An Empirical Investigation of Day of the Week Effect and Volatility in Nifty Sectoral Indices
Keywords:
Calendar Anomaly, Day-of-the-week effect, Volatility, GARCHAbstract
The present study is an empirical investigation of day of the week effect and volatility across Nifty Sectoral Indices of NSE for the period from 2013 to 2017.The existence of day of the week effect in Indian stock market and volatility was measured using various statistical tools and econometric tool like descriptive statistics, Unit Root test, Generalized Auto Regressive Conditional Hetroscedasticity (GARCH) Model. The required analyses were performed using statistical software E-views and Microsoft Excel. The concluded that for the selected period of study, the mean return for Nifty Auto Index has been highest, followed by Nifty Private Bank Index and Nifty Bank Index. Highest return was witnessed on Monday in case of Nifty Auto, Nifty Media, Nifty Metal, Nifty Realty and on Friday in case of Nifty Bank, Nifty Financial Services, Nifty IT, Nifty Pharma, Nifty Private Bank, Nifty PSU Bank. The Augmented Dickey-Fuller Test suggests that there exists no unit root in the data and the data are stationary.
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