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Studies on Daily Returns

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The studies on daily returns by different researchers have given distinctive outcomes. A few researchers found that there is sure centrality on Monday though some found that there is effect of earlier day returns on the following day. In a comparative sort of study, Ankur Singhal Vikram Bahure (2009) has contended that the day by day profits ought to depend for the day of the week by taking the setting of the Indian stock market.

The specialist expected profits for Monday ought to be lower while returns on Friday ought to be higher than rest different days by concentrate the ‘weekend effect’. The performance of annual yields and daily yields in the National Stock Exchange was studied by Selvarani M and Leena Jenefa (2009), with the help of parametric and nonparametric statistics tests used for to testing the average returns and standard deviations of returns are equal. The study was discovered that the strong effect of month April and January on the NSE return. After the inception of Rolling Settlement system, Friday became more significance. With respect to Day anomalies effect, the effect of Tuesday was more widespread as compare to the Monday effect. The exploration entitled “A Study on Week End Effects of Stock Return in Indian Stock Indices” the creators (Singhal Ankur and Bahure Vikram, 2009) edify the view and researches that the day by day stock profits depend for the day of week in Indian securities exchange. Aptitude database were taken for the investigation. Information were gathered with the assistance of offer opening and offer shutting cost of three indices in India. Indices are BSE Sensex, BSE 200 and S&P Nifty. Information were computed from first April 2003 to 30th April 2008 of day by day return.

The information gathered were examined by regression analysis. The finding of the study represent that the return of every day of week during the study period of time by BSE Sensex, S&P Nifty and BSE 200 indexes have similar results. Monday’s yields remained below the rest of the days. Return on Friday remained higher than rest of days in a week. The limitation of the research study was that the researcher considers the cyclical factors instead of the necessary factor and researcher consider the weekly changes in the returns of equity. Monthly changes, seasonal changes and change in intraday returns was not considered. The Research was conducted to know the various Stock Market Anomalies and check the effect of calendar in Bombay stock exchange (Sensex) by Chandra Abhijit (2009). To examined the presence of calendar anomalies in BSE Sensex. Secondary data has been used for analysis and collected from daily stock return of Sensex. Primary goal of this examination was to check the turn and time effect of month in BSE Sensex. The investigation time frame was first April 1998 to 31st March 2008. Result found toward the end of analysis, turn and time effects of month were found significant. Research was discovered that days of month give higher return as contrast with to last days of the month same as in month also.

Researcher examined the anomaly and return January model the market for the five major indexes of NSE as evidence based study by Rengasamy Elango, Dayanand Panday (2008), The analysis revealed that in March and April these significant negative results registered two months to buy the share and therefore we can inferred that November and December are the perfect time of selling of share. Study and analyze the day of the week effect in Stock Exchange of Mauritius (SEM). The objective of the study is to examine the effects of day anomalies of the week in the Mauritius Stock Exchange by Ushad Subadar Agathee (2008). Amid the study he has discovered that there is no significant day of the week effect for all example year. The sample time of study was Jan.1998-Dec.2006. The outcome demonstrated that the return of Friday appeared to be higher than rest of the trading days of week.

A volatility modeling in return is studied by Brajesh Kumar & Priyanka Singh (2008). The main focus of the study was check volatility and risk-return relationship in seasonality with relation to Indian stock market and commodity markets. With the help of GARCH checking the volatility clustering in both market. Risk and return relationship analysis is analyzed by the GRACH Model. The sample period of study was 18 years from 1st January 1990 to 31st December 2007. Data has been collected from the index S&P CNX Nifty. With the help of GARCH, we can say that the positive relationship between risk-return in commodity market. Analysis show that insignificant relationship is found in Soybean and significant relationship is found in Gold. In seasonality, researcher found that negative correlation between return and its volatility. Effect of November is an example of the anomaly in the stock market of India was studied by Gagari Chakrabarti, Chitrakalpa Sen (2008). The authors studied the effect of month of November on stock market return. With the help of this study, researcher investigated there is no absence of calendar anomalies with different market reactions, for that using the TGARCH econometric model. Researcher confirmed that the seasonal anomaly in the form of the November effect. Dicle and Hassan (2007) with the research tools they identified that Monday return were insignificant (negative Return) and the returns on Thursday and Friday were significantly (Positive Return). In year 2007 comparable results was found by the researcher Chukwuogor-Ndu in EAST Asia where they analyzed the financial markets to know the significance relationship in days of trading. During study they found that daily return is not significant and volatility in most of these markets.

The study inspected the accessibility of most regular anomalies i.e. day of week effect in stock market which is straightforwardly impact the return (Hareesh Kumar V, Malabika Deo (2007)) and for the analysis of stock indices utilizing the S and P CNX 500 index and with the assistance of information, analyst can without much of a stretch create the outcome identified with return. Monthly effects on the yield of equities become a new evidence for the Indian stock market was studied by Bodla BS, Kiran Jindal (2006), the study examined one of these anomalies, namely the month of year effects in developing market in capital India. For this, the data were collected from S&P CNX Nifty and the form of data was daily price index and analyzed for the period between 1st January 1998 and 31st August 2005, with the help the Prior Agreement and Rolling Settlement procedure. Result found that the month wise and week wise effect in return prevailed in Indian market. Most basic anomalies that is analyzed by Syed A. Basher, Perry Sadorsky (2006) to know the day effect in developing Stock Markets. The specialist utilized conditional risk and unconditional risk to investigate the effect of the day of the week in quickly developing 21st century. The outcomes found that the day of the week effect was nonattendance in a large portion of the 21st quickly developing securities exchanges, some of the emerging index showed that a very strong Day of the Week effect after seeing the emerging market conditional risk. Bing Zhang, Xindan li (2006), investigated the calendar effect exist in the stock market of china with the help of econometrics analysis specially, GARCH (1, 1) General Error Distribution (GED Model). During the study researcher found that effect exists with low volatility at initial stage in Friday. Tuesday Effect has been observed positive. Besides, there was found with high volatility in the month of January.

The study, using regression and fictitious as a variables for analysis and result found that before presentation of the Settlement Agreement in January 2002 by Goloka C Nath, Manoj Dalvi (2005). Monday and Friday were significant days as compare to rest of days. At the stage of rolling settlement procedure, Friday has significant. During analysis researcher was found the higher Monday standard deviation. In Market incompetence still exists. To study seasonality in emerging Asian equity markets: India and Malaysia, Chotigcat T, Pandey IM (2005) examined the month effect on share (Stock specific) returns for the stock market in India and Malaysia. This study confirmed the existence of seasonality in equity returns on capital markets and suggested that the Indian stock market will move towards a higher level of efficiency and investors would get returns proportional to risk. Another study was conducted to verify the anomaly of the effect of the day of the week on the Indian stock market by Goloka C Nath, Manoj Dalvi (2005). The authors used high-frequency and end-of-day data as a benchmark (S & P CNX Nifty). The study was conducted using regression with two-dimensional weights and fictitious variables and it was found that prior to the introduction of the rolling agreement in January 2002, both Monday and Friday were significant days, i.e. one with higher returns. . However, after the introduction of the Rolling Settlement, only Friday became significant. On Monday, higher standard deviations were found compared to Friday. The market inefficiency still existed and the market had not yet properly assessed the risk.

Measure the volatility in Indian Stock Market and US market by Harvinder Kaur (2004) and analyzed the nature and features of the unpredictability of the stock market in India and as well as in the US (United States). It was found that the response to the arrival of the news was asymmetric, which means that the impact of news whether it is good or bad remain same. Performance and instability on different days of the week changed slightly after the outline of the Rolling Settlement. It was found that varied return evidence and volatility between the US and Stock market of India. To examine the anomaly of the daily effect on Indian stock exchanges, Nath and Dalvi (2004) conducted a study for the period 1999-2003, using S & S P’s CNX NIFTY Indian high frequency and delayed data .. Using regression and dummy variables, the study finds that, before the agreement was introduced in January 2002, Monday and Friday were significant days. On Monday, higher standard deviations were seen followed by Friday, which clearly demonstrated the existence of market inefficiencies. To examine seasonality in their performance model, S N Sarma (2004) found that sets of various days like Monday to Tuesday, Monday to Friday, and Wednesday to Friday have positive deviations for all indices. The set from Monday to Friday for all indices has the highest positive deviation, which indicates the presence of opportunities to obtain consistent anomalous returns through a commercial strategy of buying on Monday and selling on Friday. The study concludes that the models observed are useful for the timing of the offers, thus exploring the opportunity to exploit the regularities observed in the returns of the Indian stock market. In an article entitled “Seasonality of the Stock Market in an Emerging Market”, Sarma. S N (2004) has explored the presence of seasonality in the returns of the Indian stock market in the period after liberalization. The study provided evidence of the presence of seasonality on weekdays. The study confirmed the results of previous studies on the leptocentric distribution of capital returns, the presence of high variance on Monday, the effect of the weekend and the regularity of returns through indices.

Seasonality refers to the periods of time in which shares / sectors / indices are subject and influenced by recurring trends that produce models that are evident in the investment evaluation. “Seasonality of the market in an emerging market”, a study conducted by Sarma.SN (2004), explored the presence of seasonality in the returns of the Indian stock market during the post-liberalization period. Provided evidence of seasonality for every day of the week. He confirmed the findings of previous studies on the leptocentric distribution of capital returns, the presence of high variance on Monday, the regularity of returns between indices and the effect of the weekend. A research study entitled Time Varying Volatility in the Indian Stock Market was conducted by Harvinder K. (2004). The researcher analyzed share market volatility in the markets of India and US. It was found that the response to news arrival was not regular which means that the impact of good news and bad news is not the same. The return and volatility on various weekdays changed somewhat after the introduction of Rolling Settlement. It showed varied proof of return and easily volatility exists between the US Market and India’s Stock Market. An article entitled that to check the presence of Monthly Returns in Seasonality in the Sensex. The study examines the month wise return of stock in developing markets by Pandey IM (2002). After examining the seasonality or monthly series of results, the study found that there was a monthly effect on the yield of equities in India. Major finding of the study that monthly return of January, February, August, and December higher as compare to rest of the months. Result shows that maximum returns show in February and rest of the months shows the negative returns. The results of the research indicate that stock markets in our country were not efficient and advice to that investors who can invest their time in stocks to increase the returns. Calendar anomalies refers to the study of market on daily, weekly, quarterly, & yearly basis. Demirer and Baha Karan (2002) studied the potential presence of the various calendar effects in the ISB (Istanbul Stock Exchange).

The duration of the study was 8 years from 1st January 1988 to 31st December 1996. All the returns of daily, weekly, quarterly, & yearly seemed to be high. The authors could not find any supporting evidence of the Day of the week effect. Only important finding was derived when they tested the ARCH model that the lag selection variable was steadily highly significant. This suggests that the previous day’s return was a indicator for the next day’s return and therefore there is no associate efficiency in market. Weekend effect: new tests of the stock markets of India was studied by Amanulla S, Thiripalraju1 (2001), in his study entitled “, reason to discover if the trawl operation for different periods has an influence on the week end effect in the Indian Stock Exchange. Basically, this study used the data of daily return of capital of listed 82 companies on BSE against the various indexes, BSE Sensex, BSE NI and S&P CNX Nifty Index is to identify the weekend effects. Results of the subsample period highly supported the presence of the weekend effect during the study period of prohibition of trawling operations. This research also showed a reversal in the effects of weekend that is, the Monday gives return (positive) and the Friday give return (negative) and modified “badla” transactions reviewed and revised. Seasonality refers to the periods of time in which shares / sectors / indices are subject and influenced by recurring trends that produce models that are evident in the investment evaluation. Seasonality in the Southeast Asian stock markets: Brooks, Persand (2001) has reviewed some new evidence on the effects of the day of the week. They observed evidence of the effects of the day of the week on five stocks in Southeast Asian markets, including Taiwan, South Korea, the Philippines, Malaysia and Thailand. The researcher found that neither South Korea nor the Philippines had significant calendar effects. But both Thailand and Malaysia recorded positive average returns on Monday and significant negative average returns on Tuesday. Furthermore, the study also documented a significant negative effect on Wednesday in Taiwan.

The Day-of-the Week Effects is one the important anomalies in Indian stock market. This paper examine the effect of day of the year effect in Bombay Stock Exchange in the sample period 1st April 1991 to 31st march 1996 and for the analysis researcher construct 70 listed stock weighted average portfolio by Ravi Anshuman and Ranadev Goswami (2000). The strong result found during study that Friday generated excess and positive return and Tuesday generated excess and negative return. Whereas to find the effects of weekend, Ravi Anshuman V and Ranadev Goswami (2000), used an equally weighted portfolio consisting of 70 values ​​listed in bovine spongiform encephalopathy during the period (April 1991-March 1996). The study highlighted positive excess returns (adjusted heteroscedasticity) on Friday and negative excessive returns on Tuesday. Paper examine the effect of the calendar anomalies for each constituent General Index of the Athens Stock Exchange (SEGI) by Mills, Markellos R. N, and Harizanis (2000) carried out from 1st October 1986 to 30th April 1997. The result indicates that the regularity of the calendar varies significantly among the basic actions of the General Index. During the study researcher found some of the factors and also found the significantly effect of the calendar anomalies. A study on “Holiday Effect in the Indian Stock Market” by Madhusudan Karmarkar, Madhumitha Chakraborty (2000) examined the effect of vacations and found that the title showed an exceptionally high yield in the days before the holidays. This study studied the effect of holiday on market by comparing average yield before the holidays, after the holidays and during the week.

This study is based on evidence that weak form efficiency. Day of the Week Effect is the most important variable in the Indian Stock Market. For the study they uses the daily closing prices of the Bombay Stock Exchange index since 2nd January 1987 to 31st October, 1994 by Sunil Poshakwale (1996). In the efficient market hypothesis (EMH) the stock prices are random in nature. With the help of this study researcher has presented evidence concentrating on the weak form efficiency in the Indian market with the help of non-parametric KS test confirmed that price of BSE do not follow normal distribution. The results provided evidence of the effect of the day of the week observed in BSE. Similar study carried out by Kumari and Mahendra (2006) with the objective to check presence of day effect in the Indian Stock Market and research was carried out in the year 2006. The study sample period was year 1979 to year 1998. Data has been collected through NSE and BSE. During NSE study found that return of Monday become higher as compared to the rest of the week days then on other part the Tuesday was produce negative return. Whereas, month wise return researcher noticed that April give higher return as compare to rest of the month. The above literature provide such important information regarding calendar anomalies, market anomalies, most common anomalies like day of the week, month of year holiday effect, monsoon effect, volatility measures in return, seasonality effect, budget effect, year effect, emerging market effect, split effect, announcement effect and policy change effect etc. Researcher has been made the best effort to know the day of the week effect, moth of the year effect and holiday effect with the help of various literature review.

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