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Asian Journal of Management
Year : 2017, Volume : 8, Issue : 1
First page : ( 7) Last page : ( 11)
Print ISSN : 0976-495X. Online ISSN : 2321–5763.
Article DOI : 10.5958/2321–5763.2017.00002.6

Calendar anomalies in stock markets: Day of the week effect

Chadha Neetu*

Assistant Professor, Delhi Institute of Advanced Studies, Rohini, Delhi

*Corresponding Author E-mail: neetumhn@yahoo.com

Online published on 9 March, 2017.


Till the late seventies, empirical studies bolstered the view that capital market are informational efficient. Academician and researcher on the concept of informational efficiency of capital markets developed various theoretical security valuation models. However the late seventies and eighties produced the evidences questioning the validity of this theory and illuminated the various anomalies related to the capital market efficiency. These studies demonstrated the possible trading strategies, seasonal anomalies and persistence of technical analysis yielding abnormal returns using the historical data and publicly available information.

Many empirical tests were made in the seventies and eighties to demonstrate the efficiency of stock market. In the nineties and twenties, by contrast much has been written with the aim of demonstrating their inefficiency by identifying systematic variations in stock prices related to the calendar of the year. These systematic variations were named as calendar anomalies. These anomalies occur when there is a meaningful temporal change. This paper is an attempt to analyse and test the calendar anomalies with respect to the Day of the week effect. This study undertook an empirical analysis of the pattern of daily equity returns and the day-of-the-week effect in the Indian stock markets. In the case of the National Stock Exchange over the period, the test of weekend effect shows that returns are negative on Monday and positive on Thursday. So no general comment can be made regarding the presence of day-of-the-week effect in the Indian stock market.



Anomalies, Efficiency, Calendar, Monday, Weekend.


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