Day of the Week Effect and Month of` the Year Effect on 09-16 Indian Stock Market Returns

*Dinesh K, **Dr. Janet Jyothi D'souza

Abstract

The efficient market hypothesis is an important concept that measures the efficiency of the market by stating that investors cannot make abnormal profits by stock trading on the available information. stock returns and variability in returns are prominent area of interest of investors, traders, researchers and market regulators. This study explores the very widely tested seasonally anomaly of day of week effect and month effect for the Indian stock market over the period of January 2010 to December 2020 by employing descriptive statistics ad regression analysis. The results provide empirical evidence of the month effect of March and October and no evidence of day of week effect from the statistical evidence but from the daily mean returns, we observe the Monday negative and Friday higher positive return. Further, the literature evidence that supports the argument that day effect seasonal anomaly are not consistent and do not exist in the study. The paper reports the prevalence of monthly effects in the Indian stock market and this would aid investors in designing investment strategies based on March and October effect anomaly in earning return over portfolio investment.