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COMPREHENSIVE PROJECT REPORT


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DAY EFFECT IN INDIAN STOCK MARKET: DUMMY VARIABLE ANALYSIS


Submitted to C K SHAH VIJAPURWALA INSTITUTE OF MANAGEMENT IN PARTIAL FULFILLMENT OF THE REQUIREMENT OF THE AWARD FOR THE DEGREE OF MASTER OF BUSINESS ADMINISTRATION Under

Gujarat Technology University


UNDER THE GUIDANCE OF Faculty Guide Mr. Nirav Majmudar Submitted by KRUPA MAJMUDAR Enrollment No: 097050592015 MITUL MISTRY Enrollment No: 09705092055 M.B.A 4th SEMESTER C K Shah Vijapurwala Institute of Management M.B.A PROGRAMME Affiliated to Gujarat Technological University Ahmedabad, April 2011

DAY EFFECT IN INDIAN STOCK MARKET: DUMMY VARIABLE ANALYSIS

PREFACE
In the present situation where stock market which is highly volatile and affected by various factors, it is necessary to invest consciously in the market. Theories say that there is no free lunch in Capital Market, but it is true if the market is efficient. This is the study about the dummy variable analysis in stock market which enables the investor in taking decision regarding investment and making abnormal profits. The objective of selecting the topic is to know about the day effect in Indian stock market using dummy variable analysis. The study aims at finding out whether the Indian stock market is Efficient or not and employs Dummy Variable analysis for the same.

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ACKNOWLEDGEMENT
The completion of any project depends upon the co-operation, coordination and combinedefforts of several resources of knowledge, inspiration & energy. Words fall short acknowledging immense support lent to me yet I will try to give full credit tothe deserver's. I am thankful to Dr. Rajesh Khajuria (Director, C.K.Shah Vijapurwala Institute of Management) for his support, guidance and cooperation throughout to accomplish this project also expressing deep sense of gratitude to my Project guide, Mr. Nirav Majmudar (Lecturer) for his valuable guidance, continuous encouragement and tremendous patience in discussing my problems, have been of the greatest help in bringing out my task in present shape. I am equally grateful to all my other teachers for their complete support. It would be unfair on my part if I do not thank my colleagues for their continuous help without which this work could never have been accomplished. They made me realize the importance of team work and also the leadership skills. I am grateful to all of them standing with me and supporting me in this project.

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DAY EFFECT IN INDIAN STOCK MARKET: DUMMY VARIABLE ANALYSIS

DECLARATION
We Krupa Majmudar and Mitul Mistry hereby declare that the report for Comprehensive Project entitled DAY EFFCET IN INDIAN STOCK MARKET : DUMMY VARIABLE ANALYSIS Is a result of my own work and my indebtedness to other work publications, references, if any, have been duly acknowledged.

Place: Vadodara Date: 30/04/2011

(Signature) KRUPA MAJMUDAR

(Signature) MITUL MISTRY

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EXECUTIVE SUMMARY
The presence of the seasonal or monthly effect in stock returns has been reported in several developed and emerging stock markets. This study investigates the existence of seasonality in Indias stock market, primarily trying to detect the DAY OF THE WEEK EFFECT in the Stocks listed on the National Stock Exchange.

This study was carried with an intention to see whether the day of the week effect was visible in Indian Capital market for the last 5 years as well as year wise. The sample companies were taken from three strata namely Large Cap, Mid cap and small cap from the Bombay Stock Exchange(BSE). Top 5 companies from each strata were selected respectively on the basis of their market capitalisation.

The study uses the Daily return data of the stocks listed on National Stock Exchange and Bombay Stock Exchange Index for the period from 2006 to 2011 for analysis. Stationarity of the data series is tested using Augmented Dickey-Fuller tests. While the close prices were not found to be stationary, data transformation was applied, whereby, daily return for each stock was considered. These data transformations were again tested for stationarity using ADF test and were found to be stationary.

The stationary data were then used to conduct the regression analysis using the Dummy Variables. This research attempts to find out the day effect so the dummy variables were created for Monday, Tuesday, Wednesday & Thursday while keeping Friday as the Reference day for comparing the average daily return as against other days of the week. The Dummy variable analysis was conducted for overall 5 years for each 15 companies as well as for each 5 years for 15 companies.

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The results of the study imply that the stock market in India is inefficient, and hence, investors can time their Equity investments to improve returns and make abnormal profits.

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TABLE OF CONTENT

SR. NO.

PARTICULARS

PAGE NOS.

PART 1 GENERAL INFORMATION 1 About the Capital Market 1.1 Capital Market. 1.2 Primary Market. 1.3 Secondary Market. 1.4 Bombay Stock Exchange. 1.5 World Capital Market. PART 2 PRIMARY STUDY 2 Introduction of the study 2.1 Literature Review 2.2 Background of the study 2.3 Problem Statement and Importance of the Study 2.4 Objectives of the Study 2.5 Hypothesis 3 Research Methodology 3.1 Research Design 3.2 Data Collection Method 3.3 Population 3.4 Sampling Method 3.5 Statistical Tools 3.6 Statistical Packages Used 4 5 6 7 8 2011 Data Analysis and Interpretation Results and Findings Limitations of the Study Conclusion/ Suggestions Bibliography 23 26 28 28 29 29 30 40 43 44 45 22 22 22 13 15 2 3 5 7 10

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LIST OF TABLES
SR NO 1 2 3 PARTICULARS TABLE NO 3.1 3.2 3.3 PAGE NOS 28 28 29

Large Cap Companies Mid Cap Companies Small Cap Companies Dummy Variable Analysis of Glaxosmi (5 Years) Dummy Variable Analysis of RIL (5 Years) Dummy Variable Analysis of Glaxosmi (Year 2007) Dummy Variable Analysis of Glaxosmi (Year 2011) Dummy Variable Analysis of RIL (Year 2011) Dummy Variable Analysis of Glaxosmi (Year2008) Dummy Variable Analysis of Large Cap Dummy Variable Analysis of Mid Cap Dummy Variable Analysis of Small Cap Dummy Variable Analysis of All Companies (Yearly)

4.1

34

4.2

35

4.3

36

4.4

37

8 9 10 11 12

4.5 4.6 5.1 5.2 5.3

38 39 40 40 41

13

5.4

42

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LIST OF DIAGRAMS

SR NO

PARTICULARS

TABLE NO

PAGE NOS

1 2

Time Series Plot for SBI (Close Price) Time Series Plot for SBI (Stock Return)

4.1 4.2

30 31

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CHAPTER - 1 ABOUT THE CAPITAL MARKET


In general, the financial market divided into two parts, Money market and capital market.

1.1 CAPITAL MARKET A capital market is a market for securities (debt or equity), where business enterprises (companies) and governments can raise long-term funds. It is defined as a market in which money is provided for periods longer than a year, as the raising of short-term funds takes place on other markets (e.g., the money market). The capital market includes the stock market (equity securities) and the bond market (debt). Financial regulators, such as the UK's Financial Services Authority (FSA) or the U.S. Securities and Exchange Commission (SEC), oversee the capital markets in their designated jurisdictions to ensure that investors are protected against fraud, among other duties.

A capital market is a market where both government and companies raise long term funds to trade securities on the bond and the stock market. It consists of both the primary market where new issues are distributed among investors, and the secondary markets where already existent securities are traded. In the capital market, mortgages, bonds, equities and other such investment funds are traded. The capital market also facilitates the procedure whereby investors with excess funds can channel them to investors in deficit.

The capital market provides both overnight and long term funds and uses financial instruments with long maturity periods. The following financial instruments are traded in this market:

Foreign exchange instruments Equity instruments Page 2

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Insurance instruments Credit market instruments Derivative instruments Hybrid instruments

The following are some of the main capital market regulatory authorities:

U.S. Securities and Exchange Commission Securities and Exchange Board of India Australian Securities and Investments Commission Authority of Financial Markets (France) Canadian Securities Administrators Securities and Exchange Surveillance Commission (Japan).

Capital markets may be classified as primary markets and secondary markets 1.2 PRIMARY MARKET The primary market is an intermittent and discrete market where the initially listed shares are traded first time, changing hands from the listed company to the investors. It refers to the process through which the companies, the issuers of stocks, acquire capital by offering their stocks to investors who supply the capital. In other words primary market is that part of the capital markets that deals with the issuance of new securities. Companies, governments or public sector institutions can obtain funding through the sale of a new stock or bond issue. This is typically done through a syndicate of securities dealers. The process of selling new issues to investors is called underwriting. In the case of a new stock issue, this sale is called an initial public offering (IPO). Dealers earn a commission that is built into the price of the security offering, though it can be found in the prospectus.

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In primary markets, new stock or bond issues are sold to investors via a mechanism known as underwriting. In the secondary markets, existing securities are sold and bought among investors or traders, usually on a securities exchange, over-the-counter, or elsewhere.

Primary Market also called the new issue market, is the market for issuing new securities. Many companies, especially small and medium scale, enter the primary market to raise money from the public to expand their businesses. They sell their securities to the public through an initial public offering. The securities can be directly bought from the shareholders, which is not the case for the secondary market. The primary market is a market for new capitals that will be traded over a longer period.

In the primary market securities are issued on an exchange basis. The underwriters, that is, the investment banks, play an important role in this market: they set the initial price range for a particular share and then supervise the selling of that share.

Investors can obtain news of upcoming shares only on the primary market. The issuing firm collects money, which is then used to finance its operations or expand business, by selling its shares. Before selling a security on the primary market, the firm must fulfill all the requirements regarding the exchange.

After trading in the primary market the security will then enter the secondary market, where numerous trades happen every day. The primary market accelerates the process of capital formation in a countrys economy. The primary market categorically excludes several other new long-term finance sources, such as loans from financial institutions. Many companies have entered the primary market to earn profit by converting its capital, which is basically a private capital, into a public one, releasing securities to the public. This phenomena is known as "public issue or going public. 2011 Page 4

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Methods of issuing securities in the primary market are: Initial public offering; Rights issue (for existing companies); Preferential issue. Functioning of Primary Market: Primary Mortgage Market Primary Target Market Transaction Costs in Primary Market PL in Primary Market Revival of Indian Primary Market Primary Securities Market of Indian Problems of Indian Primary Market Investment in Primary Market Primary Money Market International Primary Market Association IPO Primary Market Primary Capital Market

1.3 SECONDARY MARKET The secondary market is an on-going market, which is equipped and organized with a place, facilities and other resources required for trading securities after their initial offering. It refers to a specific place where securities transaction among many and unspecified persons is carried out through intermediation of the securities firms, i.e., a licensed broker, and the exchanges, a specialized trading organization, in accordance with the rules and regulations established by the exchanges.

The secondary market, also called aftermarket, is the financial market where previously issued securities and financial instruments such as stock, bonds, options, and futures are bought and sold. Another frequent usage of "secondary market" is to refer to loans which are sold by a mortgage bank to 2011 Page 5

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investors such as Fannie Mae and Freddie Mac. The term "secondary market" is also used to refer to the market for any used goods or assets, or an alternative use for an existing product or asset where the customer base is the second market (for example, corn has been traditionally used primarily for food production and feedstock, but a "second" or "third" market has developed for use in ethanol production).

With primary issuances of securities or financial instruments, or the primary market, investors purchase these securities directly from issuers such as corporations issuing shares in an IPO or private placement, or directly from the federal government in the case of treasuries. After the initial issuance, investors can purchase from other investors in the secondary market.

The secondary market for a variety of assets can vary from loans to stocks, from fragmented to centralized, and from illiquid to very liquid. The major stock exchanges are the most visible example of liquid secondary markets - in this case, for stocks of publicly traded companies. Exchanges such as the New York Stock Exchange, Nasdaq and the American Stock Exchange provide a centralized, liquid secondary market for the investors who own stocks that trade on those exchanges. Most bonds and structured products trade over the counter, or by phoning the bond desk of ones broker-dealer. Loans sometimes trade online using a Loan Exchange.

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1.4 BOMBAY STOCK EXCHANGE (BSE) Bombay Stock Exchange is the oldest stock exchange in Asia What is now popularly known as the BSE was established as "The Native Share & Stock Brokers' Association in 1875.

Over the past 135 years, BSE has facilitated the growth of the Indian corporate sector by providing it with an efficient raising platform.

Today, BSE is the world's number 1 exchange in the world in terms of the number of listed companies (over 4900). It is the world's 5th most active in terms of number of transactions handled through its electronic trading system. And it is in the top ten of global exchanges in terms of the market capitalization of its listed companies (as of December 31, 2009). The companies listed on BSE command a total market capitalization of USD Trillion 1.28 as of Feb 2010.

BSE is the first exchange in India and the second in the world to obtain an ISO 9001:2000 certifications. 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). Presently, we are ISO 27001:2005 certified, which is a ISO version of BS 7799 for Information Security.

The BSE Index, SENSEX, is India's first and most popular Stock Market benchmark index. Exchange traded funds (ETF) on SENSEX, are listed on BSE and in Hong Kong. Futures and options on the index are also traded on BSE.

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BSE continues to innovate: Became the first national exchange to launch its website in Gujarati and Hindi and now Marathi Purchased of Marketplace Technologies in 2009 to enhance the inhouse technology development capabilities of the BSE and allow faster time-to-market for new products Launched a reporting platform for corporate bonds christened the ICDM or Indian Corporate Debt Market Acquired a 15% stake in United Stock Exchange (USE) to drive the development and growth of the currency and interest rate derivatives markets Launched 'BSE STAR MF' Mutual fund trading platform, which enables exchange members to use its existing infrastructure for transaction in MF schemes. BSE now offers AMFI Certification for Mutual Fund Advisors through BSE Training Institute (BTI) Co-location facilities for Algorithmic trading BSE also successfully launched the BSE IPO index and PSU website BSE revamped its website with wide range of new features like 'Live streaming quotes for SENSEX companies', 'Advanced Stock Reach', 'SENSEX View', 'Market Galaxy', and 'Members' Launched 'BSE SENSEX MOBILE STREAMER'

With its tradition of serving the community, BSE has been undertaking Corporate Social Responsibility (CSR) initiatives with a focus on Education, Health and Environment. BSE has been awarded by the World Council of Corporate Governance the Golden Peacock Global CSR Award for its initiatives in Corporate Social Responsibility (CSR).

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Other Awards: The Annual Reports and Accounts of BSE for the year ended March 31, 2006 and March 31, 2007 have been awarded the ICAI awards for excellence in financial reporting. The Human Resource Management at BSE has won the Asia Pacific HRM awards for its efforts in employer branding through talent management at work, health management at work.

Drawing from its rich past and its equally robust performance in the recent times, BSE will continue to remain an icon in the Indian capital market. Features of primary markets are: This is the market for new long term equity capital. The primary market is the market where the securities are sold for the first time. Therefore it is also called the new issue market (NIM). In a primary issue, the securities are issued by the company directly to investors. The company receives the money and issues new security certificates to the investors. Primary issues are used by companies for the purpose of setting up new business or for expanding or modernizing the existing business. The primary market performs the crucial function of facilitating capital formation in the economy. The new issue market does not include certain other sources of new long term external finance, such as loans from financial institutions. Borrowers in the new issue market may be raising capital for converting private capital into public capital; this is known as "going public." The financial assets sold can only be redeemed by the original holder. 2011 Page 9

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1.5 WORLD CAPITAL MARKET World Capital Market is a merchant banking firm that specializes in assisting clients and portfolio companies to meet corporate growth and strategy objectives. World Capital Market manages its own capital and operates out of offices in Beijing, Shanghai, Los Angeles, San Francisco, Chicago, New York, Japan and Europe.

As a strategic investor, World Capital Market focuses on investing in companies that have a sustainable long-term advantage over their competitors and are seeking a partner who can provide financial capital and make significant contributions to operating businesses to help them grow and increase shareholder value.

Since its establishment, World Capital Market has incubated and invested in a variety of industries, with specific focus on five broad industry groups: financial services, technology and telecom, healthcare, consumer and industrials.

World Capital Market provides assistance to companies in which the firm has a material equity stake. Utilizing World Capital Market's advice and sponsorship, the firm's clients and portfolio companies have completed successful raising in IPO's, RTO's, successive rounds of pre IPO financing, mergers, acquisitions, joint ventures, and strategic partnerships.

World Capital Market is not available for engagement on a transactional basis and the firm acts only as a corporate advisor and/or investor. The firm does not provide brokerage services or investor relations services. The firm's typical engagement is 3-5 years. World Capital Market's assistance includes corporate advice, research, and sponsorship. 2011 Page 10

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World Capital Market assists public and private companies with corporate strategy aimed at maximizing equity value. Unlike intermediaries and other corporate service providers, World Capital Market's profits are based not on cash fees but rather the appreciation of the company's equity value.

Initial areas of focus include company and management assessments, competitor reviews, corporate positioning, milestone selection, listing feasibility, and valuation analysis. Mid-term efforts often include assistance with strategic planning, mergers and acquisitions, successive rounds of financing, joint ventures, and all phases of IPO preparation and underwriter recruitment. For public companies, World Capital Market provides advice on corporate and Wall Street strategy.

World Capital Market focuses on high growth businesses that have the potential to double or triple in value. World Capital Market's typical merchant banking engagement has a 2-5 year term. For profitable fast-growth businesses that are 12-24 months from being publicly listed, World Capital Market may invest in the company - primarily to fund IPO preparations including legal, accounting, and packaging expenses.

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CHAPTER - 2 INTRODUCTION OF THE STUDY

2.1 LITERATURE REVIEW 1. Study by Golaka C Nath and Manoj Dalvi on DAY OF THE WEEK EFFECT AND MARKET EFFICIENCY (2004) examined empirically the day of the week effect anomaly in the Indian equity market for the period from 1999 to 2003 using both high frequency and end of day data for the benchmark Indian equity market index S&P CNX NIFTY used robust regression with biweights and dummy variables. The study also found out that before the rolling settlement in January 2002, Monday & Friday were significant whereas after rolling settlement only Friday was proved significant and Mondays were found to have high standard deviation. 2. Study by Eleftherios Giovanis on CALENDAR EFFECTS IN FIFTY-FIVE STOCK MARKET INDICES (2009) presents the methodology appropriate for data mining which rejects the existence of the main calendar anomalies as the Monday & January Effect. The methodology followed by them was test hypothesis of two unequal data samples with bootstrapping simulated t-statistics and simultaneously a seasonality test was also applied to investigate the frequency of seasonality of expected returns and volatility. The results were that there is higher seasonality in volatility rather than expected returns concerning the day of-the-week effect and month of-the-year effect & rejected all calendar effects in a global level except the turn-of-the-month effect. 3. Study by Dr. Rengasamy Elango and Nabila Al Macki on the MONDAY EFFECT AND STOCK RETURN SEASONALITY investigated whether the anomalous weekend effect found in many developed and developing markets around the world is also present in the rapidly emerging Indian equity market. They used the real time data of three major indices of NSE for 1999-2007 periods and applied a set of descriptive & inferential statistics and they analyzed that Mondays 2011 Page 13

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returns are negative & low in two out of three indices. They also examined by using K-W Test whether the ranks of mean returns for each day of the week are equal or not. 4. Study by Ricky Chee-Jiun Chia and Venus Khim-Se Liew on EVIDENCE ON THE DAY-OF THE-WEEK EFFECT AND ASYMMETRIC BEHAVIOR IN THE BOMBAY STOCK EXCHANGE examined the existence of day-of-the-week effect and asymmetrical market behavior in the Bombay Stock Exchange (BSE) over the pre-9/11 and post-9/11 sub-periods. The analysis was made using the EGARCH and EGARCH-M models which revealed the asymmetrical market reaction to the positive & negative news in BSE and also found the existence of significant positive Monday effect and negative Friday effect during the pre-9/11 sub-period. Further analysis using the EGARCH and EGARCH-M models revealed the asymmetrical market reaction to the positive and negative news in BSE. 5. Study by Sromon Das and Varun Arora on DAY OF THE WEEK EFFECTS IN NSE STOCK RETURNS investigated the existence of seasonality in Indias stock market, primarily trying to detect the Day ofthe-week effect by Kruskal Wallis test (K-W Test) and one way anova test i.e. using both parametric & non-parametric test in the Stocks listed on the National Stock Exchange and they also carried out the study whether the day of the week effect was visible in these specific market phases i.e. CONSOLIDATION Phase, BEARISH Phase and the BULLISH Phase or not. The results of the study imply that the stock market in India is inefficient, and hence, investors can time their share investments to improve returns and make abnormal profits and the Day of the week effect was found to be absent in the Bullish as well as the Bearish Phase.

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2.2 BACKGROUND OF THE STUDY Efficient market hypothesis Efficient Market Hypothesis (EMH) is probably one of the most controversial theories in Finance. EMH is simply an investment theory that states that it is impossible to "beat the Market" because stock market efficiency causes the prevalent share prices to always incorporate and reflect all relevant information and its effects. According to the EMH, this means that stocks always trade at their fair value on stock exchanges, and thus it is impossible for investors to either purchase undervalued stocks or sell stocks for inflated prices. Thus, the crux of the EMH is that it should be impossible to outperform the overall market through expert stock selection or market timing, and that the only way an investor can possibly obtain higher returns is by purchasing stocks which are more risky investments. Some analysts believe and argue that it is pointless to search for undervalued stocks or to try to predict trends in the market through either fundamental or technical analysis. The efficient market hypothesis was first expressed by Louis Bachelier, a French Mathematician, in his 1900 dissertation, The Theory of Speculation". His work was largely ignored until the 1950's; however beginning in the 30's scattered, independent work corroborated his thesis. A small number of studies indicated that US stock prices and related financial series followed a random walk model. Also, work by Cowles in the30's and 40's showed that professional investors were in general unable to outperform the market. The efficient market hypothesis emerged as a prominent theoretic position in the mid - 1960's. Paul Samuelson had begun to circulate Bachelier's work among economists. In1964, Bachelier's dissertation along with many of the works mentioned above was published together by Paul Coonter. In 1965, Eugene Fama published his dissertation arguing for the random walk hypothesis and Samuelson published a proof for a version of the efficient market hypothesis. In 1970 Fama published a review of both the theory and the evidence for the hypothesis. The paper extended and refined 2011 Page 15

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the theory, included the definitions for three forms of market efficiency: weak, semi-strong and strong. There are three common forms in which the efficient market hypothesis is commonly stated weak form efficiency, semi-strong form efficiency and strong form efficiency ,each of which have different implications for how markets work.

1) Weak-form efficiency No excess returns can be earned by using investment strategies based on historical share prices or other financial data. Weak-form efficiency implies that Technical analysis techniques will not be able to consistently produce excess returns, though some forms of fundamental analysis may still provide excess returns. In a weak-form efficient market current share prices are the best, unbiased, estimate of the value of the security. Theoretical in nature, weak form efficiency advocates assert that fundamental analysis can be used to identify stocks that are undervalued and overvalued. Therefore, keen investors looking for profitable companies can earn profits by researching financial statements.

2) Semi-strong form efficiency Share prices adjust within an arbitrarily small but finite amount of time and in an unbiased fashion to publicly available new information, so that no excess returns can be earned by trading on that information. Semi-strong form efficiency implies that Fundamental analysis techniques will not be able to reliably produce excess returns. To test for semi-strong form efficiency, the adjustments to previously unknown news must be of a reasonable size and must be instantaneous. To test for this, consistent upward or downward 2011 Page 16

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adjustments after the initial change must be looked for. If there are any such adjustments it would suggest that investors had interpreted the information in a biased fashion and hence in an inefficient manner.

3) Strong-form efficiency Share prices reflect all information and no one can earn excess returns. If there are legal barriers to private information becoming public, as with insider trading laws, strong-form efficiency is impossible, except in the case where the laws are universally ignored. Studies on the U.S. stock market have shown that people do trade on inside information. To test for strong form efficiency, a market needs to exist where investors cannot consistently earn excess returns over a long period of time. Even if some money managers are consistently observed to beat the market, no refutation even of strong-form efficiency follows: with tens of thousands of fund managers worldwide, even a normal distribution of returns (as efficiency predicts) should be expected to produce a few dozen "star" performers. Even though the validity of the concept is in doubt EMH remains the cornerstone and most enthusing concept of investigation for academics in Finance, ever since Fama (1965) described that the Capital Market is A market here there are large numbers of Rational, Profit Maximizes actively competing with each other trying to predict future market values of individual securities and where important current information is almost freely available to all participants. And on an average the competition will cause the full effects of new information on intrinsic values to be reflected instantaneously in actual prices.

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Numerous research studies have been published confirming the EMH theory. Especially, the early studies were instrumental in establishing various other concepts in the areas of Finance e.g. The Miller Modigliani theories of Corporate Financial Policies, The Sharpe- Lintner Capital Asset Pricing Model, and the Black Scholes Option Pricing Model. Beginning 1970 and carrying onto 1980s various anomalies began emerging in the stock markets across the globe which questioned the validation of the Efficient Market Hypothesis. There were studies that illustrated that possible trading strategies yielded abnormal rates of return using time series data and publicly available information, contradicting the EMH. The studies which validated efficiencies were broadly related to the following: a. Low P/E effect b. Low Priced Stocks c. The January effect d. The Weekend effect e. The Holiday Effect f. Small Firm and neglected firm effects

Calendar Anomalies Seasonalities or calendar anomalies are well documented and are perhaps the best-known examples of inefficiencies in the financial markets. It may be in terms of seasonal effects over the day-of-the-week, the months of the year, or over specific years. Various studies have found that asset returns are different on days of the week, months of the year; turn of the month and before holidays. Such empirical regularities are more pronounced in securities markets and therefore have been subject to investigation in numerous studies. Empirical examination of calendar anomalies in foreign exchange markets, on the other hand, has been limited. Nevertheless, the extant studies point out to the presence of a day-of-the-week effect in the spot rates of major currencies as well as traded futures and options on these rates.

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The main argument proposed is the tax-loss selling hypothesis where investors sell in December and buy back in January such that returns are higher at the beginning of the year. Essentially, the tax-loss hypothesis is supported in most countries where the tax year ends in December. For instance, the months of year effect would exist if returns on a particular month are higher than that in other months. This negates the notion of efficiency in markets since traders are able to earn abnormal returns by examining the pattern of monthly returns and framing trading strategies accordingly. Essentially, this entails an inefficient market situation where returns are not proportionate with risk. Day of-the-week Effect The weekend effect (also known as the Monday effect, the day-of-theweek effect or the Monday seasonal) refers to the tendency of stocks to exhibit relatively large returns on Fridays compared to those on Mondays. This is a particularly puzzling anomaly because, as Monday returns span three days, if anything, one would expect returns on a Monday to be higher than returns for other days of the week due to the longer period and the greater risk. Dummy Variables A dummy variable is a numerical variable used in regression analysis to represent subgroups of the sample in your study. In research design, a dummy variable is often used to distinguish different treatment groups. In the simplest case, we would use a 0, 1 dummy variable where a person is given a value of 0 if they are in the control group or a 1 if they are in the treated group. Dummy variables are useful because they enable us to use a single regression equation to represent multiple groups. This means that we don't need to write out separate equation models for each subgroup. The dummy variables act like 'switches' that turn various parameters on and off in an equation. Another advantage of a 0, 1 dummy-coded variable is that even though it is a nominal-level variable you can treat it statistically like an intervallevel variable (if this made no sense to you, you probably should refresh your 2011 Page 19

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memory on levels of measurement). For instance, if you take an average of a 0, 1 variable, and the result is the proportion of 1s in the distribution.

To illustrate dummy variables, consider the simple regression model for a posttest-only two-group randomized experiment. This model is essentially the same as conducting a t-test on the posttest means for two groups or conducting a one-way Analysis of Variance (ANOVA). The key term in the model is1 the estimate of the difference between the groups. To see how dummy variables work; we'll use this simple model to show you how to use them to pull out the separate sub-equations for each subgroup. Then we'll show how you estimate the difference between the subgroups by subtracting their respective equations. You'll see that we can pack an enormous amount of information into a single equation using dummy variables. All I want to show you here is that 1 is the difference between the treatment and control groups. To see this, the first step is to compute what the equation would be for each of our two groups separately. For the control group, Z = 0. When we substitute that into the equation, and recognize that by assumption the error term averages to 0, we find that the predicted value for the control group is 0, the intercept. Now, to figure out the treatment group line, we substitute the value of 1 for Z, again recognizing that by assumption the error term averages to 0. The equation for the treatment group indicates that the treatment group value is the sum of the two beta values.

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Now, we're ready to move on to the second step -- computing the difference between the groups. How do we determine that? Well, the difference must be the difference between the equations for the two groups that we worked out above. In other word, to find the difference between the groups we just find the difference between the equations for the two groups! It should be obvious from the figure that the difference is 1. Think about what this means. The difference between the groups is 1. OK, one more time just for the sheer heck of it. The difference between the groups in this model is 1!

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Whenever we have a regression model with dummy variables, we can always see how the variables are being used to represent multiple subgroup equations by following the two steps described above:

Create separate equations for each subgroup by substituting the dummy values find the difference between groups by finding the difference between their equations.

2.3 PROBLEM STATEMENT & IMPORTANCE OF THE STUDY The problem of the study is to check abnormal return for specific day of the week effect. The importance of the study is to find out whether the market is efficient or not and to earn abnormal returns when the market is efficient. 2.4 OBJECTIVE OF THE STUDY To examine calendar anomaly in Indian Stock Market (Day of-theweek Effect). 2.5 HYPOTHESIS H: significant difference between returns of any day of the week.

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CHAPTER - 3 RESEARCH METHODOLOGY


3.1 RESEARCH DESIGN According to Green and Tull "A research design is the specification of methods and procedures for acquiring the information needed. It is the overall operational pattern or framework of the project that stipulates what information is to be collected from which source by what procedures."

Types Of Research Designs

RESEARCH DESIGN

CONCLUSIVE RESEARCH

EXPLORATORY RESEARCH

CAUSAL RESEARCH

DESCRIPTIVE RESEARCH

CROSS-SECTIONAL DESIGN

LONGITUDINAL DESIGN

SINGLE CROSS-SECTIONAL DESIGN

MULTIPLE CROSS-SECTIONAL DESIGNS

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A. Conclusive Research Design: Conclusive Research Design is typically more formal and structured than exploratory research. It is based on large representative samples, and the data obtained are subjected to quantitative analysis. Conclusive Research is designed to assist (he decision maker in determining, evaluating and selecting the best course of action to take in a given situation. As shown in the figure conclusive research designs may be either descriptive or causal and descriptive designs may be either cross-sectional or longitudinal. a. Descriptive Research: Descriptive research is undertaken when the researcher desires to know the characteristics of certain groups such as age, sex, occupation, income or education. The objective of descriptive research is to answer the "who, what, when, where and how" of the subject under study/investigation. b. Descriptive studies are normally factual and simple. However, such studies can be complex, demanding scientific skill on the part of researcher. c. Descriptive studies are well structured. It tends to be rigid and its approach cannot be changed often and again. In descriptive studies, the researcher has to give adequate thought to framing research questions and deciding the data to be collected and the procedure to be used for this purpose. Data collected may prove to be inadequate if the researcher is not careful in the initial stages of data collection. d. Descriptive research designs are used for some definite purpose. Descriptive research cannot identify cause and effect relationship. e. Descriptive research is designed to describe the present situation or the features of a group or users of a product. In marketing, such research is undertaken to know the characteristics of certain groups or users of a product such as age, sex education, income etc. Such research studies are based on secondary data or survey research.

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f. The major objective of descriptive research is to describe something - usually market characteristics or functions g. A major difference between exploratory and descriptive research is that descriptive research is characterized by the prior formulation of the hypotheses. Thus, the information needed is clearly defined. As a result, descriptive research is preplanned and structured. It is typically based on large representative samples A formal research design specifies the methods for selecting these sources of information and for collecting data from those sources. Uses of Descriptive Research Descriptive research is conducted for the following reasons 1. To describe the characteristics of relevant groups, such as consumers, salespeople, or organizations, or market areas. For e.g. we could develop a profile of the "heavy users" (frequent shoppers) of prestigious department stores such as Shoppers Stop. 2. To estimate the percentage of units in a specified population exhibiting a certain behavior e.g. the percentage of heavy users of prestigious department stores who also patronize discount department stores. 3. To determine the perceptions of product characteristics. For e.g. how do households perceive the various department stores in terms of salient factors of the choice criteria? 4. To determine the degree to which marketing variables are associated. For e.g. to what extent is shopping at department stores related to eating out. 5. To make specific predictions. For e.g. what will be retail sales of Shoppers stop (specific store) for fashion clothing (specific product category) in the Mumbai area (specific region). 6. To collect demographic information of consumers/users of a product under study. 2011 Page 25

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7. For finding out views and attitudes of customers, e.g. how many customers prefer branded goods or ISI marked goods. 8. Make predictions about future marketing trends, consumer needs or expectations or possible sales after n years. 9. To discover the relationship between certain variables, e.g. sale of toothpaste among rural population and urban population or rate of savings among low, middle and higher income groups. 3.2 DATA COLLECTION METHOD There are two types of data collection methods, 1. Primary Data. 2. Secondary Data. We are using secondary data in this research. Secondary data means that are already available that is they refer to the data, which have already been collected and analyzed by someone else. When the researcher utilizes secondary data, then he has to look into various sources from where he can obtain them. In this case he is certainly not confronted with the problems that are usually associated with the collection of original data. Secondary data may be either published or unpublished data usually published data are available in: Various publications of the central, state and local government Various publications of foreign government or of international bodies and their subsidiary organization. Technical and trade journals. Books magazines and newspapers. Reports publication of various associations connected with business and industry, banks, stocks exchanges etc.

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Before using secondary data following characteristics must be kept in mind, Reliability of data: finding out such things about the said data can test the reliability Who collected the data? What were the sources of data? Were they collected by using proper method? At what time were they collected? Was there any bias of the complier? What level of accuracy was desired? Was it achieved? Suitability of data: The data that are suitable for one enquiry may not necessarily be found in another enquiry. Hence if the available data are found to be suitable, they should not be used by the researcher .in the context, the researcher must be very carefully scrutinize the definition of various units and terms of collection used at the time of collecting the data from the primary source originally. similarly the object scope and nature of an original enquiry must also be studied .if the researcher finds differences the data will remain unsuitable for the present enquiry and should be used. Adequacy of the data: if the level of accuracy achieved in data found inadequate for the purpose of the present enquiry, they will be considered as inadequate and should not be used by the researcher. The data will also be considered inadequate, if they are related to an area which may be either narrower or wider than the area of the present enquiry. For research we take data of companies listed in BSE with reference to highest market capitalization of Sensex, mid cap and small cap companies from http://www.bseindia.com/mktlive/mktwatch.asp secondary source.

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3.3 POPULATION Companies listed in Bombay Stock Exchange (BSE)

3.4 SAMPLING METHOD For the research we take companies listed in BSE on the basis of highest market capitalization of Sensex, Mid Cap, and Small Cap out that we take only 5 companies with reference to highest market capitalization from date 24/04/2006 to 24/04/2011 that is 5 years. Table 3.1 Large Cap Companies
Company Name 1. RELIANCE 2.ONG CORP LTD 3. TCS LTD. 4. SBI 5.INFOSYS TECH Market Capitalization (Rs. crore) 3,18,760.74 2,71,850.70 2,27,047.42 1,81,543.04 1,68,315.40

(Source: http://www.bseindia.com/mktlive/indiceswatch_scripweight.asp) Table 3.2 Mid Cap Companies


Company Name 1. BHUSH STEEL 2.GLAXOSMI 3. PETRONET LNG 4. TATA CHEMICA 5.UNITED PHOSP Market Capitalization (Rs. crore) 10,749.58 10,028.35 9,825.00 9,684.56 7,368.09

(Source: http://www.bseindia.com/mktlive/indiceswatch_scripweight.asp)

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Table 3.3 Small Cap Companies

Company Name 1. SREI INFRA 2. HEXAWARE LTD 3. VIP INDUSTRI 4. ARVIND Ltd 5.DHANLAXMI BANK

Market Capitalization (Rs. crore) 2,681.45 2,036.55 1,982.68 1,937.26 1,110.17

(Source: http://www.bseindia.com/mktlive/indiceswatch_scripweight.asp) 3.5 STATISTICAL TOOLS 1. Return. 2. Correlation. 3. Regression. 4. Unit root test (ADF). 5. Dummy Variable Analysis. 3.6 STATISTICAL PACKAGES USED 1. MS Office excel 2007. 2. Gretl.

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CHAPTER - 4 DATA ANALYSIS AND INTERPRETAION

First we have to check that data are stationary or not. For that we are taking only one company with reference to closing price. The below table shows time series plot of the closing price of SBI. Diagram 4.1 Time Series Plot for SBI (Close Price)

From the above time series data for SBI which is calculated on closing price show that the data are not stationary. And this for the all the company for all the year. Now we run the ADF test for same company that is SBI. Augmented Dicker-Fuller tests, for SBI Sample size 1236 Unit-root null hypothesis: a = 1 Test with constant Model: (1 - L)y = b0 + (a-1)*y(-1) + ... + e 1st-order autocorrelation coeff. For e: -0.000

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Estimated value of (a - 1): -0.00487051 Test statistic: tau_c(1) = -1.78962 Asymptotic p-value 0.3861

With constant and trend Model: (1 - L)y = b0 + b1*t + (a-1)*y(-1) + ... + e 1st-order autocorrelation coeff. For e: -0.000 Estimated value of (a - 1): -0.00584899 Test statistic: tau_ct(1) = -2.085 Asymptotic p-value 0.5537 As we see from above figure that is p=0.3861 which is not significant for the test and greater than 0.05. So we have to do data transformation for all company on the daily return basis. The time series plot diagram for SBI is given below on the basis of daily return. Diagram 4.2 Time Series Plot for SBI (Stock Return)

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As we see from above diagram that data are in the form of stationary on the basis of daily return. Now we run the ADF test for SBI company which is given below, Augmented Dicker-Fuller tests, for Stock Return Sample size 1236 Unit-root null hypothesis: a = 1 Test with constant Model: (1 - L)y = b0 + (a-1)*y(-1) + ... + e 1st-order autocorrelation coeff. For e: -0.000 Estimated value of (a - 1): -0.947631 Test statistic: tau_c(1) = -24.6201 Asymptotic p-value 3.48e-052

With constant and trend Model: (1 - L)y = b0 + b1*t + (a-1)*y(-1) + ... + e 1st-order auto correlation coeff. For e: -0.000 Estimated value of (a - 1): -0.94765 Test statistic: tau_ct(1) = -24.6103 Asymptotic p-value 6.389e-058 As we see that the p value is 3.48e-052 that it is less than 0.05 and from that we can conclude that data for SBI company is stationary and it is same for all companies for all years.

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Second step is run the regression on stationary data. For that following formula can be used,

Yi =

 +  + + + u
1 2
3 4 5

Where, Yi= (average) daily returns for the company.

 = Friday.  = Monday  = Tuesday


1 2 3

= Wednesday

 = Thursday
5

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Table 4.1 Dummy Variable Analysis of Glaxosmi (5 Years)


Regression Statistics Multiple R 0.106050137 R Square 0.011246632 Adjusted R Square 0.008031174 Standard Error 0.019901021 Observations 1235 ANOVA df Regression Residual Total 4 1230 1234 SS MS F 0.005541028 0.001385257 3.497676298 0.487142266 0.000396051 0.492683294 t Stat 2.847144132 -3.511570526 -1.100296908 -1.245332364 -0.711869207 P-value 0.004484661 0.000461597 0.271418068 0.213246789 0.476680765

Intercept Monday Tuesday Wednesday Thursday

Coefficients Standard Error 0.00363481 0.001276651 -0.006327039 0.001801769 -0.00197848 0.001798133 -0.002230407 0.001791013 -0.001277483 0.001794548

The above table shows the Dummy Variable analysis for Glaxosmi for 5 years since 2006 to 2011. The p-value of Monday is significant at 95% confidence level, whereas it is not significant for any other day. The p-value for Monday is 0.000462, which is less than 0.05. Thus we can infer that there is statistically significant difference between the average daily return of Reference day (Friday) and that of Monday. The average daily return of Friday is 0.003635 (intercept), while the average daily return for Monday is 0.00269 (Intercept + Co-efficient of Monday). Thus the average daily return of Monday is -0.00633 (Co-efficient of Monday) less than that of Friday.

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Table 4.2 Dummy Variable Analysis of RIL (5 Years)


Regression Statistics Multiple R 0.077765797 R Square 0.006047519 Adjusted R Square 0.002817779 Standard Error 0.030076361 Observations 1236 ANOVA df Regression Residual Total 4 1231 1235 SS MS F 0.006775171 0.001693793 1.872447684 1.113547236 0.000904588 1.120322407 t Stat P-value 0.657898253 0.510726519 -0.117438644 0.90653162 -0.146424951 0.883609906 0.800132436 0.42378845 -1.831942743 0.067201445

Intercept Monday Tuesday Wednesday Thursday

Coefficients Standard Error 0.001269349 0.001929399 -0.000319463 0.002720251 -0.000397912 0.002717514 0.002165762 0.002706754 -0.004968404 0.002712096

The above table shows the Dummy Variable analysis for RIL for 5 years since 2006 to 2011. The p-value of Thursday is significant at 90% confidence level, whereas it is not significant for any other day. The p-value for Thursday is 0.06720, which is more than 0.05 but less than 0.10. Thus we can infer that there is statistically significant difference between the average daily return of Reference day (Friday) and that of Thursday. The average daily return of Friday is 0.001269 (intercept), while the average daily return for Thursday is-0.003699 (Intercept + Co-efficient of Thursday). Thus the average daily return of Thursday is -0.004968 (Co-efficient of Thursday) less than that of Friday.

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Table 4.3 Dummy Variable Analysis of Glaxosmi (Year 2007)


Regression Statistics Multiple R 0.199282975 R Square 0.039713704 Adjusted R Square 0.023971306 Standard Error 0.018677527 Observations 249 ANOVA df Regression Residual Total 4 244 248 SS MS F 0.003520207 0.000880052 2.522722605 0.085119402 0.00034885 0.08863961 t Stat 1.991353078 -2.786533061 -1.442816327 -0.247975691 -0.857871013 P-value 0.047557148 0.005746352 0.150354703 0.804361774 0.391805558

Intercept Monday Tuesday Wednesday Thursday

Coefficients Standard Error 0.005368427 0.002695869 -0.010417447 0.003738497 -0.005529969 0.00383276 -0.000935914 0.003774216 -0.003207149 0.003738497

The above table shows the Dummy Variable analysis for Glaxosmi for year 2007. The p-value of Monday is significant at 95% confidence level, whereas it is not significant for any other day. The p-value for Monday is 0.005746, which is less than 0.05. Thus we can infer that there is statistically significant difference between the average daily return of Reference day (Friday) and that of Monday. The average daily return of Friday is 0.005368 (intercept), while the average daily returns for Monday is0.00504902(Intercept + Co-efficient of Monday). Thus the average daily return of Monday is -0.010417 (Co-efficient of Monday) less than that of Friday.

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Table 4.4 Dummy Variable Analysis of Glaxosmi (Year 2011)


Regression Statistics Multiple R 0.356764742 R Square 0.127281081 Adjusted R Square 0.077411429 Standard Error 0.013971746 Observations 75 ANOVA df Regression Residual Total 4 70 74 SS MS F 0.001992915 0.000498229 2.552275281 0.013664677 0.00019521 0.015657593 t Stat P-value -0.87701911 0.383476273 1.398373587 0.16641561 2.410744325 0.018549062 0.007515954 0.994024572 -0.172731499 0.86336095

Intercept Monday Tuesday Wednesday Thursday

Coefficients Standard Error -0.003163837 0.003607489 0.007021811 0.005021412 0.012299039 0.00510176 3.90233E-05 0.005192064 -0.000881235 0.00510176

The above table shows the Dummy Variable analysis for Glaxosmi for year 2011. The p-value of Monday is significant at 95% confidence level, whereas it is not significant for any other day. The p-value for Tuesday is 0.01855, which is less than 0.05. Thus we can infer that there is statistically significant difference between the average daily return of Reference day (Friday) and that of Tuesday. The average daily return of Friday is -0.003164 (intercept), while the average daily return for Tuesday is 0.009135 (Intercept + Co-efficient of Tuesday). Thus the average daily return of Tuesday is 0.012299 (Co-efficient of Tuesday) more than that of Friday.

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Table 4.5 Dummy Variable Analysis of RIL (Year 2011)


Regression Statistics Multiple R 0.347884633 R Square 0.121023718 Adjusted R Square 0.070796502 Standard Error 0.01514071 Observations 75 ANOVA df Regression Residual Total 4 70 74 SS MS 0.002209448 0.000552362 0.016046877 0.000229241 0.018256325 t Stat -1.974283007 1.283287434 2.189164052 2.736265393 0.744573423 F 2.4095247

Intercept Monday Tuesday Wednesday Thursday

Coefficients Standard Error -0.007718093 0.003909314 0.006983054 0.005441535 0.012103025 0.005528606 0.0153955 0.005626465 0.004116453 0.005528606

P-value 0.052296229 0.203623712 0.031921642 0.007869281 0.459022069

The above table shows the Dummy Variable analysis for RIL for year 2011. The p-value of Tuesday and Wednesday is significant at 95% confidence level, whereas it is not significant for any other day. The p-value for Tuesday is 0.031922 and Wednesday is 0.0079, which is less than 0.05. Thus we can infer that there is statistically significant difference between the average daily return of Reference day (Friday) and that of Tuesday and Wednesday. The average daily return of Friday is -0.00772 (intercept), while the average daily return for Tuesday is0.004384 (Intercept + Co-efficient of Tuesday). And the average daily return for Wednesday is 0.007677 (Intercept + Co-efficient of Wednesday).Thus the average daily return of Tuesday is 0.012103 and Wednesday is 0.01540 (Co-efficient of Tuesday and Wednesday) more than that of Friday.

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Table 4.6 Dummy Variable Analysis of Glaxosmi (Year 2008)


Regression Statistics Multiple R 0.177072006 R Square 0.031354495 Adjusted R Square 0.015277392 Standard Error 0.024209447 Observations 246 ANOVA df Regression Residual Total 4 241 245 SS MS F 0.004572163 0.001143041 1.950257689 0.141249454 0.000586097 0.145821617 t Stat 0.962651278 -1.938696679 0.188654292 -1.749681706 -0.608518418 P-value 0.336687442 0.053705858 0.850522544 0.08144604 0.543416795

Intercept Monday Tuesday Wednesday Thursday

Coefficients Standard Error 0.003329322 0.003458492 -0.009434726 0.00486653 0.000909311 0.004819987 -0.008433443 0.004819987 -0.003078366 0.005058788

The above table shows the Dummy Variable analysis for Glaxosmi for year 2008. The p-value of Monday and Wednesday is significant at 90% confidence level, whereas it is not significant for any other day. The p-value for Monday is 0.05371 and Wednesday is 0.08145, which is more than 0.05 but less than 0.10. Thus we can infer that there is statistically significant difference between the average daily return of Reference day (Friday) and that of Monday and Wednesday. The average daily return of Friday is 0.003329 (intercept), while the average daily return for Monday is 0.00611(Intercept + Co-efficient of Monday). And the average daily return for Wednesday is -0.0051 (Intercept + Co-efficient of Wednesday).Thus the average daily return of Monday is -0.00943 and Wednesday is -0.00843 (Coefficient of Tuesday and Wednesday) less than that of Friday.

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CHAPTER - 5 RESULTS AND FINDINGS


For results and findings we are taking companies overall data for finding out the day effect with using dummy variable analysis. Table 5.1 Dummy Variable Analysis of Large Cap
Company Name Monday Tuesday Wednesday Thursday SBI TCS LTD RIL ONGC INFOSYS No No No No No No No No No No No No No No No No No -0.00369 No No Friday 0.002693 -0.00106 0.001269 -0.0006 -0.00015

The table above shows the summarized Day of the Week effect for the Large Cap companies for over all Dummy Variable analysis. Friday is the Reference day and the figures in the column shows the average return for that particular day. No in the table indicated that no Day effect was found. While the figure in any of the day shows the Day effect for that particular day for that respective company, and the value shows the average daily return for the same. Table 5.2 Dummy Variable Analysis of Mid Cap
Company Name Bhush Steel Petronet TATA Chemical Glaxosmi Dhanlaxmi Bank Monday No No No -0.00269 No Tuesday Wednesday Thursday No No No No No No No No No No No No No No No Friday 0.00097 0.003054 -0.00112 0.003634 0.00485

The table above shows the summarized Day of the Week effect for the Mid Cap companies for over all Dummy Variable analysis. Friday is the Reference day and the figures in the column shows the average return for that particular day. No in the table indicated that no Day effect was found. While the figure in any of the day shows the Day effect for that 2011 Page 40

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particular day for that respective company, and the value shows the average daily return for the same.

Table 5.3 Dummy Variable Analysis of Small Cap


Company Name Monday Tuesday Wednesday Thursday Arvind Ltd Hexaware Shri Infra VIP industry United Pho No No No No No No No No No No No No No No No No No No No No Friday -0.00091 -0.00051 0.001464 -0.00039 0.001339

The table above shows the summarized Day of the Week effect for the Small Cap companies for over all Dummy Variable analysis. Friday is the Reference day and the figures in the column shows the average return for that particular day. No in the table indicated that no Day effect was found. While the figure in any of the day shows the Day effect for that particular day for that respective company, and the value shows the average daily return for the same.

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Table 5.4 Dummy Variable Analysis of All Companies (Yearly)


Company Name Glaxosmi RIL Year 2007 2008 2011 2011 Indicators Monday -0.0050 -0.0061 No No Tuesday No No 0.00913 0.00439 Wednesday No -0.0051 No 0.0077 Thursday No No No No Friday 0.0053 0.0033 -0.003 -0.007

Midcap Largecap

The table above shows the summarized Day of the Week effect for the year wise for all year for all Dummy Variable analysis. Friday is the Reference day and the figures in the column shows the average return for that particular day. No in the table indicated that no Day effect was found. While the figure in any of the day shows the Day effect for that particular day for that respective company, and the value shows the average daily return for the same.

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CHAPTER - 6 LIMITATIONS OF THE SUTDY

The limitations of the study is that, 1. The study is restricted to BSE. 2. Only 5 years data has been used in the research.

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CHAPTER - 7 CONCLUSION
The research examined the day of the week effect anomaly in India stock market for the period from 2006 to 2011 using dummy variables analysis. The research is based on top 5 companies of Large Cap, Mid Cap and Small Cap each from the Bombay Stock Exchange (BSE). The study used the Daily Return data of the stocks listed on National Stock Exchange and Bombay Stock Exchange Index for the period of 2006 to 2011 for analysis to find out the day of the week effect. From the dummy variable analysis we conclude that the Indian Stock market is not efficient for semi - strong form of efficient market hypothesis.

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CHAPTER 8 BIBLIOGRAPHY
1. Nath G & Dalvi M (2004), DAY OF THE WEEK EFFECT AND MARKET EFFICIENCY EVIDENCE FROM INDIAN EQUITY MARKET USING HIGH FREQUENCY DATA OF NATIONAL STOCK EXCHANGE. 2. Giovanis E (2009), CALENDAR EFFECTS IN 55 STOCK MARKET INDICES. 3. Dr.Elango R & Macki N (2008), MONDAY EFFECT AND STOCK RETURN SEASONALITY. 4. Das S & Arora V (2007), DAY OF THE WEEK EFFECTS IN NSE STOCK RETURNS. 5. Selvarani M & Jenefa L, CALENDAR ANOMALIES IN NSE INDICES. 6. Damodar N & Gujarati S (2009), BASIC ECONOMETRICS, 4TH ED, MCGRAW HILL, NEW DELHI, PAGE NO. 297-324. 7. RUBIN D & LEVIN R, STATISTICS OF MANAGEMENT, 7TH ED, PEARSON. 8. Chia R & Liew V, EVIDENCE ON THE DAY OF THE WEEK EFFECT IN ASYMMETRIC BEHAVIOUR IN BSE 9. http://www.bseindia.com/mktlive/mktwatch.asp stocks) 10. http://www.bseindia.com/stockinfo/stockprc2.aspx?scripcode=5003 25&fromDate=24/04/2006&toDate=24/04/2011&strDMY=D closing price data) ( for (for selection of

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