工作日效应:对印度股市的实证研究

Q4 Business, Management and Accounting

International Journal of Business and Globalisation Pub Date : 2023-01-01 DOI:10.1504/ijbg.2023.129040

Vanitha Chawla, Manjula Shastri

{"title":"工作日效应:对印度股市的实证研究","authors":"Vanitha Chawla, Manjula Shastri","doi":"10.1504/ijbg.2023.129040","DOIUrl":null,"url":null,"abstract":"The present study examines empirically the presence of day of week effect in Indian Stock Markets. The paper investigates the stock returns and volatility of Indian markets for the period from 2009 to 2018, using OLS regression, GARCH (1,1), EGARCH (1,1) and TGARCH (1,1) models. The results indicate presence of positive Monday effect which is not due to equity market risk. The study found weak Wednesday effect for small cap companies. The returns of Wednesday are volatile than any other day of the week.","PeriodicalId":13906,"journal":{"name":"International Journal of Business and Globalisation","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Day of week effect: an empirical study for Indian Stock Markets\",\"authors\":\"Vanitha Chawla, Manjula Shastri\",\"doi\":\"10.1504/ijbg.2023.129040\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The present study examines empirically the presence of day of week effect in Indian Stock Markets. The paper investigates the stock returns and volatility of Indian markets for the period from 2009 to 2018, using OLS regression, GARCH (1,1), EGARCH (1,1) and TGARCH (1,1) models. The results indicate presence of positive Monday effect which is not due to equity market risk. The study found weak Wednesday effect for small cap companies. The returns of Wednesday are volatile than any other day of the week.\",\"PeriodicalId\":13906,\"journal\":{\"name\":\"International Journal of Business and Globalisation\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Journal of Business and Globalisation\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1504/ijbg.2023.129040\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"Business, Management and Accounting\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Business and Globalisation","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1504/ijbg.2023.129040","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"Business, Management and Accounting","Score":null,"Total":0}

引用次数: 1

摘要

本研究实证检验了印度股票市场中存在的周数效应。本文采用OLS回归、GARCH(1,1)、EGARCH(1,1)和TGARCH(1,1)模型对2009 - 2018年印度股市的股票收益和波动率进行了研究。结果表明，存在积极的周一效应，这不是由于股票市场风险。研究发现，周三对小盘股的影响较弱。周三的回报率比一周中的任何一天都不稳定。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Day of week effect: an empirical study for Indian Stock Markets

The present study examines empirically the presence of day of week effect in Indian Stock Markets. The paper investigates the stock returns and volatility of Indian markets for the period from 2009 to 2018, using OLS regression, GARCH (1,1), EGARCH (1,1) and TGARCH (1,1) models. The results indicate presence of positive Monday effect which is not due to equity market risk. The study found weak Wednesday effect for small cap companies. The returns of Wednesday are volatile than any other day of the week.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

International Journal of Business and Globalisation Business, Management and Accounting-Business, Management and Accounting (all)

CiteScore

0.70

自引率

0.00%

发文量

期刊介绍： IJBG proposes and fosters discussion on various aspects of business and globalisation, including the physical environment and poverty. Topics covered include: - Internationalisation of SMEs - Cross-cultural business - Globalisation and poverty - Business ethics in the global environment - Emerging economies - Immigrant minorities in business - Indigenous enterprises and the global economy - International tourism - Eco-tourism - Sustainable development - Environmental degradation - The impact of oil and gas - Human mobility in a globalised world - Competition in a global economy - Localisation/glocalisation strategies within contemporary globalisation.