Day -of -the -Week Effects in BSE Bankex
Tanima Niyogi Sinha Roy
South Calcutta Girls' College, Calcutta University
March 8, 2008
BUSINESS AND DEVELOPMENT DYNAMIC ISSUES IN INDIA, Venkata Seshaiah Sakalya, Trilohan Tripathy, eds., The ICFAI University Press, 2009
This study investigates the day -of -the -week -effect on the return and conditional variance of the BSE bank stock index (BSE Bankex) in the emerging stock market of India using close-to-close data during the period after the introduction of rolling settlement. OLS, GARCH, GARCH-M and TGARCH models reveal returns on Friday to be significantly high. This result is consistent with the literature on general stocks in India for the post-rolling settlement period. The results also show that among all the models applied TGARCH is the most appropriate in modeling the movements in BSE Bankex. Given the impending deadline to implement Basel II norms, the findings on the daily anomalies assumes significance as banks need to tap the equity market to augment their capital base.
Number of Pages in PDF File: 17
Keywords: Day- of-the -week effect, Bank stock returns, volatility, GARCH
JEL Classification: G10, G21Accepted Paper Series
Date posted: April 6, 2011
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo1 in 0.359 seconds