1Ph.D Research Scholar, Department of Commerce and Financial Studies, Bharathidasan University, Tiruchirappalli, Tamil Nadu, India
2Assistant Professor, Department of Commerce and Financial Studies, Bharathidasan University, Tiruchirappalli, Tamil Nadu, India
Online published on 7 September, 2015.
The empirical Research in Finance has vigorously explored the apparent anomalies in Stock Returns Behavior. Many earlier studies have documented the average returns on Friday to be abnormally high and average returns on Monday to be abnormally low. This paper examines the week-end effect on the Indian Stock Market after the introduction of the Compulsory Rolling Settlement for the eight-year period from April 2002 to March 2010. The study uses Descriptive Statistics, Correlation, Non-Parametric - Kruskall-Wallis Test Statistic and Linear Regression Model to provide evidence to support the existence of the above phenomenon. The Study found that the Mean Returns were positive for all days of the week, highest being on Friday and lowest mean return on Monday during the study period. The Study found that, during the study period, the day of the week pattern did not appear to exist in the Indian Stock Market.
Week-end Effect, Day-of-the Week Effect, Compulsory Rolling Settlement, Non-Parametric Test
