Efficiency of Indian Stock Market: A case of day of the week effect

The purpose of this study is to test the informational efficiency of Indian securities marketwith respect to a widely reported market anomaly, i.e., Day of the Week Effect or Weekend Effect. According to the Efficient Market Hypothesis, securities price move randomly and hence there exists no systematic pattern of share price movements. However, during the last two decades, financial researchers discovered that some sort of systematic patterns of stock price movement exist in the stock market. It implies that if an investor is able to find out these patterns in the stock market, he can formulate trading strategies and can make abnormalreturns and thereby challenge the validity of EMH. The results of this study shows that day of the week effect exists in the Indian stock market, which affect both the stock returns and volatility, thereby proving that Indian stock market is inefficient.