Day-of-the-Week Effect on Stock Market Return and Volatility: Evidence from Indian Stock Market

The present paper tries to investigate the presence of the significant Day-of-the-Week effect in IndianStock Market for the period covering from January 2000 to December 2015 using daily closing prices.The Dayof-the-Week effect assumes significance particularly because of the integration of the Indian financial market to the global market since the mid-1990s.The BSE Sensex and the NSE Nifty are mostly the representatives for looking at the behavior of the Indian financial market in a macroeconomic setup and hence they are included for analysis.In order to fulfill the objectives the paper has incorporated the GARCH model specifications where a conditional variance term is included to eliminate the problem of heteroscadasticity of the residual term.The empirical results suggest that there exists no Day-of-the-Week effect on the stock return of Sensex and Nifty indexes.However, the volatility on Tuesday is statistically significant to explain the variation in the expected stock return.