Analysis of Monday Effect in Indian Stock Market

Nageswari, P.; Selvam, Murugesan; Jayapal, Gayathri

doi:10.3923/rjbm.2011.170.177

Cited by 7 publications

(8 citation statements)

References 1 publication

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Such results can be supported by the fact that Indian equity markets are witnessing increasing depth and liquidity, wider participation of domestic institutional investors, reduced information asymmetry, exponential growth of social media and technological disruptions like algorithm trading, fintech, blockchain, artificial intelligence etc. The results are in conformity with existing studies of Raj and Kumari (2006), Nageswari et al (2011) and Sharma (2011). Table 5 shows some interesting results.…”

Section: Data Collection and Methodologysupporting

confidence: 90%

“…The research did not find January effect existence, however, returns in April are higher as compared to other months. Nageswari et al (2011) attempted to test Monday effect in Indian stock market. The result finds insignificant higher mean returns on Friday and lowest mean returns on Monday, thus violating the existence of day of the week effect.…”

Section: Literature Review and Hypothesesmentioning

confidence: 99%

See 1 more Smart Citation

Diminishing calendar anomalies: case of Indian equity markets

Saxena

Purohit

Malhotra³

2021

GBER

View full text Add to dashboard Cite

The present study probes the presence of seasonal anomaly mainly day of the week effect and month of the year effect in the Indian Stock Market ranging from January 2011 till January 2018. Daily and weekly closing data of Nifty Financial services index, Nifty Auto index, Nifty Bank index and Nifty 50 index has been considered for the same. Regression model using dummy variables has been used to investigate the same. The results states that none of the four nifty indices shows day of the week effect. Nifty 50 does not indicate the presence of the month of the year effect. In contrast, April effect is present in Nifty Auto. Nifty Bank index shows February and August effect, while Nifty Financial Services shows February effect.

show abstract

Section: Data Collection and Methodologysupporting

confidence: 90%

Section: Literature Review and Hypothesesmentioning

confidence: 99%

Diminishing calendar anomalies: case of Indian equity markets

Saxena

Purohit

Malhotra³

2021

GBER

View full text Add to dashboard Cite

show abstract

“…For instance, In Asia, Aggarwal and Rivoli (1989) studied the weekend effect in Hong Kong, Singapore, Malaysia and Philippines stock exchanges and found the presence that Tuesday's prices reflected Mondays' New York events (Aggarwal Rivoli, 1989). Nageswari et. al.…”

Section: Literature Reviewmentioning

confidence: 99%

“…(2011) analyzed the SP CNX 500 Index's returns from India from April 2002 until March 2010. This Index includes 50 stocks from 22 sectors and their conclusion was that returns were higher on Fridays and lower on Mondays (Nageswari, Selvam, Gayathri, 2011). Ariss et.…”

Section: Literature Reviewmentioning

confidence: 99%

Weekend effect and financial characteristics: is there any relation in Latin America?

Mongrut

Delfino

2019

REMEF

View full text Add to dashboard Cite

This study seeks to investigate the presence of the weekend effect in six Latin American markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru) and to show the relationship between the weekend effect and investment portfolios sorted by four financial characteristics: stock market liquidity, current liquidity ratio, market capitalization (size) and price-to-book ratio. Using an extension of the French (1980) Model and a portfolio study we identify a significant weekend effect in all countries and found a negative relation between the weekend effect and four financial characteristics: the weekend effect is stronger in portfolios that contain stocks with low market liquidity, securities with low current liquidity ratios, small cap stocks (size) and stocks with low price-to-book ratios. As opposed to previous studies, we suggest that the weekend effect may be influenced by the investment of institutional investors in securitized loans issued by companies with value stocks and tight current liquidity ratios, and by the investment of individual investors in small-cap and illiquid stocks.

show abstract

“…Critically, the difference of the returns for most of the countries analyzed by (Ajayi, 2004) were not statistically significant. This Monday effect is not constrained to the U.S. market with similar events happening in other countries such as Australia (Marrett, 2008) or the UK , but not in others such as India (Nageswari, 2011), (Aly, 2004 or Greece (Tsangarakis, 2007). So far there does not seem to be a generally accepted explanation for the Monday effect.…”

Section: Introductionmentioning

confidence: 99%

Monday Effect in the Chinese Stock Market

Perez¹

2017

IJFR

View full text Add to dashboard Cite

The Monday effect is a well know effect in some countries around the world. The Monday effect is the observation that stock returns on Monday are statically significantly lower than for the rest of the days of the week. There is no obvious fundamental reason behind this occurrence and if it actually exists it might be due to human behavioral patterns. This Monday effect observation originated in the U.S. several decades ago and it has since being observed in several other countries. In this article the occurrence of the Monday effect is analyzed in the mainland China equity market. It was found that for the period from 2011 to 2016 there was no statistically significant Monday effect but interestingly there are indications of a possible Thursday effect. This concept was tested with several market indexes covering the two major mainland China stock exchanges (Shanghai and Shenzhen). These indexes covered also a broad spectrum of company sizes. The ChiNext index, which is a Nasdaq like type of index for the Chinese market, was also included. In this article it was also tested and confirmed that the returns on Chinese equities, as expected, do not follow a normal distribution.

show abstract

Analysis of Monday Effect in Indian Stock Market

Cited by 7 publications

References 1 publication

Diminishing calendar anomalies: case of Indian equity markets

Diminishing calendar anomalies: case of Indian equity markets

Weekend effect and financial characteristics: is there any relation in Latin America?

Monday Effect in the Chinese Stock Market

Contact Info

Product

Resources

About