Week-end Effect: New Evidence from the Indian Stock Market

Amanulla, S; Thiripalraju, M.

doi:10.1177/0256090920010204

Cited by 11 publications

(7 citation statements)

References 13 publications

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“…He used closing prices of the BSE sensitive index of 30 scrips from 4 April 1979 to 31 March 1997. Amanulla and Thiriplaraju (2001) tried to see whether the carry-forward transactions in different periods have any impact on weekend effect in the Indian stock market during the period January 1990–Decemtber 1999. This study used the daily stock return of 82 companies traded in the BSE and prices of three stock market indices, namely, BSE sensitive index, BSE National Index and S&P CNX Nifty index, to investigate the weekend effect.…”

Section: Literature Reviewmentioning

confidence: 99%

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Effect of Investors’ Sentiment on Indian Stock Market

Jana

2016

Global Business Review

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Researchers have found that return of Indian stock price does not follow classical finance theory. It has been termed an anomaly. Behavioural finance says that irrational investors’ decision process about stock price is responsible for this. Therefore, investors’ sentiment may play a role in the Indian stock market. This study has measured this sentiment with the help of appetite for risk explained by Bandopadhyay and Jones (2006). Kyock approach has been applied to explain the relationship between sentiment index and leading stock indices of India, that is, Sensex and S&P CNX Nifty. This approach helps in one way to take both short-term and long-term decisions. On the other hand, it helps to find out the necessary time to absorb the whole sentiment in returns of both the indices. Long-term relationship has been checked with Granger causality test (GCT).

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Section: Literature Reviewmentioning

confidence: 99%

“…Anomalies had been observed in the Indian stock market also (Amanulla & Thiripalraju, 2001; Arumugam, 1999; Chaudhuri, 1991). Hence, this study has tried to find out whether investors’ sentiment can control the stock market return in two major stock markets of India, that is, National Stock Exchange (NSE) and Bombay Stock Exchange (BSE).…”

Section: Introductionmentioning

confidence: 99%

Effect of Investors’ Sentiment on Indian Stock Market

Jana

2016

Global Business Review

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“…In a study of its unique kind, Lakonishok and Levi (1982) documented impact of trading settlement system on the weekend effect. In India, seminal study in this regard was conducted by Amanulla and Thiripalraju (2001) for the impact of trade settlement on the anomalous pattern of stock returns and found evidence to support weekend effect during the period of ban on carry-forward (Badla) transactions. It also noticed consistent positive returns on Wednesday -a phenomenon never been reported elsewhere.…”

Section: Review Of Literaturementioning

confidence: 99%

Anomalous Market Movements and the Rolling Settlement: Empirical Evidence from Indian Stock Markets

Chander

Mehta

2007

Vision: The Journal of Business Perspective

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Investors and analysts are unable to predict stock price movements consistently so as to beat the market in informationally efficient markets. Still, concerted efforts are being made to earn abnormal returns discerning some anomalous pattern in the stock price movements. Also, the study of some structural changes in the market leading to, or removing some anomalous pattern in the stock prices, are of interest to investors and analysts. The present study was conceptualised to scrutinise whether anomalous patterns yield abnormal return consistently for any specific day of the week even after introduction of the compulsory rolling settlement on Indian bourses. Three market series viz., BSE Sensex, S and P CNX Nifty and S and P CNX 500 were observed on daily basis for ten years viz., i) Pre-rolling settlement period, April 1997 - December, 2001 and ii) Post-rolling settlement period, January 2002 - March 2007 to discern evidences in this regard. Contrary to developed capital markets, the results reported in this study documented lowest (significant) Friday returns in the pre-rolling settlement period as credible evidence for the weekend effect. The findings recorded for post-rolling settlement period were in harmony with those obtained elsewhere in the sense that Friday returns were highest and those on Monday were the lowest. It implied that arbitrage opportunities existed (for different trade settlement cycle on two exchanges, BSE and NSE) have disappeared consequent to the rolling settlement. On the whole, the study noted stock markets moved more rationally and anomalous return pattern noticed earlier could not sustain, in the post rolling settlement period.

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“…The reason of correlation between these two trading days might be the availability of fresh information at the start of the week which makes the trading system dynamic one relative to the rest of the week. Empirical evidences are available to support the positive Wednesday effect which is documented (10,16,30) 2004 1994-2004 1994-2004 1994-2004 1995-2004 1986-2004 1986-2004 1984-2005 No The literature has supported that the reason for positive Wednesday trading returns might be due to the optimistic attitude of the Indian investors to make their dealings on Wednesday most of the times (2,12,27,30) In Indian capital market, a number of studies have documented the positive Thursday effect (6,8,26). There are some studies which are available to support the positive Friday effect (6,25,31) in the Indian stock market.…”

Section: Introductionmentioning

confidence: 96%

“…This section summarises the main conclusions drawn by them in the investigation of the Day-of-the-Week effect in stock markets, fixed income securities markets, option markets and futures market. Table 1 shows that negative Tuesday returns are provided in Indian and international markets (1,2,7,15,23,25,30,32). The studies provide the evidence that negative Tuesday effect is mainly caused by the stocks with the lowest turnover ratio and the higher trading returns on Friday and Saturday (15) are observed in non-January months most of the times (21).…”

Section: Introductionmentioning

confidence: 99%

An Examination of Stock Market Anomalies: A Study in the Context of Make in India Movement

Khanna¹

2016

IOSR

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The existence of calendar anomalies is the violation of Efficient Market Hypothesis (EMH). Stock Market anomalies are the patterns that do seem to lead to abnormal returns more often than not, and since some of these patterns are based on information which is publicly visible, market anomalies present a challenge to the semi-strong form of the EMH, indicating that fundamental analysis does have some value for the individual investor. The existence and predictability of stock market anomalies has been a subject of different studies which detects empirical evidences of abnormal yield distribution. The predictable seasonal returns behavior may lead to profitable trading strategies and in turn abnormal returns. The Day-of-the-Week Effect is the most common tested anomaly in India and abroad. In the current research paper, the main focus is to examine the impact of Make in India Movement on stock market anomalies with reference to BSE Sensex. The closing prices for Sensex have been taken for the purpose of analysis. However, the investor must keep in mind that these anomalies can persist or disappear in a certain course of time.

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Week-end Effect: New Evidence from the Indian Stock Market

Cited by 11 publications

References 13 publications

Effect of Investors’ Sentiment on Indian Stock Market

Effect of Investors’ Sentiment on Indian Stock Market

Anomalous Market Movements and the Rolling Settlement: Empirical Evidence from Indian Stock Markets

An Examination of Stock Market Anomalies: A Study in the Context of Make in India Movement

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