The Day of the Week Effect on Shariah Index Return in Indian Capital Market
Business Confluence- Loyola Journal of Commerce, 1(1), 29-42, 2013 (ISSN: 2320-8406)
Posted: 12 Apr 2014 Last revised: 15 Jun 2019
Date Written: April 10, 2013
Abstract
Islamic investment is an emerging investment alternative even to withstand during financial turbulence. It is being demanded high in recent past because of its unique nature of socially responsible investment. This paper has examined the day of the week effect and weekend effect of S&P CNX Nifty Shariah and S&P CNX 500 Shariah indices returns from 2nd January 2007 to 31st December 2009 by classifying the study period as bull market period and bear market period. This study employs the regression model to compute daily return of the CNX S&P Shariah and CNX S&P 500 Shariah. The study found that there is neither weekend effect nor days of the week effects on both indices in India. The study also categorized the sample period as bull market and bear market. The results show that return on Friday is higher than other days during bull market and return on Wednesday is higher than other days during bear market. The overall results find that there is no significant difference among the day’s returns in the Shariah indices in India.
Keywords: Shariah index, Seasonality Pattern, Capital Market, Bull Market, Bears Market
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