Day-of-the-week effects on the Bombay stock exchange

Abstract

We examine day-of-the-week effects on the Bombay Stock Exchange (BSE) during the period 1991-1996. We find evidence of (heteroskedasticity adjusted) excess positive returns on Friday and excess negative returns on Tuesday. The excess (negative) returns on Tuesdays are largely due to the returns in the post March 1994 period. The excess (positive) Friday returns are related to firm size. Interestingly, both Badla and non-Badla stocks (Badla is a feature that allows for postponement of settlement) experience similar day-of-the-week effects indicating that the practice of Badla, per se y dues not have any special influence on the day-of-the-week effects.