Author(s): Neha Bankoti
The common observation about calendar anomalies is that, after they are documented and analyzed in the academic literature, they often seem to disappear, reverse, or attenuate. The simple explanation behind this behavior is that investors may have exploited the patterns of previous anomalies in trading behaviors which gradually cause an opposite direction or disappearance of documented anomalies. Therefore an attempt has been made to explore the existence of day-of-the effect in Indian stock market for recent 9 years (From 2010 to 2019).The use of daily data makes it possible to examine the relationship between the changes that occur in stock prices from one trading day to the next and over weekends or, in other words, to study the weekend effect. In particular, it is possible to test whether the rapidity of the process whereby stock prices are formed changes when the market is closed, i.e. whether the process is defined in terms of market time or real time.