Research Article. Week-end Effect: New Evidence from the Indian Stock Market S Amanulla and M Thiripalraju

Size: px
Start display at page:

Download "Research Article. Week-end Effect: New Evidence from the Indian Stock Market S Amanulla and M Thiripalraju"

Transcription

1 Research Article focuses on the analysis and resolution of managerial issues based on analytical and empirical studies. Week-end Effect: New Evidence from the Indian Stock Market S Amanulla and M Thiripalraju This paper tests whether the carry-forward transactions in different periods have any impact on week-end effect in the Indian stock market during the period January 1990-December This study uses the daily stock return of 82 companies traded in the Bombay Stock Exchange (BSE) and three stock market price indices, viz., BSE sensitive index, BSE national index, and S&P CNX Nifty index to investigate the weekend effect The results from the subsample period strongly support the existence of week-end effect during the period of ban on carry-forward (badld] transactions. This study also evidenced a reversal in week-end effect, i.e., positive Monday return and negative Friday return in modified carryforward transactions and revised modified carry-forward transactions. This paper further finds that there is consistent positive return on Wednesday and negative return on Tuesday due to possible impact of National Stock Exchange (NSE) on the week-end effect. S Amanulla is an Assistant Professor at the National Institute of Industrial Engineering, Mumbai and M Thiripalraju is Economic Adviser at the Securities and Exchange Board of India, Mumbai. The authors are thankful to Dr B Kamaiah for his valuable comments on the earlier draft of this paper. The secretarial assistance provided by Ms Latha is gratefully acknowledged. The views expressed in this paper are the authors' personal Views and do not reflect the organizations' opinion in which they are working. However, usual disclaimers apply. An efficient stock market must ensure rapid information access so that it can instantaneously process the information to reflect on security prices. This information transmission mechanism ensures that the stock returns across all days of the week are equal. No market participant can earn any extra-normal profits. Hence, identical mean return across all days of the week supports the proposition of the efficient market hypothesis. The stock return behaviour is subjected to extensive research in the past and the financial researchers have observed that the stock returns are not identical across the time period. They point out that stock returns vary across time periods. 1 More specifically, the researchers have found that the Monday return is significantly negative and Friday experiences a high positive return. This observation is generally referred to as 'the day-of-the-week effect' or 'the weekend effect.' In essence, the stock return across all days of the week widely differs thus suggesting wide variation in stock return distribution. The absence of identical mean return across all days of the week may be attributed to, amongst many other factors, asymmetrical information arrival on each day of the week. For instance, as the stock market is closed during the week-end, i.e., on Saturday and Sunday, the information accumulation and processing on these two days will be delayed up to Monday. This results in flood of information processing on Monday and, thereby, wide price swings may be noticed on this day. Researchers also documented that the bad news is generally released after the market closure on Friday resulting in wide price variation. More specifically, it produces negative return on Monday. (Patell and Wolfson, 1982; Penman, 1987; and Dyl and Maberly, 1988). If an investor Vol. 26, No. 2, April-June Vikalpa

2 has the ability to compound the price swings in earning extra-normal return, he counters the principles of market efficiency. In addition, any systematic pattern of price changes across days of the week may also suggest some trading strategy to earn abnormal returns. This paper attempts to focus on stock return variability across days of the week and aims to find out the existence of week-end effect in the Indian stock market. Many researchers have attempted to find out the plausible reasons for the presence of weekend effect They found that events such as 'settlement effects,' 'timings of earning announcement,' 'measurement error,' 'specialist-related biases,' and 'trading pattern of individual investors' may influence the presence of week-end effect (French, 1980; Lakonishok and Maberly, 1990; Bessembmder and Hertzel, 1993; and Fishe, Gosnell and Laiser, 1993). In addition, institutional investors' behaviour may also be responsible for the week-end effect [Dyl and Holland, 1990; Abraham and Ikenberry, 1994; and Sias and Starks, 1995]. Though various studies have largely accounted for all possible factors responsible for the week-end effect, "they differ widely in their findings. Hence, it is difficult to give any specific factor(s) responsible for the week-end effect. In addition, the operational market structure mechanism of a stock exchange in a particular country differs widely from the operational market structure of another country. For instance, the carry-forward transactions in the Indian stock market allow the stock market participants to carry over their financial settlement to a future date while such practices are either generally absent or differing in many aspects. In this sense, the carry-forward transactions in the Indian stock market may give some fresh/ new explanations for the week-end effect. The earlier studies on the Indian stock market made no attempt on the different phases of carry-forward transactions during the period January 1990 to December Hence, this study focuses on the week-end effect in different phases of carry-forward transactions by using a sample of individual security returns and P- sorted portfolio returns. The evidence from return on individual securities supports negative Tuesday return and positive Friday return during the period of ban on carry-forward transactions. The results from P-sorted portfolio also confirm this observation during the same period. The evidence from return on individual securities and portfolio does not seem to support the presence of week-end effect in the period of modified carry-forward transactions as well as revised modified carry-forward transactions. Conversely, it produces a support for day-of-theweek effect by showing positive Wednesday return and negative Tuesday return. Besides, this study also found a reversal in week-end effect, i.e., positive Monday return and negative Friday return in these periods. Previous Research The literature on the behaviour of stock return to find out the week-end effect by using differing methodology has grown noticeably. A thorough and complete review of the same becomes difficult and is beyond the scope of this paper. Our study attempts to focus on a few studies on week-end effect. Dyl and Holland (1990) opine that individual investor trades odd-lots more than the institutional investors and this specific event may influence the week-end effect in New York exchange. Ziemba (1993) tested the week-end hypothesis for Japanese market and found significant Tuesday returns. In another study, Fishe, Gosnell and Laiser (1993) confirmed the. negative Monday return due to negative week-end effect. In addition, Abraham and Ikenberry (1994) observed that the Monday return following negative Friday return was significantly negative nearly 80 per cent of time. Similarly, Athanassakos and Robinson (1994) also observed that 72 per cent of the Monday return following negative Friday supported negative return. Sias and Starks (1995) evidenced the Monday effect due to the institutional investor behaviour., Wang Li and Erickson (1997) found that Monday effects occurred primarily in the last two weeks (fourth and fifth week) of the month. According to Chow, Hsiao, and Solt(1997), it is possible to Vol. No. 2, April-June Vikalpa

3 exploit the week-end effect to generate positive returns by following the 'sorting' strategy prescribed by them. Kamara (1997) found a significant decline in Monday seasonal due to increase in ratio of institutional trading volume and evidenced that small-cap returns exhibited a significant Monday seasonal throughout die period. Fortune(1999) tested the week-end effect by employing the simple diffusion model and the jump diffusion model. In the Indian stock market, there are a few studies on the week-end effect. For instance, Chaudhuri (1991) supported the presence of week-end effect in the daily return of BSE sensitive index for the period June 1988-January 1990 through Kruskal-Wallis test. In another study, Poshakwale (1996) tested the week-end effect by using BSE national index during the period January 1987-October 1994 by applying first order auto-correlation and supported the presence of week-end effect. By employing multiple regression model, Arumugam ( ) tested the week-end effect by using BSE sensitive index during April 1979-March He observed positive Friday return and significant negative Monday return in bear phase. In a recent study, Anshuman and Goswami (1999) investigated the week-end effect by using equally weighted portfolio constructed from 70 stocks listed on the BSE during the period April 1991-March Based on empirical investigation, die results evidenced above-average positive Friday return and below-average negative Tuesdiy return during that period. They also found that Tuesday effect was observed even after adjusting heteroskedasticity. Further, they investigated whether various factors such as measurement error, size-effect, settlement effect, and badla mechanism could explain the weekend effect The study rejected the possibility of any Explanation of week-end effect by measurement error or settlement effect or badla mechanism. However, they found that the largest portfolio based on firm-size was having the lowest Friday return and also suggested that there was no secular pattern on Friday return widi firm size. These studies in the Indian context used either one stock market price index or one portfolio constructed by using individual stocks. It is possible that thin trading of individual stacks included in the index or portfolio might partially affect portfolio return generation and hence, produces some bias in the inference of the weekend effect. Hence, the test based on individual stock return may produce sufficient and additional evidence on week-end effect. Further, the investigation covering a long span with the most recent period may throw some additional evidence on the week-end effect. Hence, this study attempts to pursue the same by using 82 individual stocks traded in BSE during the period January December Besides the construction of four portfolios from 82 individual stocks, this study further uses three stock market price indices, viz., the BSE sensitive index, the BSE national index, and S&P CNX Nifty index to test the presence of week-end effect. The selection of BSE sensitive index is based on the reason that it contains highly sensitive stocks and they do respond to the arrival of information rapidly. The BSE national index is a broad-based index and can capture long run price fluctuations. As the Nifty index has become popular in recent period, the study also considers the same for analysis. Empirical Test The empirical test of week-end effect is generally carried by estimating stock return distribution of each day of the week. More specifically, the researchers estimated the mean return of each day of the week and compared mean returns across all days of the week to infer the weekend effect. In this exercise, the significant negative mean Monday return cum positive Friday return is generally accepted as the supporting evidence of the week-end effect. In symbols: E(R t D j ) = Yj j = l,2,...5; t=l,2,...n (1) R t is return on security at time t, given by [R t = (P t -P t-1 /P t-1 where P t is the price of security at time t and P t., is the price of security at time t-1. If D 1 =l, Equation 1 will estimate Vol.26, No. 2, April-June Vikalpa

4 the first day of the week, i.e., Monday's expected return, viz., y,. Similarly, D 2, D 3, D 4, and D 5 will produce the mean returns of y 2, y 3, y 4, and y. for Tuesday, Wednesday, Thursday, and Efiday respectively. Equation 1 can be reformulated in linear form as: E(R t D j ) = y 1.D 1 + y 2 D 2 + y 3 D 3 + y 4 D 4 + y 5 D 5 j = 1, 2,...5; t = 1, 2,...n...(2) Equation 2 specifies the mean return across all days of the Week based on dummy variables. That is, Monday's dummy variable is defined as D 1 =l, or 0 otherwise. Similarly, D 2 =l for Tuesday, D 3 =l for Wednesday; D 4 =l for Thursday; and D 5 =l for Friday are also specified as dummy variables for other days of the week. If D 2 =l, implying that D,= D 3 = D 4 = D 5 = 0, Equation 2 reduces to E(R t D 2 ) = y 2 and hence, produces a similar specification given in Equation 1. In other words, the ordinary least square estimates (y. j = 1, 2,.. 5 ) of Equation 2 are equal to expected return in Equation 1 far each day of the week. To test the presence of week-end effect, the coefficient of (y 1, < 0) and (y 5 > 0), and both are expected to be statistically significant. Further, if mean return across all days of the week is equal, then it reasonably counters the existence of week-end effect. In other words, the equality of all coefficients y.s of Equation 2 ensures an identical mean return across the days, implying UK? rejection of week-end effect. Hence, the empirical investigation of equality of mean return across all days of the week may be employed as an alternative test for the same. In pursuit of this objective, F-test is generally employed to find the statistical significance of this mean return equality. The rejection of null hypothesis of equality of mean (i.e., y, = y 2 = y 3 as y 4 r= y $ ) by F-test may be taken as supportive evidence- of the week-end effect. Equation 2 assumes that the return generating process is purely dependent on each calendar day of the week. In other words, the return generating process on Monday is purely dependent only on Monday and a, similar logic is also extended to other days of the week. Further, the comparison of all mean returns across all days together is an essential prerequisite to find equality among the return across the days. However, it is possible to have reference or bench-mark return upon which returns on all days may be compared to infer the week-end effect. Hence, Equation 2 may be reformulated as: E(R t D j ) = y 1 + y 2.D 2 + y 3 D 3 + y 4 D 4 + y 5 D 5 where y l is the reference return and rest of the variables is similarly defined as in Equation 2. This paper attempts to use Monday return as reference return based on the reason that the settlement period starts on that day and also being the first day of trading in that given week. In this sense, the value of y 1 represents the Monday's mean return. Further, the coefficients of y 2, y 3, y 4 and y 5 represent the differential mean return earned on Tuesday, Wednesday, Thursday, and Friday respectively. In other words, Equation 3 gives a constant return for all days of the week, besides a day-specific return to each day of the week. For instance, Tuesday return is estimated as the sum of constant return (yj and Tuesday's specific or differential return (y 2 ). Similarly, the sum of (y 1 + y 3 ) for Wednesday's return; (y l + Y 4 ) for Thursday return and fy + y 5 ) for Friday return are also ensured. The presence of week-end effect (in Equation 3) is generally supported by ensuring the possibility of differential return across the days of the week. The absence of differential return specifies that the mean return across the days is equal and hence rejects the existence of weekend effect. In empirical exercise, if (y 1 < 0) and (y 5 > O) 2, it ensures the negative mean return on Monday and positive mean return on Friday. The statistical validity of this proposition is generally tested by t-test in regression model. In addition, the test of identical mean return across all days of the week is carried by employing F-test with null hypothesis of zero differential return across the days (i.e., y 2 = y 3 = Y 4 = Y 5 = O). 2 The significant F- value suggests the existence of week-end effect. The above discussion presents the test of week-end effect by using individual security returns across all days of the week. The Indian Vol 26, No. 2, April-June Vikalpa

5

6 Empirical Evidence The Indian stock market has a unique system of settling securities transactions. It follows one week accounting period settlement. The BSE, Mumbai follows Monday to Friday "accounting period" settlement. All the outstanding trade, irrespective of trade-day is batched and settled on one day. In addition, the Indian stock markets have yet another unique instrument known as "carry-forward" of transactions. Under the system of carry-forward of securities, an investor has the option not to take delivery of securities and has to pay carry-forward charges to postpone delivery of securities. The charges are known as "badla." Badla charges are decided by market forces, i.e., demand and supply. This carryforward mechanism is permitted in the stock exchanges of Mumbai, Calcutta, Delhi, and Ahmedabad. Carry-forward mechanism has had chequered history for the last seven years. The carry-forward mechanism of securities was introduced in the early 1980s and it continued till the imposition of ban on carryforward mechanism in March The ban was in force for about one year and ten months. It was again introduced in January In addition, it was also subjected to further modification in November The presence or absence of any phases of the carry-forward mechanism may have specific linkages with the week-end effect. Hence, our study makes an attempt tb find out the impact of different phases of carry-forward (absence of it) on the weekend effect For this purpose, this study considers form phases of carry-forward mechanism, viz., (i) the period of original carry-forward mechanism (January 2, 1990 to March 10, 1994); (ii) die period of ban on carry-forward mechanism (March II, 1994 to January 15, 1996); (iii) the period of modified carry-forward mechanism (January 16, 1996 to November 10, 1997); and (iv) the period of revised modified carry-forward mechanism (November 11, 1997 to December 30, 1999), As observed earlier, the above mentioned phases may provide different influence on the week-end effect across various sample periods. Vol 26, No. 2, April-June For instance, as the carry-forward mechanism was allowed in period (i), the investor may.not necessarily settle transaction in the same settlement period. If he feels any adverse price fluctuation in the market at the end of the settlement period, he prefers to pay 'badla' charges to postpone delivery. More specifically, if carry-forward mechanism is allowed, the investor is having leverage in time to settle or not to settle. Conversely, as the carry-forward transaction was banned in period (ii), then it was necessary for the market participant to settle his trade within the same settlement cycle itself. In case of adverse price fluctuations at end of settlement period, it produces great pressure on the market participant to adjust this adverse price effect. Hence, he attempts to re-balance his existing portfolio (i.e., selling or buying component securities) to cover up the adverse price effect. In essence, if carry-forward mechanism is disallowed, he does not have leverage in time to buy the security at a later date and this results in wild current price variation at the end of the settlement period. As period (iii) had scrip-wise and member-wise limit in addition to maximum carry-forward time, it might have produced some impact on the week-end effect. In phase (iv), the scrip-wise and member-wise limits are relaxed and this might support a different form of week-end effect. All these classifications are based on specific focus to find out the impact of the presence or absence of carry-forward transactions in the week-end effect and its variations. Though there are various other impacts such as settlement effect, institutional investors' month of the year effect, etc. this paper focuses solely on the carryforward transactions. This study, however, attempted to use only representative sample from carry-forward list. The BSE has been chosen as a representative exchange for our study. Among all the stock exchanges in which the carry-forward transaction is permitted, the BSE is the largest and the most liquid market Therefore, we initially focused on all the stocks of the carry-forward list (popularly known as 'A' Group) of BSE. Additionally, we also intended to have all scrips Vikalpa

7 of BSE sensitive index and S&P CNX Nifty. These two indices together have 50 stocks and these 50 stocks are part of carry-forward list as on 30th December Our reference date for selecting the sample is 30th December We decided to collect daily data from January 1990 to December 1999 for all the stocks that are part of BSE Sensex, S&P CNX Nifty, and cany-forward list. However, data on many companies, which are part of carry-forward list as on 30th December, were not available for the entire sample period. Therefore, we have a final sample size of 82 companies, which are either common to all lists or part of any of three lists for the entire period. Based on this sample, we collected the adjusted daily stock prices of 82 companies traded on the BSE during the period January December Besides, we also use three stock market price indices, viz., BSE sensitive index, BSE national index, and S&P CNX Nifty index as a proxy for broadbased portfolio. All these data were collected from CMIE Database. Empirical Evidence from Individual Stock Return Researchers observed that the varying expected return across the days of the week is due to differing Return distribution. Hence, if there is no identical mean return across the days of the week, it means that the return distribution across all days of the week is different. Hence, the first two moments of return distribution across days can give a summary picture of return distribution. Return to to Pursuing this line, we estimated the first moment of stock return of each day of the week for 82 stocks and three stock market price indices covering all sub-sample periods and the full sample period. Due to paucity of space, we present the summarized results of the daily stock returns in the form of frequency table. For this purpose, the number of class interval of stock return is fixed as six categories based on the spread of mean return across various stocks. From this table, it is possible to find out the number of stocks having positive return as well as negative return on any day of the week. Accordingly, the comparative frequency table of mean return for Monday, Tuesday, Wednesday, Thursday, and Friday is presented in Table 1 for all sub-sample periods and the entire sample period. The evidence from Table 1 suggests that the total number of companies having negative Monday return is 27, 67, 29, 1, and 9 for period (i), period (ii), period (iii), period (iv), and the full period respectively. The highest number of companies having negative Monday return is observed as 66 in the period (ii) of ban on carryforward mechanism. Though there is evidence of 27 cases in original carry-forward period (ii), and 29 cases in modified carry-forward period (iii), the results do not seem to support the negative Monday return in revised modified carry-forward period (iv) and the full period. Hence, it is possible to conclude that the ban oh carry-forward mechanism in period ' (ii) Table 1: Comparative Frequency Table of Mean Return Estimates Number of Companies, in Peried-i Number of Companies in Period-it Number of Companies in Period-iii Number of Companies in Period-iv Number of Companies in Full Period D1 D2 D3 D4 D5 D1 D2 D3 D4 D5 D1 D2 D3 D4 D5 D1 D2 D3 D4 D5 D1 D2 D3 D4 D5 I to , to _ to No Data Total Note: Dl: Monday; D2: Tuesday; D3: Wednesday; D4: Thursday, D5: Friday, No Data: Number of Securities not having data during that period. Vol. 26, No. 2, April-June Vikalpa

8 evidences a stronger support of week-end effect and the early carry-forward period (i), the modified carry-forward period (iii), and revised carry-forward period (iv) had insignificant support for the week-end effect. This effect is averagedout in the full sample period. Table 1 further reveals that the number of companies having negative Tuesday returns is 24, 67, 63, 27, 51 in period (i), (ii), (iii), (iv), and the full period respectively. The ban on carry-forward transaction during the period (ii) is also providing strong support for negative Tuesday return. Besides, the modified carryforward system in period (iii) strongly supports negative Tuesday return in 63 companies and also in 51 companies in the full period. In essence, the modified carry-forward period provides a strong support for week-end effect by showing larger number of negative Tuesday return in most cases. This outcome corroborates the findings of Anushuman and Goswami (2000). The total number of negative Friday return in Table 1 is reported as 1, 9, 45, 71, and 19 cases in period (i), (ii), (iii), (iv), and (v) respectively. The week-end effect proposes that Friday return is normally high as compared to rest of the days. The evidence of lesser number of negative Friday's return in period (i), (ii), and full period supports the positive Friday return in most of the companies. Though the period (iii) and (iv) gives larger number of negative return, it is possible that each company's return in Friday may be still larger than the return in other days in the sense of negative returns. For instance, the number of negative Friday return in period (iii) is observed as 45 while the negative return on Tuesday is reported as 63. In other words, the negative return in Friday is lesser than the negative return in other days. Hence, it is possible to state that the Friday returns are high in most cases and support the evidence of week-end effect. However, Table 1 shows increasing trend of negative Friday return from period (i) to period (iv). Besides, there is regime shift in week-end effect in period (iii) and this observation continues up to period (iv). More specifically, the total number of companies having positive Monday return is higher than the total number of companies having negative Friday return in period (iii) and the full period. This observation asserts that Monday experiences positive return and Friday produces negative return. This outcome thoroughly differs from the traditional week-end effect, i.e., negative Monday return and positive Friday return. Hence, it is possible to say that modified carryforward mechanism (period iv) and revised modified carry-forward mechanism (period v) might have influenced this reversal in week-end effect. Besides, the NSE had started its operation during the period (iii), and it is quite possible that the NSE influenced this regime shift in week-end effect. By employing regression equations 2 and 3, the test of week-end effect is also carried on 82 individual securities as well as on three stock market price indices. Hence, the summary results are presented in Table 2. It presents the summary t-statistics of Equations 2 and 3 for all sub-sample periods and the full period. The results show that the maximum number of companies having negative Monday return is 63 in period (ii). As there is significant t-statistic in 11 companies, it supports the presence of week-end effect in these companies during the period of ban on carry-forward transactions. However, the results showed insignificant t- statistics for 52 companies at 5 per cent level of significance. The existence of insignificant negative Monday return does not necessarily mean the presence of positive Monday return. For instance, though there is insignificant negative Monday return in 52 cases, there is no evidence of significant positive return in period (ii). Further, insignificant positive Monday return is observed as 14 companies while insignificant negative Monday return is evidenced for 52 companies. Hence, this outcome supports, though insignificant, more number of negative Monday return as compared to positive Monday return. Based on this logic, it is possible to suggest that there is a marginal support of negative Monday return in 52 companies during the period of ban on carry-forward mechanism. In addition, the positive mean Friday return (Equation 2) and positive differential Friday Vol. 26, No. 2, April-June Vikalpa

9 return (Equation 3) are observed as 72 and 70 cases respectively in this period. This result further reiterates the presence of week-end effect diving the period of ban on carry-forward mechanism. The results from period (iii) and period (iv) present a different picture about week-end effect. In period (iii), Equation 2 suggests that: (i) there are 57 companies ( 8 significant cases and 49 insignificant cases) observing positive Monday return and 44 companies (3 significant cases and 41 insignificant cases) observing negative Friday return. Equation 3 also ensures a similar observation during this period. As observed in Table 1, there might be a regime shift in return variation during this period. More specifically, this period observes a reversal in week effect, i.e., positive Monday return cum negative Friday return. Further, the results from period (iv) further confirm die reversal in week-end effect. For instance, Equation 3 in period (iv) evidences: (a) positive Monday return in 84 companies (61 significant cases and 23 insignificant cases) and (b) negative Friday return in 83 companies (54 significant and 29 insignificant cases). In essence, these periods evidence a reversal in week-end effect (i.e., positive Monday return cum negative Friday return). However, the results from the full sample period (Equation 2) present positive Monday return in 76 companies (42 significant cases and 34 insignificant cases) and negative Friday return in 19 companies (4 significant Table 2: The Summary Results of t-statistics (5% Level of Significance) Period Statistics Equation 2 Equation 3 Y 1 y 2 Y 3 Y 4 y 5 i Sig(+) Insig(+) Sig(-) Insig(-) ii Sig(+) InsigM isig(-) Insig(-) in Sig(+) !nsig{+) Sig(-) Insig(-) :iv Sig(+) Insig(+) Sig(-) Insig(-) Full Sig(+) Period Insig(+) Sig(-) Insig(-) Y 1 Y 2 Y 3 Y 4 Y ' - -, ? Note: Sig(+): Significant positive t-statistics; Insig(+): Insignificant positive t-statistics Sig(-): Significant negative t-statistics; Insig(-): Insignificant negative t-statistics. Vol. No. 2, April-June Vikalpa

10 cases and 15 insignificant cases). The reversal in week-end effect in period (iii) and period (iv) is not completely supported in this period excepting the support of positive Monday return. In other words, the results from the full period provide only partial support to the observations of period (iii) and period (iv). Further, the highest number of positive Wednesday mean-return (in Equation 2) was consistently observed in period (iii) and period (iv). Based on the above discussion, it is possible to state that (a) there is a support of traditional week-end effect in the period of ban on carryforward mechanism; (b) a reversal in week-end effect is observed in the periods of modified carry-forward and revised carry-forward mechanism, and (c) the results from the full sample -period partially support the reversal in week-end effect (i.e., supporting only positive Monday return). Though the results from subsample periods differ in explaining return variation, the full sample period gives a different picture of return variation. This observation is due to aggregation of return variation across different sub-sample periods. As suggested earlier, this outcome also supports the findings that the period of modified carry-forward and revised modified carry-forward mechanisms does have some impact on the week-end effect. Empirical Evidence from Portfolio Returns Though the investigation of week end effect on individual securities may give sufficient evidence, it is preferable to use portfolio return to test the week-end effect. It is possible that the weekend effect may exist in individual stock returns but it may be absent in portfolio returns due to aggregation of returns. Hence, this paper also employs portfolio return in the test of week-end effect. In order to estimate 'reasonably' correct estimate of portfolio return, this study prefers to include only those securities having price data for the period A careful scrutiny of data availability and also information of no data given in Table 1 reveals that there are certain securities that do not have data on all the days of all the years. Further, a few other securities do have price data in an interrupted fashion due Vol 26, No. 2, April-June to thin trading of their stocks in BSE. Hence, this study eliminates those securities that do not have data on all the days for all the securities. This process resulted in producing a sample size of 70 companies. Based on a representative sample of 70 securities, this study attempts to construct portfolio to estimate portfolio return. For this purpose, this study estimated the beta of individual securities by employing CAPM regression for the period The test of CAPM by itself deserves a separate study. This study, however, focuses on the portfolio construction based on beta estimates. Though there are different forms of empirical tests on CAPM available in the literature, this study attempts to use the market model. 3 In view of estimating beta from CAPM, this study estimates the return as [R t = (P t P t-1 / P t-1 and considers the BSE sensitive index as the market index. Based on the estimates of beta ranking, we constructed Portfolio-1, Portfolio-2, Portfolio-3, and Portfolio- 4. Portfolio-1 contains only low beta stocks of 19 companies; Portfolio-2 contains next-highest beta stocks of 17 companies; Portfolio-3 consists of third-highest beta stocks of 17 companies, and Portfolio-4 comprises of highest beta stocks of 17 companies. 4 After grouping portfolios on the basis of beta, equally weighted portfolio is constructed based on the number of securities in each portfolio. Then the portfolio return from these four portfolios will be subjected to weekend effect in various sub-sample periods. In other words, the portfolio return estimation is based on two steps, viz., (1) the portfolio grouping based on beta estimates and (2) construction of equally weighted portfolio for each grouped portfolio in step (1). This exercise produced beta estimates as: (a) for Portfolio-1; (b) for Portfolio-2; (c) for Portfolio-3, and (d) for Portfolio-4. 5 Besides these four portfolio returns, this paper also attempted to use three index portfolios such as BSE sensitive index, BSE national index, and Nifty index in testing week-end effect in portfolio returns. The test of week-end effect is carried out by employing Equations 4 and 5 for all sub- Vikalpa

11 sample periods as well as the full period. The respective statistics of Equation 4 on period-i, period-ii, period-iii, period-iv, and full period is reported in Tables 3, 5, 7, 9, and 11 respectively. Similarly, the results of Equation 5 are also presented in Tables 4, 6, 8, 10, and 12 respectively. Due to a fewer number of observations in Portfolio-1 and Portfolio-2 in period (i), the regression estimation procedure for these portfolios does report the problem of sample data and hence, this paper does not carry out the regression for these portfolios. Besides, the non-availability of data on Nifty rule out the possibility of estimation. Hence, Tables 3 and 4 reported the evidence for Portfolio-3, Portfolio- 4, BSE sensitive index, and BSE national index. The evidence from Table 3 suggests that the highest mean return in Friday is significant for all portfolios while insignificant negative Monday returns are observed in BSE sensitive and M&E national indices. However, the beta-portfolios do not seem to support the negative Monday return for this sub-sample period. In essence, a reasonable support for week-end effect is observed in period (i). The evidence from Table 5 and 6 provides a strong support for the existence of week-end effect in period (ii). The consistent support for significant high positive return on Friday and negative Monday return is observed in all betaportfolios and stock market price indices, viz., BSE sensitive and BSE national indices. As mentioned earlier, the period (ii), i.e., the ban Table 3: Regression Estimates from Portfolio Return (Period-i) Port DUMMY1 DUMMY2 DUMMYS DUMMY4 DUMMYS F-STAT (15206) (1.2264) (0.0836) (1.3687) (3.0984) (0.009) (1.1361) ( ) ( ) (0.0070) (1.5079) (0.467) BX ( ) (0.5810) ( ) (1.0721) (2.9304) (0.059) UN ( ) (0.1432) ( ) (0.2744) (2.7016) (0.162) Table 4: Regression Estimates from Portfolio Return (Period-i) PORT CONST DUMMY2 DUMMYS DUMMY4 DUMMYS F-STAT " (1.9206) ( ) ( ) ( ) (0.9688) (0.235) (1.1361) ( ) ( ) ( ) (0.2629) (0.359) BX , ( ) (0.6720) ( ) (0.9983) (2.2911) (0.087) BN ( ) (0.5939) (0.3325) (0.6908) (2.3815) (0.139) Port: Portfolios; BX: BSE sensitive index; BN: BSE national index; NIF: S&P CNX Nifty index; Duouftyl: Monday's dummy variable; Dummy2: Tuesday's dummy variable; DummyS: Wednesday's dummy variable; Dummy4: Thursday's dummy variable; DummyS: Friday's dummy variable; DF: Degrees of Freedom. TQ$, figures given inside the bracket in Column-2 through Column-6 refer to t-statistics. The figures given incide the-bfacket in F-stat column is the level of significance at which the null hypothesis is rejected. Const: Constant. Vol. No. 2, April-June Vikalpa

12 on carry-forward transactions, might have largely induced the week-end effect in both individual security returns as well as portfolio returns. Another striking evidence is also observed from Table 6. The low-beta portfolio has lowest differential return and high-beta portfolio has highest differential return on Friday. For instance, low-beta Portfolio-1 has lowest differential return on Friday while the high-beta Portfolio-4 has the highest differential return on Friday. Hence, the risk-return parity on CAPM, i.e., low-risk portfolio deserves only low return and high-risk portfolio bears high return, also observed in differential return across all beta-grouped portfolios on Friday. At this juncture, efforts should also be made to check whether the risk- return parity across securities or portfolio has any impact on the week-end effect. Thus, it is possible to conclude that the period of ban on carry-forward transaction largely contributes for the presence of week-end effect. Besides, the observation of higher differential return across portfolios on Friday largely depends on the riskcomposition of that portfolio. The empirical results of period (iii) (Table 7 ) provide a thoroughly different picture about the week-end effect. This paper includes Nifty index in this period due to its inception in this period. Excepting Portfolio-1 and Nifty index, all beta-portfolios and BSE national index provide a negative mean return on Friday and positive Table 5: Regression Estimates from Portfolio Return (Period-ii) PORT DUMMY1 DUMMY2 DUMMY3 DUMMY4 DUMMY5 F-STAT I ( ) ( ) ( ) ( ) (3.6022) (0.001) ( ) ( ) (0.0179) (0.1608) (2.8604) (0.136) ( ) ( ) ( ) (1.8770) (3.4134) (0.000) ( ) ( ) ( ) (0.3571) (3.5757) (0.001) BX ( ) ( ) (0.2928) (0.0222) (2.0066) (0.032) BN ( ) ( ) ( ) ( ) (2.5913) (0.000) Table 6: Regression Estimates from Portfolio Return (Period-ii) PORT CONST DUMMY2 DUMMY3 DUMMY4 DUMMY5 F-STAT ( ) ( ) ( ) ( ) (2.5417) (0.001) ( ) (0.2391) (0.4008) (0.4848) (2.3920) (0.116) ( ) (0.8145) (0.8901) (3.0585) (4.1429) (0.000) ( ) ( ) (1.1635) (1.4248) (3.7108) (0.000) BX -O.Q (*2.2867) (0.3872) (1.8465) (1.6582) (3.0386) (0.020) BN ( ) ( ) (1.2157) (1.5407) (3.5959) (0.001) Note: Legends as in Tables 3 and 4. Vol. 26, No. 2, April-June Vikalpa

13 Monday return in this period. The reversal in week-end effect, i.e., positive Monday return and negative Friday return, is observed in these cases. However, the BSE sensitive index portfolio provides a negative mean return on Monday and Friday. In addition, the Nifty index portfolio shows sufficient support for negative Monday return and a positive Friday return in this period thus supporting the presence of week-end effect. Table 7: Regression Estimates from The evidence from Table 7 presents certain special results. All portfolios, i.e., whether betaportfolios or stock market index portfolios, observe a consistent significant positive return on Wednesday and also a consistent insignificant negative return on Tuesday. This observation is worth noting and deserves special comments. The NSE had begun its trading operation during this period and follows the settlement period of Portfolio Return (Period-iii) PORT DUMMY1 DUMMY2 DUMMY3 DUMMY4 DUMMY5 F-STAT I (1.1311) (0.1692) (3.1088) (0.4008) (0.8278) (0.043) (1.3554) ( ) (2.7003) (0.1960) ( ) (0.085) (2.1712) ( ) (2.5991). ( ) ( ) (0.013) (0.1761) ( ) (2.1385) ( ) ( ) (0.405) BX ( ) ( ) (1.6422) ( ) ( ) (0.674) BN (0.2640) ( ) (1.5900) ( ) ( ) (0.638) NIF ( ) ( ) (5.5190) ( ) (0.0916) (0.000) Table 8: Regression Estimates from Portfolio Return (Period-iii) PORT CONST DUMMY2 DUMMY3 DUMMY4 DUMMY5 F-STAT I (1.1311) ( ) (1.6927) ( ) ( ) (0.184) (1.3554) ( ) (1.0579) ( ) ( ) (0.107) (2.1712) ( ) (0.3026) ( ) ( ) (0.007) (0.1761) ( ) (1.3824) ( ) ( ) (0.309) BX ( ) ( ) (1.2401) ( ) ( ) (0.535) BN (0.2640) ( ) (0.9335) ( ) ( ) (0.496) NIF ( ) ( ) (5.0448) (0.4931) (1.3245) (0.000) Note: Legends as in Tables 3 and 4. Vol.26 No. 2, April-June Vikalpa

14 Wednesday - Tuesday while the BSE follows the settlement period of Monday - Friday. If an investor consolidates his position at NSE on Tuesday, then it is possible to shift his investment to BSE on Wednesday for arbitrage profits. In this sense, there will be heavy demand pressure on BSE on Wednesday resulting in positive mean return. Similarly, if the investor feels the possibility of arbitrage profit by shifting his investment from the BSE to NSE, then he has to square up his operations in BSE on Tuesday. This will induce a large selling pressure in die BSE producing negative return on Tuesday. Pursuing in this line, there is no week-end effect in the traditional sense, i.e. negative mean Monday return cum positive mean Friday return. However, it shows a day-of-the-week effect, i.e., positive Wednesday return and negative Tuesday return. This situation at this period might be peculiar only to the Indian stock market due Table 9: Regression Estimates from Portfolio Return (Period-iv) PORT DUMMY1 DUMMY! DUMMY3 DUMMY4 DUMMY5 F-STAT (3.4251) (0.7238) (0.2565) (0.0070) ( ) (0.008) (5.3563) (0.8702) (0.2702) ( ) ( ) (0.000) (5.0687) (1.2284) (1.0312) ( ) ( ) (0.000) (3.1257) (0.9480) ( ) ( ) ( ) (0.031) BX (2.8653) (0.0219) (0.3470) ( ) ( ) (0.06.6) BN (3.9497) (0.3162) (0.8739) ( ) ( ) (0.001) NJF (0.0555) ( ) (3.9811) ( ) ( ) (0.003) Table 10: Regression Estimates from Portfolio Return (Period-iv) PORT CONST DUMMY2 DUMMY3 DUMMY4 DUMMY5 F-SZAT (3.4251) ( ) ( ) ( ) ( ) (0.006) (5.3563) ( ) ( ) ( ) ( ) (0.000) (5.0687) ( ) ( ) ( ) ( ) (0.000) (3.1257) (-L5471) ( ) ( ) ( ) (0.023) BX (2.8653) ( ) ( ) ( ) ( ) (0.043) IN (3.9497) ( ) ( ) ( ) ( ) (0.001) NIF (0.0555) ( ) (2.7759) ( ) ( ) (0.002) Note: Legends as in Tables 3 and 4. Vol. 26, No. 2, April-June Vikalpa

15 to the existence of the NSE. Table 8 also, insignificantly, supports consistent positive return and reversal in week-end effect (i.e., positive Monday return and negative Friday return). The analysis indicates that the trading operation at the NSE might have influenced the 'different' form of the-day-of-the-week effect rather than a week-end effect for the Indian stock market during this period. The empirical findings from Tables 9 and 10 largely reject the presence of week-end effect. In other words, all portfolios uniformly observe significantly positive Monday return and negative Friday return. Hence, it may be possible that the modified carry-forward transaction in this period might have influenced this contrary behaviour of weekend effect. However, the earlier observation of positive Wednesday return in period (iii) is also evidenced in Table 9 for period (iv). Hence, it is possible that the NSE trading operations might have influenced the weekend effect on stocks traded in the BSE. The regression estimation of week-end effect was carried out for the full period from January 1990-December 1999 and the results are presented in Tables 11 and 12. The results indicate that, excepting the NSE index portfolio, they fail to support the traditional sense of week-end effect for the whole period. The reversal in week-end effect is also observed in most cases. Further, the special case of the-day-of-the-week effect, (i.e., positive Wednesday return and negative Tuesday return) is also observed in most cases of Table 11. It further reiterates that there is an impact of NSE trading period on the weekend effect of stocks traded in the BSE. It is also possible to expect such impact of BSE on the stocks traded on the NSE. To support this logic, die Nifty index portfolio observes the week-end effect of negative mean Monday return cum positive mean Friday return during the entire period (Table 12). In this sense, the BSE trading might have influenced the stocks traded on the NSE. The outcome of this result differs from the previous study of Arumugam ( ) and Anshuman and Goswami (1999). Vol. 26, No. 2, April-June Conclusion This study investigated the week-end effect of 82 individual stocks traded on the BSE and return on seven portfolios (i.e., four beta portfolios and three stock index portfolios) by using the daily stock price for the period, January December This paper focused on the impact of carry-forward transactions in four subsample periods, viz., (i) January 2, 1990 to March 10, 1994 (the early period of carryforward transactions); (ii) March 11, 1994 to January 15, 1996 (the period of ban on carryforward transactions); (iii) January 16, 1996 to November 10, 1997 (the period of modified carry-forward transactions); (iv) November 11, 1997 to December 30, 1999 (period of revised modified carry-forward transactions). Besides, this paper tested the week-end effect in the total sample period from January 1990 to December The empirical evidence suggested that the traditional week-end effect was generally observed only in the period of ban on carryforward transactions during March 11, January 15, The modified and revised modified carry-forward transactions have supported the existence of stock return variation by showing positive Wednesday return and negative Tuesday return during that period and hence, produces a day-of-the-week effect in the Indian stock market. Further, this study also documents a reversal in week-end effect (i.e., positive Monday return and negative Friday return) in these periods. This paper further suggests that the betaportfolios' differential return on specific day largely follows the CAPM's risk-return parity. In other words, there is a possibility that the weekend effect can also be studied with the CAPM analogue. The return generating process in Equations 4 and 5 implicitly assumes that return generation process on any day depends exclusively on that specific day and excludes any third factor's special explanation on the week-end effect. However, the mean return across all days of the week may be due to two factors, viz., (i) some functional dependence on the general market return and (ii) a day-specific return due to each day of the week. Pursuing on this logic, any Vikalpa

16 security return is equal to the sum of identical mean market return across all days and a specific return due to seasonality on each day of the week. This examination may throw some light on the week-end effect from CAPM framework and it is left for future research. The preliminary evidence from the empirical discussion suggests that the differing stock exchange trading operations and settlement period between the BSE and the NSE do have an impact on the week-end effect of individual security and portfolio returns. Hence, a detailed analysis of the impact of the differing stock exchange transactions between BSE and NSE in the light of week-end effect is awaited. Table 11: Regression Estimates from Portfolio Return (Full Period) FORT; DUMMY1 DUMMY2 DUMMY3 DUMMY4 DUMMY5 F-STAT i (3.4703) ( ) ( ) ( ) ( ) (0.033) , (4.8384) (0.6524) (1.3803) ( ) ( ) (0.000) (4.5363) (0.3008) (1.6512) ( ) ( ) (0.000) (2.0989) ( ) (0.8289) ( ) (0.8772) (0.240) BX (0.5510) ( ) (0.4319) (0.4846) (1.7574), (0.567) BN ( ) ( ) ( ) (0.0924) (2.4943) (0.280) NIF (-O.M33) ( ) (6.4616) ( ) ( ) (0,000) Table 12: Regression, Estimates from Portfolio Return (Full Period) CONST &UMMY2 DUMMY3 DUMMY4 DUMMY5 F-STAT mm i (3.4703) ( ) ( ) ( ) ( ) (0.033) (4.8384) ( ) ( ) ( ) ( ) (0.000) a (4.5363) ( ) ( ) ( ) ( ) (0.000) ,(2,0989) ( ) ( ) ( ) ( ) (0.240) BX (0.5510) ( ) ( ) ( ) (0.8358) (0.713) BN ( ) (0.0816) (0.1542) (0.2204) (1.9085) (0.261) NIF (-0,9133) ( ) (5.1497) ( ) (0.3786) (0.000) Note: Legends as in Tables 3 and 4. Vol. 26, April-June Vikalpa

17 Notes 1. The observation of variation in return distribution is discussed in early research works such as Mandelbrot (1963, 1967), Fama (1965), and others. 2. The rejection of null hypothesis of zero-differential mean return across four calendar days starting from Tuesday supports the return variation across all days of the week. It is also possible to test week end effect through the null hypothesis of identical differential mean return (i.e., Y 2 = Y 3 = Y 4 = Y 5 ) across the period by F-test. However, this study employs the null hypothesis, of (Y 2 = Y 3 Y 4 = Y 5 = 0) to test the week-end effect. 3. There are three forms of empirical tests discussed in literature, viz., (i) Cross-sectional average monthly risk premium form (Blume and Friend, 1973); (ii) Cross-sectional monthly realized risk References Abraham, A and Ikenberry, D L (1994). "The Individual Investor and Week End Effect," Journal of Financial and Quantitative Analysis, Vol 29, No 2, pp Amanulla, S and Kamaiah, B (1998). "Asset Price Behaviour in Indian Stock Market: Is the CAPM Still Relevant?" Journal of Financial Management and Analysis, Vol 11, No 1, pp Anshuman, R and Goswami, R (1999). "Day of the Week Effect on the Bombay Stock Exchange," Paper Presented at the Third Capital Markets Conference, December 1999, at the UTI Institute of Capital Markets, Mumbai. Arurnugam ( ). "Day of the Week Effects in Stock Returns: An Empirical Evidence from Indian Equity Market," Prajnan, Vol 27, No 2, pp Athanassakos, G and Robinson, MJ (1994). "The Dayof-the Week Anomaly: The Toronto Stock Exchange Experience," Journal of Business Finance & Accounting, Vol 21, No 6, pp Bessembinder, H and Hertzel, M G (1993). "Return Auto-correlation Around Non-trading Days," Review of Financial Studies, Vol 6, pp Black, F, Jensen, M C and Scholes, M (1972). "The Capital Asset Pricing Model: Some Empirical Test," in Jensen, M C (ed.,) Studies in the Theory of Capital Market, New York: Praeger. premium form (Fama and MacBeth, 1973) and (iii) Time series regression form (Black, Jensen and Scholes, 1972; and Gibbon, 1982). The form (iii) may be used as a close surrogate of market model. [Amanulla and Kamaiah, 1998]. 4. It is possible to have periodic rebalancing of beta sorted portfolios for each sub-sample period; then the test of week-end effect may be pursued based on rebalanced beta-portfolios in each sub-period. Leaving further details to future research, this study, however, restricts its focus only on constructing beta portfolios based on the time period This portfolio-beta is estimated based on specific period. If the investor revises this beta by updating time period, it is possible to estimate recent beta estimate for his portfolio rebalancing for future period. Blume, M E and Friend, I (1973). "A New Look at the Capital Asset Pricing Model," Journal of Finance, Vol 28, pp Chaudhuri, S K (1991). "Seasonally in Share Returns: Preliminary Evidence on Day-of-the Week-effect," Chartered Accountant, Vol 40, No 5, pp Chow, H E; Hsiao, P and Solt, M E (1997). "Trading Returns for the Week-end Effect Using Intra-day Date.," Journal of Business Finance & Accounting, Vol 24, Nos(3)&(4), pp Dyl, E A and Holland, C W (1990). "Why a Weekend- Effect: Comment," Journal of Portfolio Management, Vol 16, No 2, pp Dyl, E A and Maberly, E D (1988). "A Possible Explanation of Week-end Effect," Financial Analysts Journal, Vol 18, pp Fama, E F (1965). "The Behaviour of Stock Market Prices," Journal of Business, Vol 38, pp Fama, E F and MacBeth, J (1973). "Risk, Return, and Equilibrium: Empirical Test," Journal of Political Economy, Vol 71, pp Fishe, R P H; Gosnell, T F and Laiser, D J (1993). "Good News, Bad News, Volume and the Monday Effect," Journal of Business Finance and Accounting, Vol 20, No 6, pp Fortune, P (1999). "Are Stock Returns Different Over Week-ends? A Jump Diffusion Analysis of the Week-end Effect," New England Economic Review, pp Vol. 26, No. 2, April-June Vikalpa

18 French, K R (1980). "Stock Returns and Week-end Effect," Journal of Financial Economics, Vol 8, pp Gibbon, M (1982). "Multivariate Tests of Financial Model: A New Approach," Journal of Financial Economics, Voi 10, pp Kamara, A (1997). "New Evidence on the Monday Seasonals in Stock Returns," Journal of Business, Vol 70, No 1, pp Lakonishok, J and Maberly, E (1990). "The Weekend-Effect: Trading Patterns of Individual and Institutional Investors," Journal of Finance, Vol 45, No 1, pp Mandelbrot, B (1963). "The Variation of Certain Speculative Prices," Journal of Business, Vol 36, pp Mandelbrot, B (1967). "Variation of Some Other Speculative Prices," Journal of Business, Vol 40, pp , Patell, J M and Wolfson, M A (1982). "Good News, Bad News and the Intra-day Timings of Corporate Disclosure," The Accounting Review, Vol 57, pp Penman, S H (1987). "The Distribution of Earnings News Over Time and Seasonalities in Aggregate Stock Returns," Journal of Financial Economics, Vol 18, pp Poshakwale, S (1996). "Evidence on Weak Form of Efficiency and Day of the Week-effect in Indian Stock Market," Finance India, Vol 10, No 3, pp Sias, R W and Starks, L T (1995). "The Day-of the Week Anomaly: The Role of Institutional Investors," Financial Analysts Journal, Vol 50, No 3, pp Wang, K; Li, Y and Erickson (1997). "A New Look at the Monday Effect," Journal of Finance, Vol 70, No 1, pp Ziemba, W T (1993). "Comment on Why a Weekend Effect," Journal of Portfolio Management, Vol 19, No 2, pp Vol 26, No. 2, April-June Vikalpa

Weekend Effect of Stock Returns in the Indian Market

Weekend Effect of Stock Returns in the Indian Market Weekend Effect of Stock Returns in the Indian Market Ankur Singhal Vikram Bahure Indian Institute of Technology, Kharagpur Abstract. Many studies on the behavior of stock prices have been based on the

More information

EXPLAINING MONDAY RETURNS 1

EXPLAINING MONDAY RETURNS 1 EXPLAINING MONDAY RETURNS 1 By Paul Draper University of Edinburgh Krishna Paudyal University of Durham Key words: account period, bid-ask spreads, ex-dividend day, Monday effect, robust regression, trading

More information

The Day of the Week Effect: Evidence from the Athens Stock Exchange Using Parametric and Non-Parametric Tests

The Day of the Week Effect: Evidence from the Athens Stock Exchange Using Parametric and Non-Parametric Tests The Day of the Week Effect: Evidence from the Athens Stock Exchange Using Parametric and Non-Parametric Tests Dimitra Vatkali 1, Ioannis A. Michopoulos 2, Dimitrios S. Tinos 3 1 Department of Accounting

More information

Key-words: return autocorrelation, stock market anomalies, non trading periods. JEL: G10.

Key-words: return autocorrelation, stock market anomalies, non trading periods. JEL: G10. New findings regarding return autocorrelation anomalies and the importance of non-trading periods Author: Josep García Blandón Department of Economics and Business Universitat Pompeu Fabra C/ Ramon Trias

More information

Is the Weekend Effect Exploitable?

Is the Weekend Effect Exploitable? Investment Management and Financial Innovations, 1/2004 53 Is the Weekend Effect Exploitable? Ping Hsaio 1, Michael E. Solt 2 Abstract Researchers have long been intrigued by the anomaly of positive Friday/negative

More information

No More Weekend Effect

No More Weekend Effect No More Weekend Effect Russell P. Robins 1 and Geoffrey Peter Smith 2 1 AB Freeman School of Business, Tulane University 2 WP Carey School of Business, Arizona State University Abstract Before 1975, the

More information

An Analysis of Day-of-the-Week Effects in the Egyptian Stock Market

An Analysis of Day-of-the-Week Effects in the Egyptian Stock Market INTERNATIONAL JOURNAL OF BUSINESS, 9(3), 2004 ISSN: 1083 4346 An Analysis of Day-of-the-Week Effects in the Egyptian Stock Market Hassan Aly a, Seyed Mehdian b, and Mark J. Perry b a Ohio State University,

More information

DETERMINATION OF INTEREST RATE ARBITRAGE ACROSS MARKETS IN INDIA

DETERMINATION OF INTEREST RATE ARBITRAGE ACROSS MARKETS IN INDIA SRJIS/Sameer Anvekar & Prakash Salvi. (170179) DETERMINATION OF INTEREST RATE ARBITRAGE ACROSS MARKETS IN INDIA Samir Anvekar Research Student, Department of Economics, University of Mumbai. Prakash Salvi.

More information

A Panel Data Analysis of Corporate Attributes and Stock Prices for Indian Manufacturing Sector

A Panel Data Analysis of Corporate Attributes and Stock Prices for Indian Manufacturing Sector Journal of Modern Accounting and Auditing, ISSN 1548-6583 November 2013, Vol. 9, No. 11, 1519-1525 D DAVID PUBLISHING A Panel Data Analysis of Corporate Attributes and Stock Prices for Indian Manufacturing

More information

A Study of the Relation Between Market Index, Index Futures and Index ETFs: A Case Study of India ABSTRACT

A Study of the Relation Between Market Index, Index Futures and Index ETFs: A Case Study of India ABSTRACT Rev. Integr. Bus. Econ. Res. Vol 2(1) 223 A Study of the Relation Between Market Index, Index Futures and Index ETFs: A Case Study of India S. Kevin Director, TKM Institute of Management, Kollam, India

More information

About Volatility Index. About India VIX

About Volatility Index. About India VIX About Volatility Index Volatility Index is a measure of market s expectation of volatility over the near term. Volatility is often described as the rate and magnitude of changes in prices and in finance

More information

THE ANALYSIS OF CALENDAR EFFECTS ON THE DAILY RETURNS OF THE PORTUGUESE STOCK MARKET: THE WEEKEND AND PUBLIC HOLIDAY EFFECTS*

THE ANALYSIS OF CALENDAR EFFECTS ON THE DAILY RETURNS OF THE PORTUGUESE STOCK MARKET: THE WEEKEND AND PUBLIC HOLIDAY EFFECTS* THE ANALYSIS OF CALENDAR EFFECTS ON THE DAILY RETURNS OF THE PORTUGUESE STOCK MARKET: THE WEEKEND AND PUBLIC HOLIDAY EFFECTS* Miguel Balbina** Nuno C. Martins** 1. INTRODUCTION The purpose of this article

More information

Federal Open Market Committee meetings and stock market performance $

Federal Open Market Committee meetings and stock market performance $ Financial Services Review 10 2001) 163±171 Federal Open Market Committee meetings and stock market performance $ Cynthia Royal Tori * Department of Marketing and Economics, Harley Langdale Jr. College

More information

AN ANALYSIS OF DAY-OF-THE-WEEK AND INTRADAY EFFECTS IN THE INDIAN STOCK MARKET: EVIDENCE FROM NATIONAL STOCK EXCHANGE *

AN ANALYSIS OF DAY-OF-THE-WEEK AND INTRADAY EFFECTS IN THE INDIAN STOCK MARKET: EVIDENCE FROM NATIONAL STOCK EXCHANGE * Journal of Contemporary Issues in Business Research ISSN 2305-8277 (Online), 2014, Vol. 3, No. 3, 115-127. Copyright of the Academic Journals JCIBR All rights reserved. AN ANALYSIS OF DAY-OF-THE-WEEK AND

More information

Seasonality and the Non-Trading Effect on Central European Stock Markets

Seasonality and the Non-Trading Effect on Central European Stock Markets UDC: 336.764/.768; 336.76 JEL Classification: G10 Keywords: seasonality; day-of-week effect; non-trading effect; conditional heteroskedasticity Seasonality and the Non-Trading Effect on Central European

More information

CHAPTER 11: THE EFFICIENT MARKET HYPOTHESIS

CHAPTER 11: THE EFFICIENT MARKET HYPOTHESIS CHAPTER 11: THE EFFICIENT MARKET HYPOTHESIS PROBLEM SETS 1. The correlation coefficient between stock returns for two non-overlapping periods should be zero. If not, one could use returns from one period

More information

Understanding Margins

Understanding Margins Understanding Margins Frequently asked questions on margins as applicable for transactions on Cash and Derivatives segments of NSE and BSE Jointly published by National Stock Exchange of India Limited

More information

BEBR FACULTY WORKING PAPER NO. 1310. Intraday Return and Volatility Patterns in the Stock Market: Futures versus Spot. Joseph E. Hnnerty Hun Y.

BEBR FACULTY WORKING PAPER NO. 1310. Intraday Return and Volatility Patterns in the Stock Market: Futures versus Spot. Joseph E. Hnnerty Hun Y. ST sg'-^/ftk BEBR FACULTY WORKING PAPER NO. 1310 Intraday Return and Volatility Patterns in the Stock Market: Futures versus Spot Joseph E. Hnnerty Hun Y. Park THF I.IWWY OF THE i Of ILLINOIS College of

More information

Understanding Margins. Frequently asked questions on margins as applicable for transactions on Cash and Derivatives segments of NSE and BSE

Understanding Margins. Frequently asked questions on margins as applicable for transactions on Cash and Derivatives segments of NSE and BSE Understanding Margins Frequently asked questions on margins as applicable for transactions on Cash and Derivatives segments of NSE and BSE Jointly published by National Stock Exchange of India Limited

More information

MULTIPLE REGRESSION AND ISSUES IN REGRESSION ANALYSIS

MULTIPLE REGRESSION AND ISSUES IN REGRESSION ANALYSIS MULTIPLE REGRESSION AND ISSUES IN REGRESSION ANALYSIS MSR = Mean Regression Sum of Squares MSE = Mean Squared Error RSS = Regression Sum of Squares SSE = Sum of Squared Errors/Residuals α = Level of Significance

More information

Diskussionsbeiträge des Fachbereichs Wirtschaftswissenschaft der Freien Universität Berlin

Diskussionsbeiträge des Fachbereichs Wirtschaftswissenschaft der Freien Universität Berlin Diskussionsbeiträge des Fachbereichs Wirtschaftswissenschaft der Freien Universität Berlin Nr. 2004/14 BETRIEBSWIRTSCHAFTLICHE REIHE Do Professional Investors Behave Differently than Amateurs After the

More information

THE DAILY RETURN PATTERN IN THE AMMAN STOCK EXCHANGE AND THE WEEKEND EFFECT. Samer A.M. Al-Rjoub *

THE DAILY RETURN PATTERN IN THE AMMAN STOCK EXCHANGE AND THE WEEKEND EFFECT. Samer A.M. Al-Rjoub * Journal of Economic Cooperation 25, 1 (2004) 99-114 THE DAILY RETURN PATTERN IN THE AMMAN STOCK EXCHANGE AND THE WEEKEND EFFECT Samer A.M. Al-Rjoub * This paper examines the robustness of evidence on the

More information

A. GREGORIOU, A. KONTONIKAS and N. TSITSIANIS DEPARTMENT OF ECONOMICS AND FINANCE, BRUNEL UNIVERSITY, UXBRIDGE, MIDDLESEX, UB8 3PH, UK

A. GREGORIOU, A. KONTONIKAS and N. TSITSIANIS DEPARTMENT OF ECONOMICS AND FINANCE, BRUNEL UNIVERSITY, UXBRIDGE, MIDDLESEX, UB8 3PH, UK ------------------------------------------------------------------------ Does The Day Of The Week Effect Exist Once Transaction Costs Have Been Accounted For? Evidence From The UK ------------------------------------------------------------------------

More information

GLOBAL STOCK MARKET INTEGRATION - A STUDY OF SELECT WORLD MAJOR STOCK MARKETS

GLOBAL STOCK MARKET INTEGRATION - A STUDY OF SELECT WORLD MAJOR STOCK MARKETS GLOBAL STOCK MARKET INTEGRATION - A STUDY OF SELECT WORLD MAJOR STOCK MARKETS P. Srikanth, M.Com., M.Phil., ICWA., PGDT.,PGDIBO.,NCMP., (Ph.D.) Assistant Professor, Commerce Post Graduate College, Constituent

More information

Preholiday Returns and Volatility in Thai stock market

Preholiday Returns and Volatility in Thai stock market Preholiday Returns and Volatility in Thai stock market Nopphon Tangjitprom Martin de Tours School of Management and Economics, Assumption University Bangkok, Thailand Tel: (66) 8-5815-6177 Email: tnopphon@gmail.com

More information

Effect of Future Trading on Indian Stock Market: A Comparison of Automobiles and Engineering Sector

Effect of Future Trading on Indian Stock Market: A Comparison of Automobiles and Engineering Sector 10 Journal of Finance and Bank Management, Vol. 1 No. 2, December 2013 Effect of Future Trading on Indian Stock Market: A Comparison of Automobiles and Sector Dr. Ruchika Gahlot 1 Abstract Purpose: This

More information

Journal of Exclusive Management Science May 2015 -Vol 4 Issue 5 - ISSN 2277 5684

Journal of Exclusive Management Science May 2015 -Vol 4 Issue 5 - ISSN 2277 5684 Journal of Exclusive Management Science May 2015 Vol 4 Issue 5 ISSN 2277 5684 A Study on the Emprical Testing Of Capital Asset Pricing Model on Selected Energy Sector Companies Listed In NSE Abstract *S.A.

More information

FEATURES LIST OF THE SYSTEMS FOR SMART ORDER ROUTING AND THE APPLICABLE TERMS AND CONDITIONS

FEATURES LIST OF THE SYSTEMS FOR SMART ORDER ROUTING AND THE APPLICABLE TERMS AND CONDITIONS FEATURES LIST OF THE SYSTEMS FOR SMART ORDER ROUTING AND THE APPLICABLE TERMS AND CONDITIONS FEATURES LIST OF OUR SMART ORDER ROUTING SYSTEM When an order is placed by the client who requires the order

More information

Factors Influencing Price/Earnings Multiple

Factors Influencing Price/Earnings Multiple Learning Objectives Foundation of Research Forecasting Methods Factors Influencing Price/Earnings Multiple Passive & Active Asset Management Investment in Foreign Markets Introduction In the investment

More information

Is the Forward Exchange Rate a Useful Indicator of the Future Exchange Rate?

Is the Forward Exchange Rate a Useful Indicator of the Future Exchange Rate? Is the Forward Exchange Rate a Useful Indicator of the Future Exchange Rate? Emily Polito, Trinity College In the past two decades, there have been many empirical studies both in support of and opposing

More information

Earnings Announcement and Abnormal Return of S&P 500 Companies. Luke Qiu Washington University in St. Louis Economics Department Honors Thesis

Earnings Announcement and Abnormal Return of S&P 500 Companies. Luke Qiu Washington University in St. Louis Economics Department Honors Thesis Earnings Announcement and Abnormal Return of S&P 500 Companies Luke Qiu Washington University in St. Louis Economics Department Honors Thesis March 18, 2014 Abstract In this paper, I investigate the extent

More information

GRIEVANCES AND REDRESSAL OF INVESTORS IN INDIAN CAPITAL MARKET WITH REGARD TO COIMBATORE CITY

GRIEVANCES AND REDRESSAL OF INVESTORS IN INDIAN CAPITAL MARKET WITH REGARD TO COIMBATORE CITY GRIEVANCES AND REDRESSAL OF INVESTORS IN INDIAN CAPITAL MARKET WITH REGARD TO COIMBATORE CITY Mrs. R. Vennila Assistant Professor, Student, B.Com, Department of Commerce, Sri Krishna Arts and Science College,

More information

Sensex Realized Volatility Index

Sensex Realized Volatility Index Sensex Realized Volatility Index Introduction: Volatility modelling has traditionally relied on complex econometric procedures in order to accommodate the inherent latent character of volatility. Realized

More information

OPTION TRADING STRATEGIES IN INDIAN STOCK MARKET

OPTION TRADING STRATEGIES IN INDIAN STOCK MARKET OPTION TRADING STRATEGIES IN INDIAN STOCK MARKET Dr. Rashmi Rathi Assistant Professor Onkarmal Somani College of Commerce, Jodhpur ABSTRACT Options are important derivative securities trading all over

More information

Market Efficiency: Definitions and Tests. Aswath Damodaran

Market Efficiency: Definitions and Tests. Aswath Damodaran Market Efficiency: Definitions and Tests 1 Why market efficiency matters.. Question of whether markets are efficient, and if not, where the inefficiencies lie, is central to investment valuation. If markets

More information

Currency Derivatives Segment 7

Currency Derivatives Segment 7 Currency Derivatives Segment 7 142 Currency Derivatives Segment 7 This chapter on currency derivatives segment is broadly divided into two parts: Currency Futures and Interest Rate futures. The Currency

More information

ISSN: 2321-7782 (Online) Volume 2, Issue 3, March 2014 International Journal of Advance Research in Computer Science and Management Studies

ISSN: 2321-7782 (Online) Volume 2, Issue 3, March 2014 International Journal of Advance Research in Computer Science and Management Studies ISSN: 2321-7782 (Online) Volume 2, Issue 3, March 2014 International Journal of Advance Research in Computer Science and Management Studies Research Article / Paper / Case Study Available online at: www.ijarcsms.com

More information

Is there Information Content in Insider Trades in the Singapore Exchange?

Is there Information Content in Insider Trades in the Singapore Exchange? Is there Information Content in Insider Trades in the Singapore Exchange? Wong Kie Ann a, John M. Sequeira a and Michael McAleer b a Department of Finance and Accounting, National University of Singapore

More information

Weekends Can Be Rough:

Weekends Can Be Rough: Weekends Can Be Rough: Revisiting the Weekend Effect in Stock Prices By Peter Fortune Federal Reserve Bank of Boston 600 Atlantic Avenue Boston, MA 02106 Peter.Fortune@Bos.Frb.Org The performance of stock

More information

The Day-of-the-Week Effect in the Saudi Stock Exchange: A Non-Linear Garch Analysis

The Day-of-the-Week Effect in the Saudi Stock Exchange: A Non-Linear Garch Analysis Journal of Economic and Social Studies The Day-of-the-Week Effect in the Saudi Stock Exchange: A Non-Linear Garch Analysis Talat ULUSSEVER Department of Finance and Economics King Fahd University of Petroleum

More information

The Equity Premium in India

The Equity Premium in India The Equity Premium in India Rajnish Mehra University of California, Santa Barbara and National Bureau of Economic Research January 06 Prepared for the Oxford Companion to Economics in India edited by Kaushik

More information

Journal Of Financial And Strategic Decisions Volume 11 Number 1 Spring 1998

Journal Of Financial And Strategic Decisions Volume 11 Number 1 Spring 1998 Journal Of Financial And Strategic Decisions Volume Number Spring 998 TRANSACTIONS DATA EXAMINATION OF THE EFFECTIVENESS OF THE BLAC MODEL FOR PRICING OPTIONS ON NIEI INDEX FUTURES Mahendra Raj * and David

More information

CHAPTER 18 Dividend and Other Payouts

CHAPTER 18 Dividend and Other Payouts CHAPTER 18 Dividend and Other Payouts Multiple Choice Questions: I. DEFINITIONS DIVIDENDS a 1. Payments made out of a firm s earnings to its owners in the form of cash or stock are called: a. dividends.

More information

Calendar Anomalies and Stock Returns: A Literature Survey

Calendar Anomalies and Stock Returns: A Literature Survey 2012, TextRoad Publication ISSN 2090-4304 Journal of Basic and Applied Scientific Research www.textroad.com Calendar Anomalies and Stock Returns: A Literature Survey Sahar Nawaz 1 *, Nawazish Mirza 2 1

More information

8.21 % 85.6 % 70 % 17.8 % 5 MUST-KNOW FACTS ON FTSE100 RUPEE DENOMINATED. world s equity Market-cap. UK s equity Market capitalization

8.21 % 85.6 % 70 % 17.8 % 5 MUST-KNOW FACTS ON FTSE100 RUPEE DENOMINATED. world s equity Market-cap. UK s equity Market capitalization 5 MUST-KNOW FACTS ON FTSE100 8.21 % world s equity Market-cap 85.6 % UK s equity Market capitalization 100 largest UK listed blue-chip companies 70 % of FTSE100 represented by MNC s 17.8 % 3 years return

More information

THE RELATIONSHIP BETWEEN WORKING CAPITAL MANAGEMENT AND DIVIDEND PAYOUT RATIO OF FIRMS LISTED IN NAIROBI SECURITIES EXCHANGE

THE RELATIONSHIP BETWEEN WORKING CAPITAL MANAGEMENT AND DIVIDEND PAYOUT RATIO OF FIRMS LISTED IN NAIROBI SECURITIES EXCHANGE International Journal of Economics, Commerce and Management United Kingdom Vol. III, Issue 11, November 2015 http://ijecm.co.uk/ ISSN 2348 0386 THE RELATIONSHIP BETWEEN WORKING CAPITAL MANAGEMENT AND DIVIDEND

More information

Forgery, market liquidity, and demat trading: Evidence from the National Stock Exchange in India

Forgery, market liquidity, and demat trading: Evidence from the National Stock Exchange in India Forgery, market liquidity, and demat trading: Evidence from the National Stock Exchange in India Madhav S. Aney and Sanjay Banerji October 30, 2015 Abstract We analyse the impact of the establishment of

More information

A STUDY ON EQUITY SHARE PRICE VOLATILITY OF SELECTED PRIVATE BANKS IN (NSE) STOCK EXCHANGE

A STUDY ON EQUITY SHARE PRICE VOLATILITY OF SELECTED PRIVATE BANKS IN (NSE) STOCK EXCHANGE IMPACT: International Journal of Research in Applied, Natural and Social Sciences (IMPACT: IJRANSS) ISSN(E): 2321-8851; ISSN(P): 2347-4580 Vol. 3, Issue 7, Jul 2015, 87-96 Impact Journals A STUDY ON EQUITY

More information

From Saving to Investing: An Examination of Risk in Companies with Direct Stock Purchase Plans that Pay Dividends

From Saving to Investing: An Examination of Risk in Companies with Direct Stock Purchase Plans that Pay Dividends From Saving to Investing: An Examination of Risk in Companies with Direct Stock Purchase Plans that Pay Dividends Raymond M. Johnson, Ph.D. Auburn University at Montgomery College of Business Economics

More information

Online appendix to paper Downside Market Risk of Carry Trades

Online appendix to paper Downside Market Risk of Carry Trades Online appendix to paper Downside Market Risk of Carry Trades A1. SUB-SAMPLE OF DEVELOPED COUNTRIES I study a sub-sample of developed countries separately for two reasons. First, some of the emerging countries

More information

A Test Of The M&M Capital Structure Theories Richard H. Fosberg, William Paterson University, USA

A Test Of The M&M Capital Structure Theories Richard H. Fosberg, William Paterson University, USA A Test Of The M&M Capital Structure Theories Richard H. Fosberg, William Paterson University, USA ABSTRACT Modigliani and Miller (1958, 1963) predict two very specific relationships between firm value

More information

Dr. Pushpa Bhatt, Sumangala JK Department of Commerce, Bangalore University, India pushpa_bhatt12@rediffmail.com; sumangalajkashok@gmail.

Dr. Pushpa Bhatt, Sumangala JK Department of Commerce, Bangalore University, India pushpa_bhatt12@rediffmail.com; sumangalajkashok@gmail. Journal of Finance, Accounting and Management, 3(2), 1-14, July 2012 1 Impact of Earnings per share on Market Value of an equity share: An Empirical study in Indian Capital Market Dr. Pushpa Bhatt, Sumangala

More information

APPENDIX - I VOLATILITY IN STOCK PRICES AND ITS IMPLICATIONS FOR INVESTMENT DECISIONS OF INDIVIDUAL PLAYERS. (Doctoral Research Periyar University)

APPENDIX - I VOLATILITY IN STOCK PRICES AND ITS IMPLICATIONS FOR INVESTMENT DECISIONS OF INDIVIDUAL PLAYERS. (Doctoral Research Periyar University) APPENDIX - I Code No. VOLATILITY IN STOCK PRICES AND ITS IMPLICATIONS FOR INVESTMENT DECISIONS OF INDIVIDUAL PLAYERS (Doctoral Research Periyar University) I. Identification: QUESTIONNAIRE 1.1. Name* :

More information

1. HOW DOES FOREIGN EXCHANGE TRADING WORK?

1. HOW DOES FOREIGN EXCHANGE TRADING WORK? XV. Important additional information on forex transactions / risks associated with foreign exchange transactions (also in the context of forward exchange transactions) The following information is given

More information

The Calendar Anomalies of Stock Return in Thailand

The Calendar Anomalies of Stock Return in Thailand Journal of Modern Accounting and Auditing, ISSN 1548-6583 June 2011, Vol. 7, No. 6, 565-577 The Calendar Anomalies of Stock Return in Thailand Nopphon Tangjitprom Assumption University, Thailand This paper

More information

Some Insider Sales Are Positive Signals

Some Insider Sales Are Positive Signals James Scott and Peter Xu Not all insider sales are the same. In the study reported here, a variable for shares traded as a percentage of insiders holdings was used to separate information-driven sales

More information

CHAPTER I INTRODUCTION AND DESIGN OF THE STUDY

CHAPTER I INTRODUCTION AND DESIGN OF THE STUDY CHAPTER I INTRODUCTION AND DESIGN OF THE STUDY INTRODUCTION Working capital is the cash available for day to day functions of a business. It is the cash that can be used to foot expected and unplanned

More information

EFFICIENCY IN BETTING MARKETS: EVIDENCE FROM ENGLISH FOOTBALL

EFFICIENCY IN BETTING MARKETS: EVIDENCE FROM ENGLISH FOOTBALL The Journal of Prediction Markets (2007) 1, 61 73 EFFICIENCY IN BETTING MARKETS: EVIDENCE FROM ENGLISH FOOTBALL Bruno Deschamps and Olivier Gergaud University of Bath University of Reims We analyze the

More information

The Conversion of Cooperatives to Publicly Held Corporations: A Financial Analysis of Limited Evidence

The Conversion of Cooperatives to Publicly Held Corporations: A Financial Analysis of Limited Evidence The Conversion of Cooperatives to Publicly Held Corporations: A Financial Analysis of Limited Evidence Robert A. Collins Recent reorganizations of agricultural cooperatives have created concern that the

More information

1. Volatility Index. 2. India VIX* 3. India VIX :: computation methodology

1. Volatility Index. 2. India VIX* 3. India VIX :: computation methodology 1. Volatility Index Volatility Index is a measure of market s expectation of volatility over the near term. Usually, during periods of market volatility, market moves steeply up or down and the volatility

More information

THE IMPACT OF DAILY TRADE VOLUME ON THE DAY-OF-THE- WEEK EFFECT IN EMERGING STOCK MARKETS

THE IMPACT OF DAILY TRADE VOLUME ON THE DAY-OF-THE- WEEK EFFECT IN EMERGING STOCK MARKETS ISSN 1392 124X INFORMATION TECHNOLOGY AND CONTROL, 2007, Vol.36, No.1A THE IMPACT OF DAILY TRADE VOLUME ON THE DAY-OF-THE- WEEK EFFECT IN EMERGING STOCK MARKETS Virgilijus Sakalauskas, Dalia Krikščiūnienė

More information

A STUDY ON MARKET ANOMALIES IN INDIAN STOCK MARKET

A STUDY ON MARKET ANOMALIES IN INDIAN STOCK MARKET A STUDY ON MARKET ANOMALIES IN INDIAN STOCK MARKET Archana. S Asst.professor, TKM Institue of Management, Karuvelil Hills, Ezhukone, Kollam Mohammed Safeer Student, TKM Institute of Management, Karuvelil,

More information

5. Multiple regression

5. Multiple regression 5. Multiple regression QBUS6840 Predictive Analytics https://www.otexts.org/fpp/5 QBUS6840 Predictive Analytics 5. Multiple regression 2/39 Outline Introduction to multiple linear regression Some useful

More information

CHAPTER 22: FUTURES MARKETS

CHAPTER 22: FUTURES MARKETS CHAPTER 22: FUTURES MARKETS PROBLEM SETS 1. There is little hedging or speculative demand for cement futures, since cement prices are fairly stable and predictable. The trading activity necessary to support

More information

Does the interest rate for business loans respond asymmetrically to changes in the cash rate?

Does the interest rate for business loans respond asymmetrically to changes in the cash rate? University of Wollongong Research Online Faculty of Commerce - Papers (Archive) Faculty of Business 2013 Does the interest rate for business loans respond asymmetrically to changes in the cash rate? Abbas

More information

8.1 Summary and conclusions 8.2 Implications

8.1 Summary and conclusions 8.2 Implications Conclusion and Implication V{tÑàxÜ CONCLUSION AND IMPLICATION 8 Contents 8.1 Summary and conclusions 8.2 Implications Having done the selection of macroeconomic variables, forecasting the series and construction

More information

What Determines Early Exercise of Employee Stock Options?

What Determines Early Exercise of Employee Stock Options? What Determines Early Exercise of Employee Stock Options? Summary Report of Honours Research Project Tristan Boyd Supervised by Professor Philip Brown and Dr Alex Szimayer University of Western Australia

More information

Market Making Signals for CNX Nifty Futures

Market Making Signals for CNX Nifty Futures International Review of Business Research Papers Vol.5 No. January 009 Pp. 8-90 Market Making Signals for CNX Nifty utures Prasanna Kumar Barik* and M V Supriya** inancial markets are faced with asymmetric

More information

Inventory Management - A Teaching Note

Inventory Management - A Teaching Note Inventory Management - A Teaching Note Sundaravalli Narayanaswami W.P. No.2014-09-01 September 2014 INDIAN INSTITUTE OF MANAGEMENT AHMEDABAD-380 015 INDIA Inventory Management - A Teaching Note Sundaravalli

More information

Creative Commons: Attribution 3.0 Hong Kong License

Creative Commons: Attribution 3.0 Hong Kong License Title The weekend effect in Hong Kong securitized real estate index returns Other Contributor(s) University of Hong Kong Author(s) Chan, Hiu-Shun; 陳 曉 信 Citation Issued Date 2007 URL http://hdl.handle.net/10722/130999

More information

Asian Economic and Financial Review THE CAPITAL INVESTMENT INCREASES AND STOCK RETURNS

Asian Economic and Financial Review THE CAPITAL INVESTMENT INCREASES AND STOCK RETURNS Asian Economic and Financial Review journal homepage: http://www.aessweb.com/journals/5002 THE CAPITAL INVESTMENT INCREASES AND STOCK RETURNS Jung Fang Liu 1 --- Nicholas Rueilin Lee 2 * --- Yih-Bey Lin

More information

2011 JITENDRARKV STOCK ADVISERY ONLINE CENTURE

2011 JITENDRARKV STOCK ADVISERY ONLINE CENTURE 2011 JITENDRARKV STOCK ADVISERY ONLINE CENTURE BY- Er. JITENDRA KUMAR VERMA E-mail-id- jitendra.smt@gmail.com Log on to- www.jitendrarkv.webs.com Take profits and do multiple trades The successful strategy

More information

Institutional Trading, Brokerage Commissions, and Information Production around Stock Splits

Institutional Trading, Brokerage Commissions, and Information Production around Stock Splits Institutional Trading, Brokerage Commissions, and Information Production around Stock Splits Thomas J. Chemmanur Boston College Gang Hu Babson College Jiekun Huang Boston College First Version: September

More information

Market Efficiency and Behavioral Finance. Chapter 12

Market Efficiency and Behavioral Finance. Chapter 12 Market Efficiency and Behavioral Finance Chapter 12 Market Efficiency if stock prices reflect firm performance, should we be able to predict them? if prices were to be predictable, that would create the

More information

Portfolio Performance Measures

Portfolio Performance Measures Portfolio Performance Measures Objective: Evaluation of active portfolio management. A performance measure is useful, for example, in ranking the performance of mutual funds. Active portfolio managers

More information

FTS Real Time System Project: Stock Index Futures

FTS Real Time System Project: Stock Index Futures FTS Real Time System Project: Stock Index Futures Question: How are stock index futures traded? In a recent Barron s article (September 20, 2010) titled Futures Are the New Options it was noted that there

More information

A STUDY ON WORKING CAPITAL MANAGEMENT OF PHARMACEUTICAL INDUSTRY IN INDIA

A STUDY ON WORKING CAPITAL MANAGEMENT OF PHARMACEUTICAL INDUSTRY IN INDIA 59 Journal of Management and Science ISSN: 2249-1260 e-issn: 2250-1819 Vol.5. No.3 September 2015 A STUDY ON WORKING CAPITAL MANAGEMENT OF PHARMACEUTICAL INDUSTRY IN INDIA Dr.V.Vijayalakshmi a and M.Srividya

More information

Frequently Asked Questions on Derivatives Trading At NSE

Frequently Asked Questions on Derivatives Trading At NSE Frequently Asked Questions on Derivatives Trading At NSE NATIONAL STOCK EXCHANGE OF INDIA LIMITED QUESTIONS & ANSWERS 1. What are derivatives? Derivatives, such as futures or options, are financial contracts

More information

The Hidden Costs of Changing Indices

The Hidden Costs of Changing Indices The Hidden Costs of Changing Indices Terrence Hendershott Haas School of Business, UC Berkeley Summary If a large amount of capital is linked to an index, changes to the index impact realized fund returns

More information

Journal Of Financial And Strategic Decisions Volume 9 Number 2 Summer 1996

Journal Of Financial And Strategic Decisions Volume 9 Number 2 Summer 1996 Journal Of Financial And Strategic Decisions Volume 9 Number 2 Summer 1996 THE USE OF FINANCIAL RATIOS AS MEASURES OF RISK IN THE DETERMINATION OF THE BID-ASK SPREAD Huldah A. Ryan * Abstract The effect

More information

Trading Probability and Turnover as measures of Liquidity Risk: Evidence from the U.K. Stock Market. Ian McManus. Peter Smith.

Trading Probability and Turnover as measures of Liquidity Risk: Evidence from the U.K. Stock Market. Ian McManus. Peter Smith. Trading Probability and Turnover as measures of Liquidity Risk: Evidence from the U.K. Stock Market. Ian McManus (Corresponding author). School of Management, University of Southampton, Highfield, Southampton,

More information

The Effect of Futures Trading on the Underlying Volatility: Evidence from the Indian Stock Market

The Effect of Futures Trading on the Underlying Volatility: Evidence from the Indian Stock Market The Effect of Futures Trading on the Underlying Volatility: Evidence from the Indian Stock Market P. Sakthivel* * Abstract The effect of the introduction of futures trading on the spot market volatility

More information

AN EVALUATION OF THE PERFORMANCE OF MOVING AVERAGE AND TRADING VOLUME TECHNICAL INDICATORS IN THE U.S. EQUITY MARKET

AN EVALUATION OF THE PERFORMANCE OF MOVING AVERAGE AND TRADING VOLUME TECHNICAL INDICATORS IN THE U.S. EQUITY MARKET AN EVALUATION OF THE PERFORMANCE OF MOVING AVERAGE AND TRADING VOLUME TECHNICAL INDICATORS IN THE U.S. EQUITY MARKET A Senior Scholars Thesis by BETHANY KRAKOSKY Submitted to Honors and Undergraduate Research

More information

Volatility Spillover between Stock and Foreign Exchange Markets: Indian Evidence

Volatility Spillover between Stock and Foreign Exchange Markets: Indian Evidence INTERNATIONAL JOURNAL OF BUSINESS, 12(3), 2007 ISSN: 1083 4346 Volatility Spillover between Stock and Foreign Exchange Markets: Indian Evidence Alok Kumar Mishra a, Niranjan Swain b, and D.K. Malhotra

More information

The Day of the Week Effect on Stock Market Volatility

The Day of the Week Effect on Stock Market Volatility JOURNAL OF ECONOMICS AND FINANCE Volume 25 Number 2 Summer 2001 181 The Day of the Week Effect on Stock Market Volatility Hakan Berument and Halil Kiymaz * Abstract This study tests the presence of the

More information

Sector Rotation Strategies

Sector Rotation Strategies EQUITY INDEXES Sector Rotation Strategies APRIL 16, 2014 Financial Research & Product Development CME Group E-mini S&P Select Sector Stock Index futures (Select Sector futures) provide investors with a

More information

MODEL TEST PAPER DERIVATIVES MARKET DEALERS MODULE. Q.2 All of the following are true regarding futures contracts except [2 Marks]

MODEL TEST PAPER DERIVATIVES MARKET DEALERS MODULE. Q.2 All of the following are true regarding futures contracts except [2 Marks] MODEL TEST PAPER DERIVATIVES MARKET DEALERS MODULE Q.1 Theta is also referred to as the of the portfolio time decay risk delay risk decay time delay Q.2 All of the following are true regarding futures

More information

The relationship between exchange rates, interest rates. In this lecture we will learn how exchange rates accommodate equilibrium in

The relationship between exchange rates, interest rates. In this lecture we will learn how exchange rates accommodate equilibrium in The relationship between exchange rates, interest rates In this lecture we will learn how exchange rates accommodate equilibrium in financial markets. For this purpose we examine the relationship between

More information

Stock market booms and real economic activity: Is this time different?

Stock market booms and real economic activity: Is this time different? International Review of Economics and Finance 9 (2000) 387 415 Stock market booms and real economic activity: Is this time different? Mathias Binswanger* Institute for Economics and the Environment, University

More information

RECRUITERS PRIORITIES IN PLACING MBA FRESHER: AN EMPIRICAL ANALYSIS

RECRUITERS PRIORITIES IN PLACING MBA FRESHER: AN EMPIRICAL ANALYSIS RECRUITERS PRIORITIES IN PLACING MBA FRESHER: AN EMPIRICAL ANALYSIS Miss Sangeeta Mohanty Assistant Professor, Academy of Business Administration, Angaragadia, Balasore, Orissa, India ABSTRACT Recruitment

More information

Understanding of the Day of the Week Effect in Online Consumer Behaviour

Understanding of the Day of the Week Effect in Online Consumer Behaviour Understanding of the Day of the Week Effect in Online Consumer Behaviour Dave Bussière While marketing has long recognized the impact of seasonality on consumer behavior, there has been little research

More information

Understanding Futures on the DTCC GCF Repo Index

Understanding Futures on the DTCC GCF Repo Index Understanding Futures on the DTCC GCF Repo Index White Paper June 2014 This material may not be reproduced or redistributed in whole or in part without the express, prior written consent of Intercontinental

More information

Price to Book Value Ratio and Financial Statement Variables (An Empirical Study of Companies Quoted At Nairobi Securities Exchange, Kenya)

Price to Book Value Ratio and Financial Statement Variables (An Empirical Study of Companies Quoted At Nairobi Securities Exchange, Kenya) Price to Book Value Ratio and Financial Statement Variables (An Empirical Study of Companies Quoted At Nairobi Securities Exchange, Kenya) 1 Kenneth Marangu & 2 Ambrose Jagongo (PhD) 1* Corresponding Author

More information

Informational Content of Trading Volume and Open Interest An Empirical Study of Stock Option Market In India. Sandeep Srivastava

Informational Content of Trading Volume and Open Interest An Empirical Study of Stock Option Market In India. Sandeep Srivastava I. INTRODUCTION Informational Content of Trading Volume and Open Interest An Empirical Study of Stock Option Market In India Sandeep Srivastava Over the past three decades, option contract defined as a

More information

CHAPTER 11: THE EFFICIENT MARKET HYPOTHESIS

CHAPTER 11: THE EFFICIENT MARKET HYPOTHESIS CHAPTER 11: THE EFFICIENT MARKET HYPOTHESIS PROBLEM SETS 1. The correlation coefficient between stock returns for two non-overlapping periods should be zero. If not, one could use returns from one period

More information

Hedging Strategies Using Futures. Chapter 3

Hedging Strategies Using Futures. Chapter 3 Hedging Strategies Using Futures Chapter 3 Fundamentals of Futures and Options Markets, 8th Ed, Ch3, Copyright John C. Hull 2013 1 The Nature of Derivatives A derivative is an instrument whose value depends

More information

MATCHDAY 1 7-9 September 2014

MATCHDAY 1 7-9 September 2014 MATCHDAY 1 7-9 September 2014 7 September Sunday 18:00 Group D 7 September Sunday 20:45 Group D 7 September Sunday 20:45 Group D 7 September Sunday 18:00 Group F 7 September Sunday 20:45 Group F 7 September

More information

The Stock Market s Reaction to Accounting Information: The Case of the Latin American Integrated Market. Abstract

The Stock Market s Reaction to Accounting Information: The Case of the Latin American Integrated Market. Abstract The Stock Market s Reaction to Accounting Information: The Case of the Latin American Integrated Market Abstract The purpose of this paper is to explore the stock market s reaction to quarterly financial

More information

The Effect of Short-selling Restrictions on Liquidity: Evidence from the London Stock Exchange

The Effect of Short-selling Restrictions on Liquidity: Evidence from the London Stock Exchange The Effect of Short-selling Restrictions on Liquidity: Evidence from the London Stock Exchange Matthew Clifton ab and Mark Snape ac a Capital Markets Cooperative Research Centre 1 b University of Technology,

More information