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Browse Articles by "Finance"
Title: Week-end Effect: New Evidence from the Indian Stock Market
Authors: S Amanulla, M Thiripalraju
Issue/Year: Apr-2001
Section: Research
Abstract: 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 1999. 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 week-end effect. The results from the sub-sample period strongly support the existence of week-end effect during the period of ban on carry-forward (badla) transactions. This study also evidenced a reversal in week-end effect, i.e., positive Monday return and negative Friday return in modified carry-forward transaction and revised modified carry-forward transactions. This paper further finds that there is consistent positive return in Wednesday and negative return on Tuesday due to possible impact of National Stock Exchange (NSE) on the week-end effect.
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