Exploring the Day of the Week Effect in the Indian Stock Market: Insights from Symmetric and Asymmetric GARCH Models

The study examines the day-of-the-week effect in the Indian stock market to investigate the underlying return pattern on a specific day. For that purpose, the daily closing prices of the two indices, Nifty 50 and Sensex, of the National Stock Exchange (NSE) and the Bombay Stock Exchange (BSE) are sourced from the official websites of NSE and BSE. The return pattern is evaluated by employing a symmetric and asymmetric GARCH model i.e. GARCH (1,1) and EGARCH(1,1). The results show that Monday & Friday yield the significantly highest returns and Wednesday & Thursday yield the significantly lowest returns. The days with the highest and lowest return days differ across the symmetric and asymmetric GARCH model, indicating the sensitivity of return towards the news. Thus, the study provides valuable insight to investors and traders in order to formulate their purchasing and selling strategies. It also assists the market analysts and researchers in analysing the cause of the variations in the return and volatility on the different days of the week and helps them to formulate the guidelines, regulations, and policies to foster the efficient market.