2012•SSRN Electronic JournalOpen access

An Empirical Analysis of Friday Effect in Bombay Stock Exchange

P. Nageswari Sathish, Murugesan Selvam

Abstract

This study investigates whether Friday effect exist in Bombay Stock Market. The weekend Effect or Day of the Week Effect has been a hot research topic among academicians for decades. The most popular Anomaly is the Friday Effect, meaning that the Friday’s Average Return is significantly higher than the Other Days’ Average Returns. The presence of Friday Effect defeats the basic premises of the Efficient Market Hypothesis. Besides, it has greater implications on the design of investment strategy in the long run. The outcome of the study initiate that there was Highest Mean Return recorded in Friday and the Lowest Mean Returns were recorded in Monday for the sample indices. The analysis of seasonality results point out there is no significant Friday Effect exists in Indian Stock Market during the study period.

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Available abstract

Key concepts: Names of the days of the week, January effect, Stock exchange, Abnormal return, Stock market, Efficient-market hypothesis, Weekend effect, Stock (firearms)