Settlement cycle and day of the week anomaly: empirical evidence from Indian stock market

Abstract Indian stock market was functioning with Accounting Period settlement cycle till December 31, 2001. But as per the recommendation of G-30 which was a group to determine the best international practices for securities clearing and settlements, Indian stock market has adopted T+2 rolling sett...
Ausführliche Beschreibung

Gespeichert in:

Autor*in:	Patel, Samveg A. [verfasserIn] Mallikarjun, M.

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	2014

Schlagwörter:	Day of the week effect Settlement cycle GARCH model

Anmerkung:	© Indian Institute of Management Calcutta 2014

Übergeordnetes Werk:	Enthalten in: Decision - [S.l.] : Springer India, 2004, 41(2014), 3 vom: 25. Mai, Seite 327-337
Übergeordnetes Werk:	volume:41 ; year:2014 ; number:3 ; day:25 ; month:05 ; pages:327-337

Links:	Volltext

DOI / URN:	10.1007/s40622-014-0050-4

Katalog-ID:	SPR036891568

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520			\|a Abstract Indian stock market was functioning with Accounting Period settlement cycle till December 31, 2001. But as per the recommendation of G-30 which was a group to determine the best international practices for securities clearing and settlements, Indian stock market has adopted T+2 rolling settlement cycle on April 1, 2003. Difference of settlement and clearing cycles of different stock exchanges might lead to the day of the week anomaly. Day anomaly in return and volatility of stock market was found to be affected by settlement cycle, and it changes over the period of time. Therefore, present study tries to investigate the effect of introduction of T+2 settlement cycle on day of the week anomaly in return and volatility of Indian stock market. Study analyzes daily closing price data of Sensex and Nifty over the period January 2, 1991 to January 31, 2013 covering 5,763 samples. Study computes descriptive statistics of each week days for both subperiods as well as for complete sample period. It also applies GARCH (1, 1) model for investigating the presence of day of the week effect in both return and volatility of Indian stock market. Empirical result reveals that before introduction of T+2 settlement, returns of Monday and Thursday were negative, while after the introduction of T+2 settlement, returns of all days are positive. By applying GARCH model, this study concludes that after the introduction of T+2 settlement, day of the week effect exists only in return of Indian stock market, but it does not exist in volatility of Indian stock market.
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publishDate	2014
allfields	10.1007/s40622-014-0050-4 doi (DE-627)SPR036891568 (SPR)s40622-014-0050-4-e DE-627 ger DE-627 rakwb eng Patel, Samveg A. verfasserin aut Settlement cycle and day of the week anomaly: empirical evidence from Indian stock market 2014 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © Indian Institute of Management Calcutta 2014 Abstract Indian stock market was functioning with Accounting Period settlement cycle till December 31, 2001. But as per the recommendation of G-30 which was a group to determine the best international practices for securities clearing and settlements, Indian stock market has adopted T+2 rolling settlement cycle on April 1, 2003. Difference of settlement and clearing cycles of different stock exchanges might lead to the day of the week anomaly. Day anomaly in return and volatility of stock market was found to be affected by settlement cycle, and it changes over the period of time. Therefore, present study tries to investigate the effect of introduction of T+2 settlement cycle on day of the week anomaly in return and volatility of Indian stock market. Study analyzes daily closing price data of Sensex and Nifty over the period January 2, 1991 to January 31, 2013 covering 5,763 samples. Study computes descriptive statistics of each week days for both subperiods as well as for complete sample period. It also applies GARCH (1, 1) model for investigating the presence of day of the week effect in both return and volatility of Indian stock market. Empirical result reveals that before introduction of T+2 settlement, returns of Monday and Thursday were negative, while after the introduction of T+2 settlement, returns of all days are positive. By applying GARCH model, this study concludes that after the introduction of T+2 settlement, day of the week effect exists only in return of Indian stock market, but it does not exist in volatility of Indian stock market. Day of the week effect (dpeaa)DE-He213 Settlement cycle (dpeaa)DE-He213 GARCH model (dpeaa)DE-He213 Mallikarjun, M. aut Enthalten in Decision [S.l.] : Springer India, 2004 41(2014), 3 vom: 25. Mai, Seite 327-337 (DE-627)491442440 (DE-600)2194154-3 2197-1722 nnns volume:41 year:2014 number:3 day:25 month:05 pages:327-337 https://dx.doi.org/10.1007/s40622-014-0050-4 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_266 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2070 GBV_ILN_2086 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2116 GBV_ILN_2118 GBV_ILN_2119 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 AR 41 2014 3 25 05 327-337
spelling	10.1007/s40622-014-0050-4 doi (DE-627)SPR036891568 (SPR)s40622-014-0050-4-e DE-627 ger DE-627 rakwb eng Patel, Samveg A. verfasserin aut Settlement cycle and day of the week anomaly: empirical evidence from Indian stock market 2014 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © Indian Institute of Management Calcutta 2014 Abstract Indian stock market was functioning with Accounting Period settlement cycle till December 31, 2001. But as per the recommendation of G-30 which was a group to determine the best international practices for securities clearing and settlements, Indian stock market has adopted T+2 rolling settlement cycle on April 1, 2003. Difference of settlement and clearing cycles of different stock exchanges might lead to the day of the week anomaly. Day anomaly in return and volatility of stock market was found to be affected by settlement cycle, and it changes over the period of time. Therefore, present study tries to investigate the effect of introduction of T+2 settlement cycle on day of the week anomaly in return and volatility of Indian stock market. Study analyzes daily closing price data of Sensex and Nifty over the period January 2, 1991 to January 31, 2013 covering 5,763 samples. Study computes descriptive statistics of each week days for both subperiods as well as for complete sample period. It also applies GARCH (1, 1) model for investigating the presence of day of the week effect in both return and volatility of Indian stock market. Empirical result reveals that before introduction of T+2 settlement, returns of Monday and Thursday were negative, while after the introduction of T+2 settlement, returns of all days are positive. By applying GARCH model, this study concludes that after the introduction of T+2 settlement, day of the week effect exists only in return of Indian stock market, but it does not exist in volatility of Indian stock market. Day of the week effect (dpeaa)DE-He213 Settlement cycle (dpeaa)DE-He213 GARCH model (dpeaa)DE-He213 Mallikarjun, M. aut Enthalten in Decision [S.l.] : Springer India, 2004 41(2014), 3 vom: 25. Mai, Seite 327-337 (DE-627)491442440 (DE-600)2194154-3 2197-1722 nnns volume:41 year:2014 number:3 day:25 month:05 pages:327-337 https://dx.doi.org/10.1007/s40622-014-0050-4 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_266 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2070 GBV_ILN_2086 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2116 GBV_ILN_2118 GBV_ILN_2119 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 AR 41 2014 3 25 05 327-337
allfields_unstemmed	10.1007/s40622-014-0050-4 doi (DE-627)SPR036891568 (SPR)s40622-014-0050-4-e DE-627 ger DE-627 rakwb eng Patel, Samveg A. verfasserin aut Settlement cycle and day of the week anomaly: empirical evidence from Indian stock market 2014 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © Indian Institute of Management Calcutta 2014 Abstract Indian stock market was functioning with Accounting Period settlement cycle till December 31, 2001. But as per the recommendation of G-30 which was a group to determine the best international practices for securities clearing and settlements, Indian stock market has adopted T+2 rolling settlement cycle on April 1, 2003. Difference of settlement and clearing cycles of different stock exchanges might lead to the day of the week anomaly. Day anomaly in return and volatility of stock market was found to be affected by settlement cycle, and it changes over the period of time. Therefore, present study tries to investigate the effect of introduction of T+2 settlement cycle on day of the week anomaly in return and volatility of Indian stock market. Study analyzes daily closing price data of Sensex and Nifty over the period January 2, 1991 to January 31, 2013 covering 5,763 samples. Study computes descriptive statistics of each week days for both subperiods as well as for complete sample period. It also applies GARCH (1, 1) model for investigating the presence of day of the week effect in both return and volatility of Indian stock market. Empirical result reveals that before introduction of T+2 settlement, returns of Monday and Thursday were negative, while after the introduction of T+2 settlement, returns of all days are positive. By applying GARCH model, this study concludes that after the introduction of T+2 settlement, day of the week effect exists only in return of Indian stock market, but it does not exist in volatility of Indian stock market. Day of the week effect (dpeaa)DE-He213 Settlement cycle (dpeaa)DE-He213 GARCH model (dpeaa)DE-He213 Mallikarjun, M. aut Enthalten in Decision [S.l.] : Springer India, 2004 41(2014), 3 vom: 25. Mai, Seite 327-337 (DE-627)491442440 (DE-600)2194154-3 2197-1722 nnns volume:41 year:2014 number:3 day:25 month:05 pages:327-337 https://dx.doi.org/10.1007/s40622-014-0050-4 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_266 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2070 GBV_ILN_2086 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2116 GBV_ILN_2118 GBV_ILN_2119 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 AR 41 2014 3 25 05 327-337
allfieldsGer	10.1007/s40622-014-0050-4 doi (DE-627)SPR036891568 (SPR)s40622-014-0050-4-e DE-627 ger DE-627 rakwb eng Patel, Samveg A. verfasserin aut Settlement cycle and day of the week anomaly: empirical evidence from Indian stock market 2014 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © Indian Institute of Management Calcutta 2014 Abstract Indian stock market was functioning with Accounting Period settlement cycle till December 31, 2001. But as per the recommendation of G-30 which was a group to determine the best international practices for securities clearing and settlements, Indian stock market has adopted T+2 rolling settlement cycle on April 1, 2003. Difference of settlement and clearing cycles of different stock exchanges might lead to the day of the week anomaly. Day anomaly in return and volatility of stock market was found to be affected by settlement cycle, and it changes over the period of time. Therefore, present study tries to investigate the effect of introduction of T+2 settlement cycle on day of the week anomaly in return and volatility of Indian stock market. Study analyzes daily closing price data of Sensex and Nifty over the period January 2, 1991 to January 31, 2013 covering 5,763 samples. Study computes descriptive statistics of each week days for both subperiods as well as for complete sample period. It also applies GARCH (1, 1) model for investigating the presence of day of the week effect in both return and volatility of Indian stock market. Empirical result reveals that before introduction of T+2 settlement, returns of Monday and Thursday were negative, while after the introduction of T+2 settlement, returns of all days are positive. By applying GARCH model, this study concludes that after the introduction of T+2 settlement, day of the week effect exists only in return of Indian stock market, but it does not exist in volatility of Indian stock market. Day of the week effect (dpeaa)DE-He213 Settlement cycle (dpeaa)DE-He213 GARCH model (dpeaa)DE-He213 Mallikarjun, M. aut Enthalten in Decision [S.l.] : Springer India, 2004 41(2014), 3 vom: 25. Mai, Seite 327-337 (DE-627)491442440 (DE-600)2194154-3 2197-1722 nnns volume:41 year:2014 number:3 day:25 month:05 pages:327-337 https://dx.doi.org/10.1007/s40622-014-0050-4 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_266 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2070 GBV_ILN_2086 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2116 GBV_ILN_2118 GBV_ILN_2119 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 AR 41 2014 3 25 05 327-337
allfieldsSound	10.1007/s40622-014-0050-4 doi (DE-627)SPR036891568 (SPR)s40622-014-0050-4-e DE-627 ger DE-627 rakwb eng Patel, Samveg A. verfasserin aut Settlement cycle and day of the week anomaly: empirical evidence from Indian stock market 2014 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © Indian Institute of Management Calcutta 2014 Abstract Indian stock market was functioning with Accounting Period settlement cycle till December 31, 2001. But as per the recommendation of G-30 which was a group to determine the best international practices for securities clearing and settlements, Indian stock market has adopted T+2 rolling settlement cycle on April 1, 2003. Difference of settlement and clearing cycles of different stock exchanges might lead to the day of the week anomaly. Day anomaly in return and volatility of stock market was found to be affected by settlement cycle, and it changes over the period of time. Therefore, present study tries to investigate the effect of introduction of T+2 settlement cycle on day of the week anomaly in return and volatility of Indian stock market. Study analyzes daily closing price data of Sensex and Nifty over the period January 2, 1991 to January 31, 2013 covering 5,763 samples. Study computes descriptive statistics of each week days for both subperiods as well as for complete sample period. It also applies GARCH (1, 1) model for investigating the presence of day of the week effect in both return and volatility of Indian stock market. Empirical result reveals that before introduction of T+2 settlement, returns of Monday and Thursday were negative, while after the introduction of T+2 settlement, returns of all days are positive. By applying GARCH model, this study concludes that after the introduction of T+2 settlement, day of the week effect exists only in return of Indian stock market, but it does not exist in volatility of Indian stock market. Day of the week effect (dpeaa)DE-He213 Settlement cycle (dpeaa)DE-He213 GARCH model (dpeaa)DE-He213 Mallikarjun, M. aut Enthalten in Decision [S.l.] : Springer India, 2004 41(2014), 3 vom: 25. Mai, Seite 327-337 (DE-627)491442440 (DE-600)2194154-3 2197-1722 nnns volume:41 year:2014 number:3 day:25 month:05 pages:327-337 https://dx.doi.org/10.1007/s40622-014-0050-4 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_266 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2070 GBV_ILN_2086 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2116 GBV_ILN_2118 GBV_ILN_2119 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 AR 41 2014 3 25 05 327-337
language	English
source	Enthalten in Decision 41(2014), 3 vom: 25. Mai, Seite 327-337 volume:41 year:2014 number:3 day:25 month:05 pages:327-337
sourceStr	Enthalten in Decision 41(2014), 3 vom: 25. Mai, Seite 327-337 volume:41 year:2014 number:3 day:25 month:05 pages:327-337
format_phy_str_mv	Article
institution	findex.gbv.de
topic_facet	Day of the week effect Settlement cycle GARCH model
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container_title	Decision
authorswithroles_txt_mv	Patel, Samveg A. @@aut@@ Mallikarjun, M. @@aut@@
publishDateDaySort_date	2014-05-25T00:00:00Z
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But as per the recommendation of G-30 which was a group to determine the best international practices for securities clearing and settlements, Indian stock market has adopted T+2 rolling settlement cycle on April 1, 2003. Difference of settlement and clearing cycles of different stock exchanges might lead to the day of the week anomaly. Day anomaly in return and volatility of stock market was found to be affected by settlement cycle, and it changes over the period of time. Therefore, present study tries to investigate the effect of introduction of T+2 settlement cycle on day of the week anomaly in return and volatility of Indian stock market. Study analyzes daily closing price data of Sensex and Nifty over the period January 2, 1991 to January 31, 2013 covering 5,763 samples. Study computes descriptive statistics of each week days for both subperiods as well as for complete sample period. 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author	Patel, Samveg A.
spellingShingle	Patel, Samveg A. misc Day of the week effect misc Settlement cycle misc GARCH model Settlement cycle and day of the week anomaly: empirical evidence from Indian stock market
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topic_title	Settlement cycle and day of the week anomaly: empirical evidence from Indian stock market Day of the week effect (dpeaa)DE-He213 Settlement cycle (dpeaa)DE-He213 GARCH model (dpeaa)DE-He213
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title	Settlement cycle and day of the week anomaly: empirical evidence from Indian stock market
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title_full	Settlement cycle and day of the week anomaly: empirical evidence from Indian stock market
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title_sort	settlement cycle and day of the week anomaly: empirical evidence from indian stock market
title_auth	Settlement cycle and day of the week anomaly: empirical evidence from Indian stock market
abstract	Abstract Indian stock market was functioning with Accounting Period settlement cycle till December 31, 2001. But as per the recommendation of G-30 which was a group to determine the best international practices for securities clearing and settlements, Indian stock market has adopted T+2 rolling settlement cycle on April 1, 2003. Difference of settlement and clearing cycles of different stock exchanges might lead to the day of the week anomaly. Day anomaly in return and volatility of stock market was found to be affected by settlement cycle, and it changes over the period of time. Therefore, present study tries to investigate the effect of introduction of T+2 settlement cycle on day of the week anomaly in return and volatility of Indian stock market. Study analyzes daily closing price data of Sensex and Nifty over the period January 2, 1991 to January 31, 2013 covering 5,763 samples. Study computes descriptive statistics of each week days for both subperiods as well as for complete sample period. It also applies GARCH (1, 1) model for investigating the presence of day of the week effect in both return and volatility of Indian stock market. Empirical result reveals that before introduction of T+2 settlement, returns of Monday and Thursday were negative, while after the introduction of T+2 settlement, returns of all days are positive. By applying GARCH model, this study concludes that after the introduction of T+2 settlement, day of the week effect exists only in return of Indian stock market, but it does not exist in volatility of Indian stock market. © Indian Institute of Management Calcutta 2014
abstractGer	Abstract Indian stock market was functioning with Accounting Period settlement cycle till December 31, 2001. But as per the recommendation of G-30 which was a group to determine the best international practices for securities clearing and settlements, Indian stock market has adopted T+2 rolling settlement cycle on April 1, 2003. Difference of settlement and clearing cycles of different stock exchanges might lead to the day of the week anomaly. Day anomaly in return and volatility of stock market was found to be affected by settlement cycle, and it changes over the period of time. Therefore, present study tries to investigate the effect of introduction of T+2 settlement cycle on day of the week anomaly in return and volatility of Indian stock market. Study analyzes daily closing price data of Sensex and Nifty over the period January 2, 1991 to January 31, 2013 covering 5,763 samples. Study computes descriptive statistics of each week days for both subperiods as well as for complete sample period. It also applies GARCH (1, 1) model for investigating the presence of day of the week effect in both return and volatility of Indian stock market. Empirical result reveals that before introduction of T+2 settlement, returns of Monday and Thursday were negative, while after the introduction of T+2 settlement, returns of all days are positive. By applying GARCH model, this study concludes that after the introduction of T+2 settlement, day of the week effect exists only in return of Indian stock market, but it does not exist in volatility of Indian stock market. © Indian Institute of Management Calcutta 2014
abstract_unstemmed	Abstract Indian stock market was functioning with Accounting Period settlement cycle till December 31, 2001. But as per the recommendation of G-30 which was a group to determine the best international practices for securities clearing and settlements, Indian stock market has adopted T+2 rolling settlement cycle on April 1, 2003. Difference of settlement and clearing cycles of different stock exchanges might lead to the day of the week anomaly. Day anomaly in return and volatility of stock market was found to be affected by settlement cycle, and it changes over the period of time. Therefore, present study tries to investigate the effect of introduction of T+2 settlement cycle on day of the week anomaly in return and volatility of Indian stock market. Study analyzes daily closing price data of Sensex and Nifty over the period January 2, 1991 to January 31, 2013 covering 5,763 samples. Study computes descriptive statistics of each week days for both subperiods as well as for complete sample period. It also applies GARCH (1, 1) model for investigating the presence of day of the week effect in both return and volatility of Indian stock market. Empirical result reveals that before introduction of T+2 settlement, returns of Monday and Thursday were negative, while after the introduction of T+2 settlement, returns of all days are positive. By applying GARCH model, this study concludes that after the introduction of T+2 settlement, day of the week effect exists only in return of Indian stock market, but it does not exist in volatility of Indian stock market. © Indian Institute of Management Calcutta 2014
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title_short	Settlement cycle and day of the week anomaly: empirical evidence from Indian stock market
url	https://dx.doi.org/10.1007/s40622-014-0050-4
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author2	Mallikarjun, M.
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doi_str	10.1007/s40622-014-0050-4
up_date	2024-07-03T20:13:01.177Z
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