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( Nath, Golaka C. and Dalvi, Manoj, Day of the Week Effect and Market Efficiency -Evidence from Indian Equity Market Using High Frequency Data of National StockExchange (December 2004). Available at SSRN: http://ssrn.com/abstract=1092765or http://dx.doi.org/10.2139/ssrn.1092765 )

DAY OF THE WEEK EFFECT AND MARKET EFFICIENCY EVIDENCE FROM INDIAN EQUITY MARKET USING HIGHFREQUENCY DATA OF NATIONAL STOCK EXCHANGE

Nath, Golaka C. and Dalvi, Manoj (December, 2004): The research was conducted to

find out the day of the week effect anomaly in the Indian equity market for the period

from 1999 to 2003 using both high frequency and end of day data for the benchmark

Indian equity market index S&P CNX NIFTY in National Stock Exchange. In recent

times the testing for market anomalies has become an active field of research in finance.

Earlier studies have found the presence of the day of the week effect in many countries

like USA, Hong Kong, Malaysia. If an anomaly exists in the market, the investors can

take advantage of the same and adjust their buying and selling strategies accordingly to

increase their returns with timing the market. The present study aims to find the day of

the week effect on India equity market using high frequency data. This study is different

in two aspects: (1) it uses the high frequency data to study the day of the week effect; (2)the study also does a comparative analysis using the closing values to understand if any

additional valuable information can be obtained from high frequency data.

High frequency data for the index S&P CNX NIFTY from January 1999 to December

2003 has been used. S&P CNX Nifty is a benchmark stock index based on the selected

stocks traded at National Stock Exchange (NSE). It was noticed that there were 1228

days of data running into millions of tick level index values. Normally a day has 335

minutes of trade. More than 410652 data points of 1 minute index values were used to

compute the logarithmic returns. The same has been taken out from millions of S&P

CNX NIFTY values from daily data provided by NSE. It is also to be taken into account

that 30 days of data is missing. The mean has to be found out to be statistically zero as

http://ssrn.com/abstract=1092765http://dx.doi.org/10.2139/ssrn.1092765http://dx.doi.org/10.2139/ssrn.1092765http://ssrn.com/abstract=1092765

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