| SMART JOURNAL OF BUSINESS MANAGEMENT STUDIES |
VOL. 3 |
NO. 2 |
PAPER 6 |
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EFFICIENCY OF INDIAN STOCK MARKET: A CASE OF DAY OF THE WEEK EFFECT |
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| V. Hareesh Kumar* and Malabika Deo** |
| * Lecturer in Commerce, Pondicherry University, India |
| ** Professor in Commerce, Pondicherry University, India |
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| The purpose of this study is to test the informational efficiency of Indian securities market with respect to a widely reported market anomaly, i.e., Day of the Week Effect or Weekend Effect. According to the Efficient Market Hypothesis, securities price move randomly and hence there exists no systematic pattern of share price movements. However, during the last two decades, financial researchers discovered that some sort of systematic patterns of stock price movement exist in the stock market. The results of this study shows that day of the week effect exists in the Indian stock market, which affect both the stock returns and volatility, thereby proving that Indian stock market is inefficient. |
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