A number of studies have been carried out from time to time both in the developed and developing economies to test the presence of anomalies in stock returns. Day of the week effect is the most commonly tested method to check the presence of seasonal anomalies. Previous empirical studies have strongly supported that seasonal anomalies do exist in stock markets. These seasonal anomalies provide an opportunity to the investors to earn abnormal returns by trading on past information. This study attempts to test whether the day of the week effect is present in the stock returns of the Bombay Stock Exchange in India. For this purpose, stock returns for the period between 2010 to 2017 with 1716 observation are taken into account. The day of the week effect hypothesis is tested using OLS model. The research does not support the day of the week effect. None of the coefficients (days of the week) were statistically significant at conventional level of significance (5%) indicating that there was no Day-of-the-Week Effect in the Sensex Returns. Thus, investors cannot earn abnormal returns by trading on a strategy based on past information.
Seasonality, Day of the Week effects, Anamoly, OLS, ANOVA
