A

DISSERTATION REPORT
ON
Studying the impact of day-of-the-week effect i.e Monday effect and Friday effect on abnormal
Stock Return of BSE 200 for the year 2013


SUBMITTED TO
KURUKSHETRAUNIVERSITY, KURUKSHETRA
I n The Partial Fulfillment of the Degree of Master of Business Administration
(Session 2012-2014)

Under Guidance of: Submitted by:
Mrs. Ginni Sabharwal Neha Mittal
Assistant Professor D/o Sh. Sohan Lal Mittal
Department of Management Class Roll No-1162/12
Univ.Reg-.09-RK-1194
Univ. Roll No.













Tilak Raj ChadhaInstitutute of Management Technology
(Affiliated to KurukshetraUniversity, Kurukshetra and Approved By AICTE)
MLNCollege Educational Complex, Yamuna Nagar- 135001 (Haryana)
Ph. 01732-220103, 234110. Fax: +91-1732-220103
E-mail: info@timt.ac.in, Web Site: www.timt.ac.in
DECLARATION
This is to certify that I, Neha Mittal, student of MBA (F), Tilak Raj Chadha Institute of
Management & Technology, Yamuna Nagar has submitted a Dissertation Report on the title
Studying the impact of day-of-the-week effect i.e Monday effect and Friday effect on abnormal
Stock Return of BSE 200 for the year 2013 for Masters of Business Administration in partial
fulfillment of the requirements for the award of the Degree of Masters in Business
Administration (MBA), Kurukshetra University, Kurukshetra, is a authentic record of my
original work

Neha Mittal





















ACKNOWLEDGEMENT
A Project usually falls short of its expectation unless guided by the right person at the right time.
Success of a project is an outcome of sincere efforts, channeled in the right direction, efficient
supervision and the most valuable professional guidance.
This project would not have been completed without the direct and indirect help and guidance of
such luminaries. They provided her with the necessary recourses and atmosphere conductive for
healthy learning and training.
The researcher expresses her sincere gratitude to Dr. Vikas Daryal (Director) and Mrs.
Vandana Madaan (HOD-MBA Dept. TIMT) for their inspiration and helpful attitude.
At the outset the researcher would like to take this opportunity to gratefully acknowledge the
very kind and patient guidance that the researcher has received from her project guide Mrs.
Ginni Sabharwal (Assistant Professor), TIMT. Without her critical evaluation and suggestion
at every stage of the project, this report could not have reached its present form. The researcher
would like to extend her gratitude, to all the faculty members, TIMT for their moral support &
guidance required for the realization of this project report.
Lastly, the researcher would like to thank her colleagues who gave her fruitful information to
finish her project.













EXECUTIVE SUMMARY
The researcher has chosen the project studying the impact of day of the week effect i.e.
Monday effect and Friday effect on the abnormal stock return of BSE 200 for the year
2013.
A stock market is a market for the trading of company stock, and derivatives of same; both of
these are securities listed on a stock exchange as well as those only traded privately. Established
in 1875, BSE Ltd. (formerly known as Bombay Stock Exchange Ltd.), is the India's oldest Stock
Exchange, one of Asia's oldest stock exchange and one of Indias leading exchange groups. Over
the past 137 years, BSE has facilitated the growth of the Indian corporate sector by providing it
an efficient capital-raising platform. The equity shares of 200 selected companies from the
specified and non-specified lists of BSE were considered for inclusion in the sample for
`S&P BSE 200'. The day-of-the-week effect continues to be one of the more interesting stock
market anomalies to study because the existence of significant day-of-the-week effects would be
very useful for developing profitable trading strategies.
The research objectives wants to examine whether the Day of the Week effect still exists in
Indian Stock Markets and to identify non-random pattern in the stock index return series for
different trading days in a week and to find that does any particular weekday have significant
impact on volatility and to see the anomalies in the price movements in the form of abnormal
stock returns in India by analyzing the Monday effect and Friday effect.
The research has been Descriptive in nature as it tends to validate the findings of previous
research studies. Study setting is Non-contrived because the study has been conducted with no
interference of researcher. It is a Cross sectional study as data has been collected at one
particular time.
Hypothesis is developed to check the significant difference between returns of Monday and
other week days and between returns of Friday and other week days. The researcher has used
analytical tools such as unit test and statistical tools such as run test, autocorrelation and anova.
Monday effect is studied by the difference between Monday return and average return of other
days of week and Friday effect through difference between Friday return and average return of
other days of the week. Unit root is applied to test the stationary among the values of the
variable. Run test is used to test the hypothesis that the elements of the sequence are mutually
independent. Autocorrelation is used to check the correlation between the values of the same
variable. One-way ANOVA is used to test for differences among two or more independent
groups.
At the last researcher has founded that The return of Monday is quite different from the return of
other days and is usually negative. There is presence a day-of-the-week effect in the stock returns
pattern. According to Unit Root Test there is no autocorrelation in the stock market returns.
According to Run Test daily returns on the market indices are independent to previous day
returns. Results of this study show that the anomalies do not exist in the Indian Stock Market
T-test results conclude that there is insignificant difference between the returns on Monday and
other week days.




















CONTENTS
Particulars Page no.
1. Introduction
a. Company / Industry Profile
b. Topic
2. Theoretical Framework
a. Construct
b. Independent and Dependent Variables
3. Literature Review
4. Research Objectives
5. Research Methodology
a. Research Design
i. Types of Research Design
ii. Time Horizon
iii. Study Setting
iv. Measurement and Scaling
v. Flowchart for selection of statistical tools
1. Hypothesis Development and Testing
2. Sampling and Sampling Design
3. Data Collection
4. Analytical Tools
5. Statistical Tools
6. Limitations of the Study
6. Data Analysis
7. Results and Findings
8. Policy Implications
9. Recommendations/ Suggestions
10. Bibliography
11. Annexure


INTRODUCTION TO STOCK MARKET



A stock market is a market for the trading of company stock, and derivatives of same; both of
these are securities listed on a stock exchange as well as those only traded privately.Although
common, the term 'the stock market' is a somewhat abstract concept for the mechanism that
enables the trading of company stocks. It is also used to describe the totality of all stocks and
sometimes other securities, with the exception of bonds, commodities, and derivatives. The term
is used especially to apply within one country as, for example, in the phrase "the stock market
was up today", or in the term "stock market bubble". Bonds are still traditionally traded in an
informal, over-the-counter market known as the bond market. Commodities are traded in
commodities markets, and derivatives are traded in a variety of markets (but, like bonds, mostly
'over-the-counter'). The size of the worldwide 'bond market' is estimated at $45 trillion; the size
of the 'stock market' is estimated as about half that. The world derivatives market has been
estimated at about $300 trillion. It must be noted though that the derivatives market, because it is
stated in terms of notional outstanding amounts, can not be directly compared to a stock or fixed
income market, which refers to actual value.
The stock market is distinct from a stock exchange, which is an entity (a corporation or mutual
organization) in the business of bringing buyers and sellers of stocks and securities together. For
example, 'the stock market' in the bombay includes the trading of all securities listed on the bse,
as well as on the many regional exchanges.The stock market handles different function which are
as follows:-
Where stocks and shares are bought and sold.
A general term used to refer to the organized trading of securities through various
exchanges and through the over-the-counter market. A "stock exchange" is a specific
form of a stock market, a physical location where stocks and bonds are bought and sold,
such as the bombay stock exchange, nasdaq or american stock exchange.
The set of institutions that facilitate the exchange of stocks between buyers and sellers. A
stock market can be an actual place, but with the growth of electronic transactions a large
fraction of stock market transactions are not centrally located in a particular location.
A market in which the shares of corporations are traded.

TRADING:

Participants in the stock market range from small individual stock investors to large hedge fund
traders, who can be based anywhere. Their orders usually end up with a professional at a stock
exchange, who executes the order of buying or selling.
Actual trades are based on an auction market model where a potential buyer bids a specific price
for a stock and a potential seller asks a specific price for the stock. (Buying or selling at market
means you will accept any ask price or bid price for the stock, respectively.) When the bid and
ask prices match, a sale takes place, on a first-come-first-served basis if there are multiple
bidders or askers at a given price. The NASDAQ is a virtual listed exchange, where all of the
trading is done over a computer network.
A stock market or equity market is a public entity (a loose network of economic transactions,
not a physical facility or discrete entity) for the trading of company stock (shares)
and derivatives at an agreed price; these are securities listed on a stock exchange as well as those
only traded privately.
The size of the world stock market was estimated at about $36.6 trillion at the beginning of
October 2008. The total world derivatives market has been estimated at about $791 trillion face
or nominal value, 11 times the size of the entire world economy The value of the derivatives
market, because it is stated in terms of notional, cannot be directly compared to a stock or a fixed
income security, which traditionally refers to an actual value. Moreover, the vast majority of
derivatives 'cancel' each other out (i.e., a derivative 'bet' on an event occurring is offset by a
comparable derivative 'bet' on the event not occurring). Many such relatively illiquid securities
are valued as marked to model, rather than an actual market price.
The stocks are listed and traded on stock exchanges which are entities of a corporation or mutual
organization specialized in the business of bringing buyers and sellers of the organizations to a
listing of stocks and securities together. The largest stock market in the United States, by market
capitalization, is the New York Stock Exchange (NYSE). In Canada, the largest stock market is
the Toronto Stock Exchange. Major European examples of stock exchanges include the
Amsterdam Stock Exchange, London Stock Exchange, Paris Bourse, and the Deutsche
Bourse (Frankfurt Stock Exchange). In Africa, examples include Nigerian Stock Exchange, JSE
Limited, etc. Asian examples include the Singapore Exchange, the Tokyo Stock Exchange,
the Hong Kong Stock Exchange, the Shanghai Stock
Exchange, and the Bombay Stock Exchange. In Latin
America, there are such exchanges as the BM&F
Bovespa and the BMV. Australia has a national stock
exchange, the Australian Securities Exchange, due to
the size of its population.
Market participants include individual retail investors,
institutional investors such as mutual funds, banks,
insurance companies and hedge funds, and also publicly traded corporations trading in their own
shares. Some studies have suggested that institutional investors and corporations trading in their
own shares generally receive higher risk-adjusted returns than retail investors.

MARKET PARTICIPANTS:
Market participants include individual retail investors, institutional investors such as mutual
funds, banks, insurance companies and hedge funds, and also publicly traded corporations
trading in their own shares. Some studies have suggested that institutional investors and
corporations trading in their own shares generally receive higher risk-adjusted returns than retail
investors.

A few decades ago, worldwide, buyers and sellers were individual investors, such as wealthy
businessmen, usually with long family histories to particular corporations. Over time, markets
have become more "institutionalized"; buyers and sellers are largely institutions (e.g., pension
funds, insurance companies, mutual funds, index funds, exchange-traded funds, hedge funds,
investor groups, banks and various other financial institutions).
The rise of the institutional investor has brought with it some improvements in market
operations. There has been a gradual tendency for "fixed" (and exorbitant) fees being reduced for
all investors, partly from falling administration costs but also assisted by large institutions
challenging brokers' oligopolistic approach to setting standardized fees.






VARIOUS EXCHANGES IN INDIA
Ahmedabad Stock Exchange
Bangalore Stock Exchange
Bhubaneswar Stock Exchange Association
Bombay Stock Exchange (BSE)
Calcutta Stock Exchange
Cochin Stock Exchange
Coimbatore Stock Exchange
Delhi Stock Exchange Association
Gauhati Stock Exchange
Hyderabad Stock Exchange
Inter-connected Stock Exchange of India
Jaipur Stock Exchange
Ludhiana Stock Exchange Association
Madhya Pradesh Stock Exchange
Madras Stock Exchange
Mangalore Stock Exchange
Mumbai Stock Exchange
National Stock Exchange of India (NSE)
OTC Exchange of India
Pune Stock Exchange
Saurashtra-Kutch Stock Exchange
Uttar Pradesh Stock Association
Vadodara Stock Exchange




S&P BSE 200 Index
Bombay Stock Exchange (BSE), (Bombay hare Bzar) is a stock exchange located on Dalal
Street, Mumbai, Maharashtra, India. It is the 11th largest stock exchange in the world by market
capitalisation as on 31 December 2012.
[2]
Established in 1875, BSE Ltd. (formerly known as
Bombay Stock Exchange Ltd.), is the India's oldest Stock Exchange,one of Asia's oldest stock
exchange and one of Indias leading exchange groups. Over the past 137 years, BSE has
facilitated the growth of the Indian corporate sector by providing it an efficient capital-raising
platform. Popularly known as BSE, the bourse was established as "The Native Share & Stock
Brokers' Association" in 1875.
BSE is a corporatized and demutualised entity, with a broad shareholder-base which includes
two leading global exchanges, Deutsche Bourse, Fuse and Singapore Exchange as strategic
partners. BSE provides an efficient and transparent market for trading in equity, debt
instruments, derivatives, mutual funds. It also has a platform for trading in equities of small-and-
medium enterprises (SME). More than 5000 companies are listed on BSE making it world's No.
1 exchange in terms of listed members. The companies listed on BSE Ltd command a total
market capitalization of USD Trillion 1.32 as of January 2013. BSE Ltd is world's fifth most
active exchange in terms of number of transactions handled through its electronic trading system.
It is also one of the worlds leading exchanges (3rd largest in December 2012) for Index options
trading (Source: World Federation of Exchanges).
BSE also provides a host of other services to capital market participants including risk
management, clearing, settlement, market data services and education. It has a global reach with
customers around the world and a nation-wide presence. BSE systems and processes are
designed to safeguard market integrity, drive the growth of the Indian capital market and
stimulate innovation and competition across all market segments. BSE is the first exchange in
India and second in the world to obtain an ISO 9001:2000 certification. It is also the first
Exchange in the country and second in the world to receive Information Security Management
System Standard BS 7799-2-2002 certification for its BSE On-Line trading System (BOLT).
It operates one of the most respected capital market educational institutes in the country (the
BSE Institute Ltd.). BSE also provides depository services through its Central Depository
Services Limited (CDSL) arm.
BSEs popular equity index - the S&P BSE SENSEX [Formerly SENSEX ] - is India's most
widely tracked stock market benchmark index. It is traded internationally on the EUREX as well
as leading exchanges of the BRCS nations (Brazil, Russia, China and South Africa). On
Tuesday, 19 February 2013 BSE has entered into Strategic Partnership with S&P DOW JONES
INDICES and the SENSEX has been renamed as "S&P BSE SENSEX".

Background
Over the years, the number of companies listed on BSE continued to register a phenomenal
increase; from 992 in to over 3,200 companies by March 1994, with combined market
capitalization rising from Rs.5,421 crore to Rs. 3,98,432 crore as on 31st March, 1994.
Though S&P BSE SENSEX (1978-79=100) was serving the purpose of quantifying the price
movements as also reflecting the sensitivity of the market in an effective manner, the rapid
growth of the market necessitated compilation of a new broad-based index series reflecting the
market trends in a more effective manner and providing a better representation of the increased
equity stocks, market capitalization as also to the new industry groups. As such, BSE launched
on 27th May 1994, two new index series S&P BSE 200 and S&P Dollex 200.
The equity shares of 200 selected companies from the specified and non-specified lists of BSE
were considered for inclusion in the sample for `S&P BSE 200'. The selection of companies was
primarily been done on the basis of current market capitalization of the listed scrips. Moreover,
the market activity of the companies as reflected by the volumes of turnover and certain
fundamental factors were considered for the final selection of the 200 companies


INTRODUCTION OF TOPIC
Day of the week effect:- The day-of-the-week effect continues to be one of the more interesting
stock market anomalies to study because the existence of significant day-of-the-week effects
would be very useful for developing profitable trading strategies. Investors could buy stocks on
days with abnormally low returns and sell stocks on days with abnormally high returns. It is
based on the premise that market returns follow a cyclic pattern to violate the weak form of
efficiency logic and that by monitoring past market movement series, market participants can
earn extraordinary returns regularly.
The expected returns and volatility of returns are different for each day of the week if
(1) bad news was revealed over weekend so that it was available to traders on Monday.
(2) most informed trading occurs on Monday relative to other days
(3) more individual trading relative to institutional trading occurs on Monday and individual
traders have different preferences from institutional traders.
Thus, pricing the risk across the days of the week will not be the same. According to different
study: -
(1) The lowest returns are observed on Mondays.
(2) Friday returns are higher than Monday returns
(3) The highest returns are observed on Fridays for all the indexes.
Monday Effect
It is generally argued that the return of Monday is quite different from the return of other days
and is usually negative (T Gibbons and Hess (1981), Harris et al.,(1986). The most satisfactory
explanation given for the negative return is that usually most unfavourable news appears during
the weekends. This unfavourable news disappoint the market resulting in a distress selling on the
following Monday. It is against this background, in this study the return of the Monday is
compared with the returns of the rest of the days in order to examine whether this type of
anomaly exists in the stock markets.
Friday Effect:- Day of the Week Effect has revealed that mean return on Friday is higher
compared to other days. Generally, it is argued that as the Friday is the last trading day of the
week and most of the results of the companies are made public on this day, it brings enthusiasm
in the market, resulting in a bulk buying by the investors.
THEORETICAL FRAMEWORK

Construct of the Study
To study the impact of day-of-the-week effect i.e Monday effect and Friday effect on abnormal
Stock Return.


Variables:-

Dependent Variable:
Abnormal stock return


Independent Variables
Day-of-the-week effect
Monday effect
Friday effect













RESEARCH OBJECTIVES
To examine whether the Day of the Week effect still exists in Indian Stock Markets.
To know the descriptive statistic properties for the day of the week.
To identify non-random pattern in the stock index return series for different trading days
in a week.
To examine whether there is any evidence of time varying volatility on daily return .
To examine that does any particular weekday have significant impact on volatility.
To see the anomalies in the price movements in the form of abnormal stock returns in
India by analyzing the Monday effect and Friday effect.






















RESEARCH METHODOLOGY
Research is a systematic and continuous method of defining a problem, collecting the facts and
analyzing them, reaching conclusion forming generalizations.
Research methodology is a way to systematically solve the problem. It may be understood as a
science of studying how research is done scientifically. In it we study the various EPS that are
generally adopted by a researcher in studying his research problem along with the logic behind
them.

Research process





2
PRELIMINARY
DATA
GATHERING
Interviewing
Literature Survey
3
PROBLEM
DEFINITION
Research
Problem
Delineated
4
THEORETICAL
FRAMEWORK


Variables clearly
identified and
labelled
5

GENERATION
OF
HYPOTHESES

6
SCIENTIFI
C
RESEARCH
DESIGN
1
OBSERVATION
Broad area of
research interest
identified
7
DATA
COLLECTION,
ANALYSIS AND
INTERPRETATION
8
DEDUCTION
Hypotheses
substantiated?
Research
question
answered?
9
Report
writing
10
Report
Presentat
ion
11
Manager
ial
decision
making
Yes NO
RESEARCH DESIGN

A research is the arrangement of the conditions for the collections and analysis of the data in a
manner that aims to combine relevance to the research purpose with economy in procedure. In
fact, the research is design is the conceptual structure within which research is conducted; it
constitutes the blue print of the collection, measurement and analysis of the data. As search the
design includes an outline of what the researcher will do from writing the hypothesis and its
operational implication to the final analysis of data.


PURPOSE OF THE STUDY

Descriptive

TYPE OF INVESTIGATION

Causal

STUDY SETTING

Non contrived

TIME HORIZON

Cross sectional












FLOWCHART FOR SELECTION OF STATISTICAL TOOLS

How to choose statistical tool






















HYPOTHESIS DEVELOPMENT & TESTING


A hypothesis can be defined as a logically conjectured relationship between two or more
variables expressed in the form of a testable statements. Formulating such testable statements is
called Hypothesis Development. Hypothesis Testing is a means of testing if the if-then
statements generated from the theoretical framework hold true when subjected to rigorous
examination.
There are two types of hypothesis:
a) Null Hypothesis
b) Alternative Hypothesis
Null Hypothesis: The null hypothesis asserts that there is no difference between the sample
statistic and the population parameter and whatever the observed difference is there is merely
due to fluctuations in sampling from the same population.
Alternative hypothesis: Any hypothesis different from, the null hypothesis is called an
alternative hypothesis and is denoted by the symbol H
1.
















H
0
: There is insignificant difference between the return of Monday and other week days.
H
1
: There is a significant difference between the return of Monday and other week days.

One-Sample Statistics

N Mean Std. Deviation
Std. Error
Mean
Monday_Return 50 -.1171 .76757 .10855


One-Sample Test
Test Value = -.1171

t df Sig. (2-tailed)
Mean
Difference
95% Confidence Interval of the
Difference
Lower Upper
Monday_Return .000 49 1.000 -.00004 -.2182 .2181

Interpretation :- The significant value of t-test is 1.000 which is more than significant level i.e.
0.05. So Null hypothesis is accepted and Alternative hypothesis is rejected. So, there is
insignificant difference between the returns of Monday and other week days.












H
0
: There is insignificant difference in returns of Friday and other week days.
H
2
: There is a significant difference in returns of Friday and other week days.
One-Sample Statistics

N Mean Std. Deviation
Std. Error
Mean
Friday_Return 48 -.0857 .89426 .12907

One-Sample Test
Test Value = -.0857

t df Sig. (2-tailed)
Mean
Difference
95% Confidence Interval of the
Difference
Lower Upper
Friday_Return .000 47 1.000 .00000 -.2597 .2597
Interpretation :- The significant value of t-test is 1.000 which is more than significant level i.e.
0.05. So Null hypothesis is accepted and Alternative hypothesis is rejected. So, there is
insignificant difference in the returns of Friday and other week days.










SAMPLE & SAMPLING DESIGN


A sample design is a definite plan for obtaining a sample from the sampling frame. It refers to
the technique or the procedure that is adopted in selecting the sampling units from which
inferences about the population is drawn. Sampling design is determined before the collection of
the data.

Following questions have to be considered while sampling design-

What is the relevant population?
What is the parameter of interest?
What is the sampling frame?
What is the type of sample?
What sample size is needed?
How much will it cost?

The sample size of past four year will be taken for present study.


UNIVERSE

Stock Exchange

POPULATION

BSE 200

SAMPLING DESIGN

NON-PROBABILISTIC

SAMPLING SIZE

Data related to past 365 Days


DATA COLLECTION


After the research problem has been identified and selected the next step is to gather the requisite
data. While deciding about the method of data collection to be used for the researcher should
keep in mind two types of data. primary and secondary.






SECONDARY DATA
The Secondary data are those which have already been collected by someone else and which
have already been passed through the statistical tool. Methods of collection of Secondary
data are:-
Journals,
Websites
Books.





ANALYTICAL TOOL


Monday effect

Date Open Close Return
30 Dec, 2013 2,541.79 2,523.58 -0.71642
23 Dec, 2013 2,511.10 2,517.06 0.237346
16 Dec, 2013 2,456.72 2,453.93 -0.11357
9 Dec, 2013 2,547.21 2,529.36 -0.70077
2 Dec, 2013 2,467.32 2,480.62 0.539046
25 Nov, 2013 2,412.81 2,437.99 1.043596
18 Nov, 2013 2,439.28 2,464.10 1.017513
11 Nov, 2013 2,431.44 2,423.00 -0.34712
28 Oct, 2013 2,439.25 2,414.95 -0.99621
21 Oct, 2013 2,451.81 2,456.43 0.188432
14 Oct, 2013 2,415.79 2,421.33 0.229325
7 Oct, 2013 2,341.28 2,347.15 0.250718
30 Sep, 2013 2,306.27 2,281.93 -1.05538
23 Sep, 2013 2,351.35 2,331.77 -0.83271
16 Sep, 2013 2,340.31 2,307.20 -1.41477
2 Sep, 2013 2,177.15 2,199.73 1.037136
26 Aug, 2013 2,182.13 2,175.80 -0.29008
19 Aug, 2013 2,180.37 2,151.62 -1.31858
12 Aug, 2013 2,219.90 2,225.53 0.253615
5 Aug, 2013 2,240.97 2,243.55 0.115129
29 Jul, 2013 2,330.80 2,310.13 -0.88682
22 Jul, 2013 2,391.49 2,397.10 0.234582
15 Jul, 2013 2,386.72 2,405.78 0.798586
8 Jul, 2013 2,326.83 2,323.36 -0.14913
1 Jul, 2013 2,324.56 2,356.59 1.377895
24 Jun, 2013 2,265.23 2,237.96 -1.20385
17 Jun, 2013 2,334.45 2,345.30 0.464778
10 Jun, 2013 2,391.18 2,368.69 -0.94054
3 Jun, 2013 2,416.46 2,397.14 -0.79952
27 May, 2013 2,415.17 2,446.65 1.303428
20 May, 2013 2,496.49 2,479.85 -0.66654
13 May, 2013 2,456.71 2,410.54 -1.87934
6 May, 2013 2,401.50 2,411.15 0.401832
29 Apr, 2013 2,364.13 2,376.55 0.525352
22 Apr, 2013 2,332.73 2,351.22 0.792634
15 Apr, 2013 2,234.15 2,251.04 0.755992
8 Apr, 2013 2,249.00 2,246.29 -0.1205
1 Apr, 2013 2,295.20 2,298.61 0.148571
25 Mar, 2013 2,291.35 2,264.77 -1.16001
18 Mar, 2013 2,353.83 2,356.15 0.098563
11 Mar, 2013 2,404.00 2,400.61 -0.14101
4 Mar, 2013 2,314.95 2,302.97 -0.51751
25 Feb, 2013 2,384.42 2,372.06 -0.51837
18 Feb, 2013 2,390.94 2,393.72 0.116272
11 Feb, 2013 2,409.78 2,402.41 -0.30584
4 Feb, 2013 2,461.85 2,440.29 -0.87576
28 Jan, 2013 2,476.60 2,473.09 -0.14173
21 Jan, 2013 2,492.95 2,489.27 -0.14762
14 Jan, 2013 2,451.19 2,475.32 0.98442
7 Jan, 2013 2,481.80 2,468.60 -0.53187

-0.11714









Friday Effect
Date Open Close Return
27 Dec, 2013 2,524.29 2,530.88 0.261064
20 Dec, 2013 2,474.44 2,508.38 1.371623
13 Dec, 2013 2,471.62 2,454.90 -0.67648
6 Dec, 2013 2,484.95 2,494.60 0.388338
29 Nov, 2013 2,439.55 2,463.86 0.996495
22 Nov, 2013 2,410.08 2,394.48 -0.64728
8 Nov, 2013 2,452.85 2,446.20 -0.27111
1 Nov, 2013 2,492.65 2,501.29 0.346619
25 Oct, 2013 2,439.45 2,434.02 -0.22259
18 Oct, 2013 2,406.26 2,444.50 1.589188
11 Oct, 2013 2,418.94 2,413.01 -0.24515
4 Oct, 2013 2,339.66 2,345.58 0.253028
27 Sep, 2013 2,335.36 2,316.13 -0.82343
20 Sep, 2013 2,404.88 2,373.00 -1.32564
13 Sep, 2013 2,303.35 2,311.47 0.35253
6 Sep, 2013 2,228.63 2,246.49 0.801389
30 Aug, 2013 2,142.08 2,167.96 1.208171
23 Aug, 2013 2,155.63 2,169.76 0.655493
16 Aug, 2013 2,262.50 2,188.35 -3.27735
2 Aug, 2013 2,267.88 2,237.46 -1.34134
26 Jul, 2013 2,357.29 2,333.53 -1.00794
19 Jul, 2013 2,413.88 2,397.90 -0.662
12 Jul, 2013 2,387.79 2,389.97 0.091298
5 Jul, 2013 2,349.01 2,338.61 -0.44274
28 Jun, 2013 2,296.22 2,323.83 1.202411
21 Jun, 2013 2,273.64 2,276.55 0.127989
14 Jun, 2013 2,306.58 2,327.99 0.928214
7 Jun, 2013 2,390.43 2,377.02 -0.56099
31 May, 2013 2,451.42 2,409.22 -1.72145
24 May, 2013 2,413.22 2,410.64 -0.10691
17 May, 2013 2,489.51 2,491.39 0.075517
10 May, 2013 2,436.69 2,452.19 0.636109
3 May, 2013 2,414.96 2,398.64 -0.67579
26 Apr, 2013 2,374.90 2,360.54 -0.60466
12 Apr, 2013 2,228.18 2,239.72 0.517911
5 Apr, 2013 2,252.56 2,248.82 -0.16603
22 Mar, 2013 2,276.60 2,271.57 -0.22094
15 Mar, 2013 2,386.63 2,371.71 -0.62515
8 Mar, 2013 2,379.75 2,402.17 0.942116
1 Mar, 2013 2,311.98 2,316.83 0.209777
22 Feb, 2013 2,384.56 2,375.66 -0.37323
15 Feb, 2013 2,382.00 2,387.19 0.217884
8 Feb, 2013 2,420.15 2,404.21 -0.65864
1 Feb, 2013 2,463.69 2,451.37 -0.50006
25 Jan, 2013 2,446.35 2,471.41 1.024383
18 Jan, 2013 2,484.04 2,481.77 -0.09138
11 Jan, 2013 2,472.99 2,444.41 -1.15569
4 Jan, 2013 2,472.90 2,475.20 0.093008

-0.0857











Abnormal returns of Monday
Monday return Average return of rest week days Abnormal Monday return
-0.71642425 -0.06634390 -0.65008035
0.23734618 -0.18360191 0.42094809
-0.11356606 -0.16734621 0.05378016
-0.70076672 -0.33867069 -0.36209603
0.53904641 -0.33019124 0.86923766
1.04359647 -0.31227664 1.35587311
1.01751336 -0.78045005 1.79796342
-0.34711940 -0.40890831 0.06178891
-0.99620785 -0.61177428 -0.38443357
0.18843222 0.93930250 -0.75087028
0.22932457 -0.11024215 0.33956672
0.25071756 -0.90915081 1.15986837
-1.05538380 0.42945174 -1.48483554
-0.83271312 0.90312619 -1.73583931
-1.41476984 0.00361727 -1.41838711
1.03713570 0.60106202 0.43607369
-0.29008354 0.51785299 -0.80793653
-1.31858354 -0.61269500 -0.70588855
0.25361503 -0.10627143 0.35988646
0.11512872 -0.02046663 0.13559534
-0.88681998 1.08167925 -1.96849923
0.23458179 -0.49483468 0.72941646
0.79858551 -0.95236534 1.75095085
-0.14912993 -0.51087628 0.36174635
1.37789517 0.33681005 1.04108513
-1.20385126 0.00505423 -1.20890550
0.46477757 0.00492260 0.45985497
-0.94053982 -0.08311113 -0.85742868
-0.79951665 -0.47756552 -0.32195113
1.30342792 -0.63881281 1.94224073
-0.66653582 0.13071626 -0.79725208
-1.87934270 0.09558774 -1.97493044
0.40183219 -0.97585351 1.37768570
0.52535182 0.82753305 -0.30218123
0.79263352 0.07331413 0.71931940
0.75599221 0.54307557 0.21291664
-0.12049800 0.28608513 -0.40658313
0.14857093 1.09345674 -0.94488581
-1.16001484 -0.44298313 -0.71703171
0.09856277 -0.43743403 0.53599679
-0.14101498 0.65830295 -0.79931793
-0.51750578 -1.34891427 0.83140849
-0.51836505 -0.16625732 -0.35210773
0.11627226 0.70170654 -0.58543428
-0.30583705 -1.16824205 0.86240501
-0.87576416 -0.30471190 -0.57105226
-0.14172656 -0.38796874 0.24624218
-0.14761628 -0.23694919 0.08933291
0.98441981 -0.21670438 1.20112419
-0.53187203 -0.69458647 0.16271444










Abnormal stock Friday return

Friday return Average return of rest week days
Abnormal Friday
return
0.261063507 -0.183601906 0.444665413
1.371623478 -0.167346212 1.53896969
-0.676479394 -0.338670693 -0.337808701
0.388337794 -0.330191241 0.718529034
0.996495255 -0.312276638 1.308771893
-0.647281418 -0.780450055 0.133168637
-0.271113195 -0.408908311 0.137795117
0.34661906 -0.611774276 0.958393336
-0.222591158 0.939302502 -1.16189366
1.589188201 -0.110242151 1.699430352
-0.245148701 -0.90915081 0.664002109
0.253028218 0.429451742 -0.176423524
-0.823427651 0.903126186 -1.726553838
-1.32563787 0.003617273 -1.329255142
0.352530011 0.60106202 -0.248532009
0.801389194 0.517852991 0.283536203
1.208171497 -0.612694997 1.820866494
0.655492826 -0.106271433 0.761764259
-3.277348066 -0.020466627 -3.256881439
-1.341340812 1.081679254 -2.423020066
-1.00793708 -0.494834675 -0.513102405
-0.662004739 -0.952365342 0.290360602
0.091297811 -0.510876281 0.602174092
-0.442739707 0.336810046 -0.779549753
1.202410919 0.005054233 1.197356686
0.1279886 0.004922603 0.123065997
0.928214066 -0.083111134 1.0113252
-0.560986935 -0.477565522 -0.083421414
-1.721451241 -0.638812811 -1.08263843
-0.106911098 0.130716263 -0.237627361
0.075516869 0.095587742 -0.020070873
0.63610882 -0.975853509 1.611962328
-0.675787591 0.827533053 -1.503320644
-0.604657038 0.073314128 -0.677971166
0.517911479 0.543075568 -0.025164089
-0.166033313 0.286085126 -0.45211844
-0.220943512 1.093456738 -1.31440025
-0.625149269 -0.44298313 -0.182166139
0.942115768 -0.437434026 1.379549795
0.209776901 0.658302953 -0.448526052
-0.373234475 -1.348914272 0.975679797
0.217884131 -0.166257321 0.384141452
-0.658636861 0.701706538 -1.360343399
-0.500062914 -1.168242055 0.668179141
1.024383265 -0.304711898 1.329095163
-0.091383392 -0.387968736 0.296585345
-1.155686032 -0.236949193 -0.918736839
0.093008209 -0.216704378 0.309712587











Unit Root Test
To predict the past history of a common stocks price be used to make meaningful prediction,
randomness is checked with the help of stationary feature of the series of market returns. And to
see the stationary feature, Augmented Dickey-Fuller (ADF) Unit Root Test is used with the
help of E-views statistical software by using the null hypothesis as: series has a unit root.
Unit Root Test is made with null hypothesis as there is unit root in the series and alternate
hypothesis as there is no unit root and the series in stationary
MONDAY RETURN


Interpretation
The ADF test statistic value is less than the critical value so null hypothesis is rejected and series
is stationary. The DW stat value is around 2 which shows that there is no correlation between the
Monday return.

FRIDAY RETURN



Interpretation
The ADF test statistic value is less than the critical value so null hypothesis is rejected and series
is stationary. The DW stat value is around 2 which shows that there is no correlation between the
Friday return.








STATISTICAL TOOL

Introduction
An educated citizen needs an understanding of basic statistical tool to function in a world that is
becoming increasingly dependent on quantitative information. Statistics means numerical
description to most people. In fact the term statistics is generally used to mean numerical facts
and figures such as agriculture production during a year, rate of inflation and so on. However as
a subject of study, statistics refers to the body of principles and procedures developed for the
collection, classification, summarization and interpretation of numerical data and for the use of
such data.
MEANING
Broadly speaking, the term statistics has been generally used in two senses:-
Plural Sense
Singular Sense

Plural sense refers to the numerical data. Singular Sense refers to a Science in which we deals
with the techniques of collecting, classifying, presenting, analyzing and interpreting the data, the
concept in its singular sense, refers to Statistical Method.

PURPOSE:
Without the assistance of Statistical Method, an organization would find it impossible to make
sense of the huge data. The purpose of statistics is to:-
Analyze
Summarize
Investigate
Record
Plural sense refers to the numerical
data
Plural Sense
Singular Sense refers to a Science
Singular Sense


TOOLS USED:
Statistical tools are the basic measures, which helps in defining the relation between different
items, present, past and future trend of the future trend of the particular business etc. A wide
variety of statistical tools are available and any of them can be used by any businessman
depending upon the nature of his trade. Various statistical tools are:-

RUN TEST
The runs test (also called Wald-Wolfowitz test) is a nonparametric test that checks a randomness
hypothesis for a two-valued data sequence. More precisely, it can be used
to test the hypothesis that the elements of the sequence are mutually independent.
Runs Tests is Used to Test
1. The randomness of a distribution, by taking the data in the given order and marking with + the
data greater than the median, and with the data less than the median; (numbers equalling the
median are omitted.)
2. Whether a function fits well to a data set, by marking the data exceeding the function value
with + and the other data with For this use, the runs test, which takes into account the signs but
not the distances, is complementary to the chi square test, which takes into account the distances
but not the signs











1 Run test
Runs Test
Monday_Return
Test Value
a
-.13
Cases < Test Value 25
Cases >= Test Value 25
Total Cases 50
Number of Runs 27
Z .286
Asymp. Sig. (2-tailed) .775
a. Median

Interpretation
The result for these indices are in favour of the hypothesis that Monday returns on the market
indices are independent to previous day returns as





Interpretation
The result for these indices are in favour of the hypothesis that Friday returns on the market
indices are independent to previous day returns













1 RUN TEST

Runs Test
Friday_Return
Test Value
a
-.10
Cases < Test Value 24
Cases >= Test Value 24
Total Cases 48
Number of Runs 27
Z .438
Asymp. Sig. (2-tailed) .662
a. Median


AUTOCOLLERATION

Monday_Return

H
0
: The data are independently distributed
H
a
: The data are not independently distributed.

Autocorrelations
Series:Monday_Return

Lag Autocorrelation Std. Error
a

Box-Ljung Statistic
Value Df Sig.
b

1 -.082 .137 .359 1 .549
2 -.178 .136 2.078 2 .354
3 -.003 .134 2.079 3 .556
4 -.070 .133 2.356 4 .671
5 .085 .132 2.774 5 .735
6 -.025 .130 2.811 6 .832
7 -.178 .129 4.724 7 .694
8 -.065 .127 4.987 8 .759
9 -.127 .126 6.017 9 .738
10 -.087 .124 6.507 10 .771
a. The underlying process assumed is independence (white noise).
b. Based on the asymptotic chi-square approximation.



Interpretation
Autocorrelation-series of BSE 200 with regard to Monday return is insignificant for all the ten
lags and null hypothesis is accepted. By looking to ACF all the factors are under control and are
insignificant. So it can be concluded that for this selected index for year 2013. Random Walk
Theory works.








Friday_Return

Autocorrelations
Series:Friday_Return
Lag
Autocorrelati
on Std. Error
a

Box-Ljung Statistic
Value Df Sig.
b

1 .094 .140 .451 1 .502
2 -.135 .138 1.396 2 .498
3 -.154 .137 2.660 3 .447
4 -.288 .135 7.171 4 .127
5 .109 .134 7.829 5 .166
6 -.020 .132 7.852 6 .249
7 .075 .131 8.184 7 .317
8 .120 .129 9.054 8 .338
9 -.006 .127 9.056 9 .432
10 .161 .126 10.695 10 .382
a. The underlying process assumed is independence (white
noise).
b. Based on the asymptotic chi-square approximation.




Interpretation
Autocorrelation-series of BSE 200 with regard to Friday return is insignificant for all the ten lags
and null hypothesis is accepted. By looking to ACF all the factors are under control and are
insignificant. So it can be concluded that for this selected index for year 2013. Random Walk
Theory works








ANOVA
MONDAY RETURN

ANOVA
b

Model
Sum of
Squares df Mean Square F Sig.
1 Regression 29.116 1 29.116 83.910 .000
a

Residual 16.656 48 .347
Total 45.772 49
a. Predictors: (Constant), Monday_Return
b. Dependent Variable: Abnormal_monday_return



Interpretation
The value of F is 83.91 which shows the ratio of the between groups variance and the within
groups variance the value is also significant.


FRIDAY RETURN

ANOVA
b

Model
Sum of
Squares df Mean Square F Sig.
1 Regression 29.116 1 29.116 83.910 .000
a

Residual 16.656 48 .347
Total 45.772 49
a. Predictors: (Constant), Monday_Return
b. Dependent Variable: Abnormal_monday_return
Interpretation
The value of F is 83.91 which shows the ratio of the between groups variance and the within
groups variance the value is also significant.




LIMITATIONS OF THE STUDY

In spite of best efforts of the investigator the study was subjected to following limitations:-
Study of secondary sources: It is only the study of interim reports and secondary data
present on different websites so not much reliable as primary data.
Based on monetary information only : Analysis is based only on monetary information
and not on non monetary factors.
Sample Size : The sample size to be analyzed is only 1year, which may not be fully
represented of the universe.
Non coverage of certain aspects : Due to confidential nature of some documents the
same is not available for the study.




















RESULTS AND FINDINGS
The return of Monday is quite different from the return of other days and is usually
negative.
There is presence a day-of-the-week effect in the stock returns pattern.
According to Unit Root Test there is no autocorrelation in the stock market returns.
According to Run Test daily returns on the market indices are independent to previous
day returns.
Results of this study show that the anomalies do not exist in the Indian Stock Market
T-test results conclude that there is insignificant difference between the returns on
Monday and other week days.