Testing the Day-of-the-Week Effect in the Indian Stock Market Using the AR-GARCH Model | Asian Journ

This study combines three different empirical models of stock returns into a single model: the autoregressive model, which suggests that stock returns are determined by their own past values, the (generalised) autoregressive conditional heteroscedasticity model, which suggests that stock returns conditional volatility is determined by past values and returns shocks, and the day-of-the-week effect, which suggests that stock returns are higher on specific days of the week (usually Fridays). In the sense of offering a certain degree of predictability in stock returns, all three models deviate from the Efficient Market Hypothesis (EMH).

The study uses an AR-GARCH model with day-of-the-week dummy variables to look at the impact of the day of the week on stock returns and volatility for twenty key companies in the Indian banking industry. The National Stock Exchange provided the stock price data (NSE). The research period was April 1, 2018 to March 31, 2019, a one-year timeframe.

Please see the link :- https://globalpresshub.com/index.php/AJEFM/article/view/821