1Assistant Professor, Bhavan's Center for Communication and Management, Plot-9, Unit-3, Kharavelanagar, Bhubaneswar, Odisha
2Professor, Department of Business Administration, Utkal University, Vani Vihar, Bhubaneswar, Odisha
3Professor, Department of Business Administration, Revenshaw University, Cuttack, Odisha
* Email: pragyansarangister@gmail.com
Investors have a tendency to search for investment opportunities. If error exists in the pricing of stocks, it indicates that anomalies are present and that stock market is inefficient. Investors then have the possibility to utilise the anomaly in order to receive above-average returns. The objective of this paper is to investigate whether abnormal patterns exists concerning rates of returns on Mondays. The paper tests the seasonality of the stock market, using observations of 14 years, from 1998 to 2011, of the two major indices reported by National Stock Exchange (NSE), i.e. Standard & Poor's (S & P) Nifty and CNX Nifty Junior. The day-of-the-week effect is examined by using analysis of variance, Mann-Whitney U-test and dummy variable regression analysis, which are tests for seasonality. The results show that Wednesdays’ returns are highest in both the indices and there is non-existence of the Monday effect.
Seasonality, Dummy variable regression, Mann-Whitney U-test, Weekend effect
