“A Study on Day of the Week Effect on Stock Return and Volatility: Evidence from Indian Stock Market”

The day-of-the-week effect is a phenomenon that constitutes a form of anomaly of the efficient capital markets theory. According to this phenomenon, the average daily return of the market is not the same for trading days of the week, as we would expect on the basis of the efficient market theory. The most commonly tested seasonal anomalies are day of the week effect, month of the year effect, holiday effect, Monday effect and Friday effect. This study attempts to test whether the day of the week effect is present in the stock returns and volatility: evidence from Indian stock market. The study is descriptive in nature and it is based on secondary data. This study investigates day of the week effect on the available data of daily returns on the basis of their capitalization with the period from January 2007 to December 2017. In this study we collect data from the Sensex. The study has selected five companies namely Reliance Industries Ltd, Tata Consultancy Services Ltd., ITC Limited, Bharti Airtel Limited and LARSEN & TOUBRO LTD. This study is helpful for the investor while they invest their money in the stock market. The problem of the study is to check abnormal return for specific Seasons. The limitation of study is that we have selected only few companies. The study takes examines the impact on Indian stock market by collecting stock prices of selected companies using E-views.