Abstract
This paper has been empirically investigated the existence of the day‐of‐the‐week effect by using closing daily data for Nifty 50, Nifty 50 Midcap, Nifty 100, Nifty 100 Midcap, Nifty 100 Smallcap, and Nifty 200 for before and during the COVID‐19 health crisis. This study used secondary data for all indices over the period 1 April 2005–14 May 2020. The present study used both dummy variable regression and the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model. The total study period is divided into two sub‐periods, that is, during and before the COVID‐19 health crisis. A negative return is found for Mondays when the during‐COVID‐19 health crisis period is examined; in contrast, it was positive for the before COVID‐19 period. Tuesday's effect on index return is found statistically significant and positive for all indices during the COVID‐19 crisis.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
