Day -of -the -Week Effects in BSE Bankex

Abstract:     
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, G21

Accepted Paper Series