Day of Week Effect: Evidences from Indian Stock Market


  • Dr. Sanjeet Sharma Assistant Professor, Department of Commerce, Govt. College Haripur(Guler), Distt.Kangra, , Himachal Pradesh, India.


Day of Week effects, Monday Effect, Stock Market efficiency, Friday Effect, Efficient Market Hypothesis


This study has been undertaken to examine whether day of week effect exist in Indian Stock Market or not. To analyses whether anomalies exist in India the data has been collected for the period form January 2008 to December 2009 for two indices: Sensex and Nifty. The results of this study show that the day of the week effect  do not exist in the Indian Stock Market and this market can be considered as informationally efficient. Monday Effect and Friday Effect are also found insignificant while comparing Friday and Monday returns with other days mean returns. The above indicates that the Indian Stock Markets efficient now a days in years 2008 and 2009. The  study suggest to investors  that the non existence of anomalies may not provide opportunities to formulate profitable trading strategies so as to earn the abnormal return and can adopt a fair return for risk strategy.


Abraham, A. and Ikenberry, D.L. (1994), “The Individual Investor and the Weekend Effect,” Journal of Financial and Quantitative Analysis, Vol. 29, No.2, pp. 263-77.

Agathee, Ushad Subadar (2008), “ Day of the Week Effect: Evidence from the Stock Exchange of Mauritius (SEM),” International Research Journal of Finance and Economics, Vol.17, pp.7-14.

Aggarwal R. and Rivoliu P. (1989), “On the Relationship between the United States and Four Asian Equity Markets,” Asian Economic Bulletin, Vol. 6, No.1, pp. 110-117.

Agrawal, A. and K., Tandon (1994), “Anomalies or Illusions? Evidence from Stock Markets in Eighteen Countries,” Journal of International Money and Finance, Vol.13, No.1, pp. 83-106.

Ahmad, K. M. ,Shahid Ashraf and Sahid Ahmed (2006), “Testing weak form efficiency for Indian stock markets,” Economic and Political Weekly, Vol. XLI, No. 1, pp.49-57.

Atiasa, R.K. (1985), “Pre-disclosure information, Firm Capitalization and security price behavior around Earnings Announcement”, Journal of Accounting Research, Vol. 23, No. 2, pp. 215-235.

Badhani, K.N., Kavidayal, B.D. and Kavidayal, P.C. (2006), “Does Friday Repeat itself on Monday? An Analysis of the Day-of-the-Week Effect on Autocorrelations of Stock Market Index Returns,” Vol.12, No.6, pp.53-66.

Barclay, M., R. Litzenberger and J. Warner (1990), “Private Information, Trading Volume, and Stock Return Variances,” The Review of Financial Studies, Vol. 3, No.2, pp 233-253.

Barua, S. K. (1981),” The Short-Run Price Behaviour of Securities- Some Evidence on Efficiency of Indian Capital Market,” Vikalpa, Vol.6, No.2. pp. 93-100.

Board, J. L. and Sutcliffe, C.M. (1988), “The weekend Effect in the UK Stock Market Returns,” Journal of

Business, Finance and Accounting, Vol.15, No.2, pp. 199-213.

Bodla, B.S. (2005), “Efficiency of the Indian Capital Market: An Empirical Work,” Vision, Vol. 9, no. 2, pp. 55-63.

Chaudhuri, S. K. (1991),” Short-Run Share Price Behaviour of Securities: New Evidence on Weak Form of Market Efficiency,” Vikalpa, Vol.16, No.4.(October-December).

Chawla , Deepak and Munish Makkad (2000), “ Weak Form Efficiency in Indian Capital Market: An Empirical Investigation,” Management and Accounting Research, Vol. 4, No. 2, pp. 67-90.

Condoyanni, L., J.O. Hanlon and C.W.R. Ward (1987), “Day of the Week Effect on Stock Returns: International Evidence,” Journal of Business Finance and Accounting, Vol.14, No.2, pp. 159-174.

Deb, S. S. (2003), “In Search of Weak Form of Efficiency in India Capital Market,” The ICFAI Journal of Applied Finance” Vol. 9, No. 9, pp. 31-50.

Dhankar, Raj S and Madhumita Chakraborty (2005): 'Testing of Stock Price Behaviour in Indian Markets: An Application of Variance Ratio Test and ARIMA Modeling', ICFAI Journal of Applied Finance, 11.

Dixit, R. K. (1986) “Behavior of Equity shares prices and investment in India”, Deep and Deep Publications, New Delhi, 1986.

Dubois, M. and P., Louvet (1996), “The Day of the Week Effect: International Evidence,” Journal of Banking and Finance, Vol. 20, No. 9, pp. 1463-1484.

Dutta, S. K. (2004), “The Share price and its valuation”, The Management Accountant, April 2004, Vol. 39, No. 4, pp. 274-282.

Ercan Balaban (1994), “Day of the Week Effects: New Evidence from an Emerging Stock Market,” Discussion Papers 9410, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.

Foster, D.F. and S. Viswanathan (1990), “A theory of the Interday Variations in Volumes Variance, and Trading Costs in Securities Markets,” Review of Financial Studies, Vol. 3, No. 4, pp. 593-624.

French, K. R. (1980), “Stock Returns and the Weekend Effect,” Journal of Financial Economics, Vol. 8, No.1, pp 55-69.

French, K.R. and R. Roll (1986), “Stock Return Variances: The Arrival of information and the Reaction of Traders,” Journal of financial Economics, Vol.17, No.1 (September), pp. 5-26.

Gibbons M. and Hess P. (1981), “Day of the Week Effects and Asset Returns,” Journal of Business, Vol.54, No.4 (October), pp. 579-596.

Gupta, O. P. (1997),” An empirical Test of Random Walk Model on the Indian Stock Market ” Management & Change, Vol.1,No.1.

Harris, L. (1986), “A Transaction Data Study of Weekly an Intra daily Patterns in Stock Returns,” The Journal of Financial Economics, Vol. 16, No.1, pp. 99-117.

Jaffe, J. and R., Westerfield (1985), “Weekend effect in Common Stock Returns: The International Evidence,” Journal of Finance, Vol. 40, No.2, pp. 432-454.

Keim, D.B., Stambaugh, R.F. (184), A Further Investigation of the Weekend Effect,” Journal of Finance, Vol. 39, No.3, pp. 819-835.

Lakonishik. J. and M. Levi (1982), “Weekend Effects on Stock Returns: A Note,” Journal of finance (June), Vol. 37, No. 3, pp. 883-889.

Mittal ,Satish K. and Sonal Jain (2009), “Stock Market Behaviour: Evidences from Indian Market,” Vision, Vol. 13, No. 3, pp.19-29.

Nath, Golka C. and Manoj Dalvi (2005), “Day-of-the-week effect and Market Efficiency: Evidences from Indian Equity Market Using High Frequency Data of National Stock Exchange”, The ICFAI Journal of Applied Finance, Vol. 11.

Poshakwale, Sunil (1996), “Evidence on Weak Form Efficiency and Day of the Week Effect in the Indian Stock Market,” Finance India, Vol. X, No.3, pp. 605-616.

Ramasastri, A. S. (1999), “Market Efficiency in the Nineties: Testing Unit Roots,” Prajnan, Vol. 28, pp. 155-161.

Ramasastri, A. S. (1999), “Market Efficiency in the Nineties: Testing Unit Roots,” Prajnan, Vol. 28, pp. 155-161.

Ranganatham, M. and V. Subramanian (1993), “Weak Form Efficient Markets Hypothesis: A Spectral Analytic Investigation,” Vikalpa, Vol. 18, No. 2. pp. 25-31.

Santesmases, M. (1986), “An Investigation of the Spanish Stock market Seasonalities,” Journal of Business Finance and Accounting, Vol. 13, No.2, pp. 267-276.

Singh, A. (1995) “Equity Price behavior in Indian Corporate Sector”, Ph.D, Thesis, Guru Nanak Dev University, Amritsar.




How to Cite

Dr. Sanjeet Sharma. (2011). Day of Week Effect: Evidences from Indian Stock Market. Indian Journal of Commerce and Management Studies, 2(6), 25–30. Retrieved from