE, BHUBANESWAR
BHUBANESWAR
ODISHA
panigrahister@gmail.com

2nd Author:
Dr. Mamta Gaur
Professor & Dean
VeL Tech Institute of Management(VtIM)
Vel Tech Dr.RR & Dr.SR Technical University,
Avadi, Chennai, Tamil Nadu
mamtagaur@veltechuniv.edu.in

DECLARATION
THIS PAPER IS AN ORIGINAL ONE DEVELOPED ONLY FOR PRESENTATION IN INDIA FINANCE CONFERENCE
2014, TO BE HELD AT IIM-BANGALORE FROM DECEMBER 17 TO 19, 2014. THIS PAPER HAS NOT BEEN
SUBMITTED IN ANY OF THE CONFERENCES BEFORE OR HAS NOT BEEN SENT FOR PUBLICATION IN ANY OF
THE JOURNAL, PERIODICAL OR MAGAZINE.
 Financial Market Anomalies: Evidence from Day-of-the-Week Effect in
Stock Returns of Bombay Stock Exchange (BSE) during 2009-2014

SYNOPSYS

In many cases it has been found that certain market anomalies do occur once and disappear,

where as few are constantly observed. When a security or group of securities performs

contrary to the concept of Efficient Market Hypothesis, where security prices are said to

reflect all available information at any point in time, the financial market anomalies do arise.

For the Indian market, empirical analyses on the market anomaly were limited and

contradicting and Prof. I. M. Pandey was the fore runner. Sometimes it is not only difficult to

maintain but also hard to achieve the efficient markets even though there is constant flow and

speedy spreading of new information(s). This paper investigates the existence of the market

anomalies in the Indian market by comparing averages of the mean of the index values of

BSE index from the year Jan 2009 to Jan 2014 by analyzing day of the week effect. This

paper aims to examine stock market seasonality effect and volatility in specific to day-of-the-

week-effect in Indian stock market for the BSE-SENSEX. The data used in this study is daily

closing prices of the market index (BSE-SENSEX) over the period from 1st Jan 2009 to 31st

Jan 2014 for Day-of-the-week effect. To test for the presence of day-of-the-week effect on

BSE stock market returns Kruskal Walis test and one way ANOVA were used to see if any

significant difference exists in average daily returns across week day return. The GARCH (1,

1), EGARCH (1, 1) and TGARCH (1, 1) models were also employed to examine the

existence of daily anomalies over the same period. 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.