A study on intraday seasonality in Nifty50 returns

This study attempt to explore Intraday seasonality of Nifty 50 before and after introduction of pre-opening session. Five minute interval return data for Nifty 50 is used to investigate any return pattern in above said period. Results depict that Monday and Friday returns are significant before the introduction of pre-opening session. However, after the introduction of pre-opening session Nifty returns for all trading days is not significantly different from each other. Moreover, U-shaped pattern (as morning and afternoon session is evident) is apparent for period after the introduction of pre-opening session and reverse J shape or L-shape pattern (evidence of significant returns in afternoon session) for period before the introduction of pre-opening session. Additionally, Monday mornings sessions are highly significant in both periods.