1Vice. Principal, Associate Professor in Commerce, St. Joseph.s College, (Autonomous), Tiruchirappalli, 620 002
2Ph. D. Full Time Research Scholar, Department of Commerce, St. Joseph.s College, (Autonomous), Tiruchirappalli, 620 002
Online published on 17 March, 2016.
This study examines the existence of the day of the week effect in NSE (CNX NIFTY) index of Indian stock market by using ARCH/GARCH analysis. The study covering the period from 1stApril 2005 to 31stMarch 2015, which is consist of ten years. The data has been tested by different statistical tools namely; Graphical analysis, Correlogram, unit root test, ordinary least square regression, GARCH (1, 1) and so on. The study evidence that Monday, and Wednesday are provided high return than other days of the week. The empirical findings of the ARCH/GARCH(1, 1) model showed that NSE (CNX NIFTY) index have Monday effect for the study period. However, other trading days of the week coefficient is negative except Monday and Wednesday. The Monday provides the highest return than other trading days of the week at 1 per cent significant of the p-value.
NSE (CNX NIFTY), Monday effect, OLS Regression, ARCH/GARCH(1, 1)
