Day-of-The-Week Effects and Volatility Clustering in Banking Stocks: GARCH-Based Evidence from India’s Emerging Market
Abstract
Understanding anomalies in stock markets, including day-of-the-week effects, is crucial for developing a comprehensive view of market behaviour and efficiency. It highlights the complex interplay between rational economic principles and behavioural factors in shaping financial markets. In this context, the present study evaluates how weekday patterns affect the daily market dynamics of BSE Bankex (from June 23, 2003, to July 31, 2024) and Nifty Bank (from June 9, 2005, to July 31, 2024), employing Generalized Autoregressive Conditional Heteroskedasticity (GARCH), Fractionally Integrated GARCH (FIGARCH), Threshold GARCH (TGARCH), and Exponential GARCH (EGARCH) models. While overall returns do not exhibit significant weekday effects, the findings show a positive return on the baseline day (Monday), reduced volatility on Tuesdays, and elevated volatility levels on Fridays. The analysis also confirms robust volatility clustering driven by both past shocks and past volatility, along with leverage and long memory effects. The study concludes that Indian banking stock volatility shows strong day-of-the-week effects, most notably a “calm Tuesday and volatile Friday” pattern, alongside robust volatility clustering, persistence, leverage asymmetry, and long memory. Collectively, these results point towards the presence of persistent market reactions and potential inefficiencies in banking stock pricing, providing insights for investors seeking to capitalize on such inefficiencies and evidence for policymakers aiming to enhance financial market stability.
About this article
Keywords
- BSE Bankex
- Nifty Bank
- Day-of-the-Week
- Generalized Autoregressive Conditional Heteroskedasticity
References
Acharya, V.V., Pedersen, L.H., Philippon, T., & Richardson, M. (2017). Measuring systemic risk. The Review of Financial Studies, 30(1), 2-47. https://doi.org/10.1093/rfs/hhw088
Agarwalla, S. K., & Pandey, A. (2013). Expiration-day effects and the impact of short trading breaks on intraday volatility: Evidence from the In-dian market. The Journal of Futures Markets, 33(11), 1046–1070. https://doi.org/10.1002/fut.21632
Aggarwal, K., & Jha, M. K. (2023). Day-of-the-week effect and volatility in stock returns: Evidence from the Indian stock market. Managerial Fi-nance, 49(9), 1438-1452. https://doi.org/10.1108/MF-01-2023-0010
Agrawal, A. & Tandon, K. (1994). Anomalies or illusions? Evidence from stock markets in eighteen countries. Journal of International Money and Finance, 13(1), 83-106. https://doi.org/10.1016/0261-5606(94)90026-4
Ahmed, K., & Eskandar, A. T. (2009). Calendar anomalies and stock market volatility in selected Arab stock exchanges. Applied Financial Econom-ics, 19(11), 881-892. https://doi.org/10.1080/09603100802359976
View more references (134)
Akaike, H. (1974). A new look at the statistical model identification. In E. Parzen, K. Tanabe, & G. Kitagawa (Eds.), Selected papers of Hirotugu Akaike. Springer Series in Statistics. Springer, New York, NY. https://doi.org/10.1007/978-1-4612-1694-0_16
Alagidede, P. (2008). Day of the week seasonality in African stock markets. Applied Financial Economics Letters, 4(2), 115-120. https://doi.org/10.1080/17446540701537749
Alexakis, P., & Xanthakis, M. (1995). Day of the week effect on the Greek stock market. Applied Financial Economics, 5(1), 43-50. https://doi.org/10.1080/758527670
Al-Jafari, M. K. (2012). An empirical investigation of the day-of-the-week effect on stock returns and volatility: Evidence from Muscat Securities Market. International Journal of Economics and Finance, 4(7), 141-149. https://doi.org/10.5539/ijef.v4n7p141
Al-Khazali, O. M. (2008). The impact of thin trading on day-of-the-week effect: Evidence from the United Arab Emirates. Review of Accounting and Finance, 7(3), 270-284. https://doi.org/10.1108/14757700810898258
Al‐Khazali, O., Zoubi, T.A., & Koumanakos, E.P. (2010). The Saturday effect in emerging stock markets: A stochastic dominance approach. Inter-national Journal of Emerging Markets, 5(2), 227–246. https://doi.org/10.1108/17468801011032819
Ariel, R. A. (1987). A monthly effect in stock returns. Journal of Financial Economics, 18(1), 161-174. https://doi.org/10.1016/0304-405X(87)90066-3
Arora, H. (2018). Day of the week effect in returns and volatility of Nifty 50: An evidence using high frequency data. Pacific Business Review Inter-national, 10(8), 61-66. https://www.pbr.co.in/2018/Feb.aspx
Aziz, T., & Ansari, V. A. (2015). The day of the week effect: Evidence from India. Afro-Asian Journal of Finance and Accounting, 5(2), 99–112. https://doi.org/10.1504/AAJFA.2015.069886
Baillie, R., Bollerslev, T., & Mikkelsen, H. (1996). Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econ-ometrics, 74(1), 3-30. https://doi.org/10.1016/S0304-4076(95)01749-6
Bakar, A.A., Siganos, A., & Vagenas‐Nanos, E. (2014). Does mood explain the Monday effect? Journal of Forecasting, 33(6), 409–418. https://doi.org/10.1002/for.2305
Baker, H. K., Rahman, A., & Saadi, S. (2008). The day‐of‐the‐week effect and conditional volatility: Sensitivity of error distributional assumptions. Review of Financial Economics, 17(4), 280–295. https://doi.org/10.1016/j.rfe.2007.09.003
Balaban, E. (1995). Day of the week effects: New evidence from an emerging stock market. Applied Economics Letters, 2(5), 139–143. https://doi.org/10.1080/135048595357465
Banegas, A., Montes‐Rojas, G., & Siga, L. (2016). Mutual fund flows, monetary policy and financial stability. Finance and Economics Discussion Series, 2016-071, Washington: Board of Governors of the Federal Reserve System. https://doi.org/10.17016/feds.2016.071
Barberis, N., & Thaler, R. (2003). A survey of behavioral finance. Handbook of the Economics of Finance. Elsevier. 1, Part B, 1053-1128. https://doi.org/10.1016/S1574-0102(03)01027-6
Basher, S. A., & Sadorsky, P. (2006). Day-of-the-week effects in emerging stock markets. Applied Economics Letters, 13(10), 621-628. https://doi.org/10.1080/13504850600825238
Bassiouny, A., Kiryakos, M., & Tooma, E. (2023). Examining the adaptive market hypothesis with calendar effects: International evidence and the impact of COVID-19. Global Finance Journal, 56, 100777. https://doi.org/10.1016/j.gfj.2022.100777
Berument, H., & Kiymaz, H. (2001). The day of the week effect on stock market volatility. Journal of Economics and Finance, 25(2), 181-193. https://doi.org/10.1007/BF02744521
Bhanu, A., Nath, G. C., & Patnaik, T. (2024). Unlocking liquidity through shortened settlement cycle: Empirical evidence from India. Economics Letters, 239, 111736. https://doi.org/10.1016/j.econlet.2024.111736
Bhattacharya, K., Sarkar, N., & Mukhopadhyay, D. (2003). Stability of the day of the week effect in return and in volatility at the Indian capital market: A GARCH approach with proper mean specification. Applied Financial Economics, 13(8), 553–563. https://doi.org/10.1080/0960310021000020924
Birt, J., Joshi, M., & Kend, M. (2017). Segment reporting in a developing economy: The Indian banking sector. Asian Review of Accounting, 25(1), 127-147. https://doi.org/10.1108/ARA-06-2015-0064
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307-327. https://doi.org/10.1016/0304-4076(86)90063-1
Bollerslev, T. (1987). A conditionally heteroskedastic time series model for speculative prices and rates of return. The Review of Economics and Sta-tistics, 69(3), 542–547. https://doi.org/10.2307/1925546
Brooks, C., & Persand, G. (2001). Seasonality in Southeast Asian stock markets: Some new evidence on day-of-the-week effects. Applied Economics Letters, 8(3), 155-158. https://doi.org/10.1080/13504850150504504
Cai, J., Li, M., & Qi, Y. (2006). The day-of-the-week effect: New evidence from the Chinese stock market. The Chinese Economy, 39(2), 71-88, https://doi.org/10.2753/CES1097-1475390206
Caiado, J., & Lúcio, F. (2023). Stock market forecasting accuracy of asymmetric GARCH models during the COVID-19 pandemic. The North American Journal of Economics and Finance, 68, 101971. https://doi.org/10.1016/j.najef.2023.101971
Chang, E., Pinegar, J., & Ravichandran, R. (1993). International evidence on the robustness of the day-of-the-week effect. Journal of Financial and Quantitative Analysis, 28(4), 497. https://doi.org/10.2307/2331162
Chaouachi, O., & Douagi, F. W.B.M. (2014). Calendar effects in the Tunisian stock exchange. International Journal of Behavioural Accounting and Finance, 4(4), 281-289. https://doi.org/10.1504/IJBAF.2014.067593
Chen, H., & Singal, V. (2003). Role of speculative short sales in price formation: The case of the weekend effect. The Journal of Finance, 58(2), 685–705. https://doi.org/10.1111/1540-6261.00541
Chordia, T., & Swaminathan, B. (2000). Trading volume and cross-autocorrelations in stock returns. The Journal of Finance, 55(2), 913-935. https://doi.org/10.1111/0022-1082.00231
Choudhry, T. (2000). Day of the week effect in emerging Asian stock markets: Evidence from the GARCH model. Applied Financial Economics, 10(3), 235–242. https://doi.org/10.1080/096031000331653
Chowdhury, S., Rahman, M., & Sadique, M. (2015). Behaviour of stock return autocorrelation in the GCC stock markets. Global Business Review, 16(5), 737-746. https://doi.org/10.1177/0972150915591420
Cinko, M., & Avci, E. (2009). Examining the day of the week effect in Istanbul Stock Exchange (ISE). International Business & Economics Research Journal, 8(11). 45-50. https://doi.org/10.19030/iber.v8i11.3184
Conrad, J., Gultekin, M.N., & Kaul, G. (1997). Probability of Short-Term Contrarian Strategies: Implications for Market Efficiency. Journal of Busi-ness & Economic Statistics, 15(3), 379-386. https://doi.org/10.1080/07350015.1997.10524715
Cont, R. (2001). Empirical properties of asset returns: Stylized facts and statistical issues. Quantitative Finance, 1(2), 223–236. https://doi.org/10.1080/713665670
Cross, F. (1973). The behavior of stock prices on Fridays and Mondays. Financial Analysts Journal, 29(6), 67-69. https://doi.org/10.2469/faj.v29.n6.67
Das, N. M., & Rout, B. S. (2024). Equity price risk of commercial banks in India. Arthaniti: Journal of Economic Theory and Practice, 23(2), 179–201. https://doi.org/10.1177/09767479211057048
de Oliveira, A. M. B., Mandal, A., & Power, G. J. (2024). Impact of COVID-19 on stock indices volatility: Long-memory persistence, structural breaks, or both? Annals of Data Science, 11(2), 619–646. https://doi.org/10.1007/s40745-022-00446-0
Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statisti-cal Association, 74(366), 427–431. https://doi.org/10.2307/2286348
Dimitar, T., & Tae-Hwan, K. (2004). Calendar effects in eastern European financial markets: Evidence from the Czech Republic, Slovakia and Slove-nia. Applied Financial Economics, 14(14), 1035-1043. https://doi.org/10.1080/0960310042000264003
Ding, Z., Granger, C. W. J., & Engle, R. F. (1993). A long memory property of stock market returns and a new model. Journal of Empirical Finance, 1(1), 83-106. https://doi.org/10.1016/0927-5398(93)90006-D
Dubois, M., & Louvet, P. (1996). The day-of-the-week effect: The international evidence. Journal of Banking & Finance, 20(9), 1463–1484. https://doi.org/10.1016/0378-4266(95)00054-2
Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1007. https://doi.org/10.2307/1912773
Engle, R. F., & Ng, V. K. (1993). Measuring and testing the impact of news on volatility. The Journal of Finance, 48(5), 1749–1778. https://doi.org/10.1111/j.1540-6261.1993.tb05127.x
Fakhfekh, M., Jeribi, A., & Ben Salem, M. (2023). Volatility dynamics of the Tunisian stock market before and during the COVID-19 outbreak: Evidence from the GARCH family models. International Journal of Finance & Economics, 28(2), 1653–1666. https://doi.org/10.1002/ijfe.2499
Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417. https://doi.org/10.2307/2325486
Farooq, O., Ahmed, N., & Bouaddi, M. (2013). Day of the week and its effect on stock market volatility: Evidence from an emerging market. Journal of Applied Business Research, 29(6), 1727. https://doi.org/10.19030/jabr.v29i6.8210
Flannery, M. J., & Protopapadakis, A. A. (2002). Macroeconomic factors do influence aggregate stock returns. The Review of Financial Studies, 15(3), 751-782. https://doi.org/10.1093/rfs/15.3.751
French, K. R. (1980). Stock returns and the weekend effect. Journal of Financial Economics, 8(1), 55-69. https://doi.org/10.1016/0304-405X(80)90021-5
Gharaibeh, A.M.O., & Al Azmi, A.A.T. S. (2015). Test of the day of the week effect: The case of Kuwait stock exchange. Asian Economic and Fi-nancial Review, 5(5), 757-765. https://doi.org/10.18488/journal.aefr/2015.5.5/102.5.757.765
Gibbons, M. R., & Hess, P. (1981). Day of the week effects and asset returns. Journal of Business, 54(4), 579–596. https://www.jstor.org/stable/2352725. https://doi.org/10.1086/296147
Gilbert, C. L. (2010). Anomalies in Economics and Finance. Department of Economics, University of Trento. Available at https://core.ac.uk/download/pdf/6262869.pdf. https://doi.org/10.2139/ssrn.1757735
Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess returns on stocks. The Journal of Finance, 48(5), 1779–1801. https://doi.org/10.1111/j.1540-6261.1993.tb05128.x
Grebe, L., & Schiereck, D. (2024). Day-of-the-week effect: A meta-analysis. Eurasian Economic Review, 14(4), 1057–1094. https://doi.org/10.1007/s40822-024-00293-9
Gujarati, D. N., & Porter, D. C. (2009). Basic econometrics (5th ed.). McGraw-Hill.
Guo, H., Hung, C., Kontonikas, A., & Zeng, Y. (2023). Flight to lottery ahead of FOMC announcements: Institutional investors or retail investors? British Journal of Management, 35(2), 1076-1096. https://doi.org/10.1111/1467-8551.12755
Gupta, M., Pawar, A., Kumar, S., Borad, A., & Seet, S. K. (2024). Equity markets and monetary policy surprises (RBI Working Paper Series No. 03/2024). Reserve Bank of India, Department of Economic and Policy Research.
Hannan, E. J., & Quinn, B. G. (1979). The determination of the order of an autoregression. Journal of the Royal Statistical Society: Series B, 41(2), 190–195. https://www.jstor.org/stable/2985032. https://doi.org/10.1111/j.2517-6161.1979.tb01072.x
Harris, L. (1986). A transaction data study of weekly and intradaily patterns in stock returns. Journal of Financial Economics, 16(1), 99–117. https://doi.org/10.1016/0304-405X(86)90044-9
Hasan, M.K., Hassan, M.K., Rashid, M.M., Ali, M.S., & Hossain, M.N. (2021). Calendar anomalies in the stock markets: Conventional vs Islamic stock indices. Managerial Finance, 48(2), 258–276. https://doi.org/10.1108/MF-12-2020-0601
Hirshleifer, D., & Shumway, T. (2003). Good day sunshine: Stock returns and the weather. The Journal of Finance, 58(3), 1009–1032. https://doi.org/10.1111/1540-6261.00556
Hou, K., Xue, C., & Zhang, L. (2020). Replicating anomalies. Review of Financial Studies, 33(5), 2019–2133. https://doi.org/10.1093/rfs/hhy131
Huang, H., Fang, W., & Miller, S. (2014). Banking market structure, liquidity needs, and industrial growth volatility. Journal of Empirical Finance, 26, 1-12. https://doi.org/10.1016/j.jempfin.2014.01.001
IMF (2025). India: Financial Sector Assessment Program—Financial system stability assessment. Monetary and Capital Markets Department. https://doi.org/10.5089/9798229001748.002
Jaffe, J., & Westerfield, R. (1985). The weekend effect in common stock returns: The international evidence. The Journal of Finance, 40(2), 433–454. https://doi.org/10.1111/j.1540-6261.1985.tb04966.x
Jain, P., & Xue, W. (2017). Global investigation of return autocorrelation and its determinants. Pacific-Basin Finance Journal, 43, 200-217. https://doi.org/10.1016/j.pacfin.2017.04.007
Jangili, R., Marisetty, S. S. C., & Mood, Y. B. (2023). Financial literacy in India: Insights from a field survey. RBI Bulletin. https://rbidocs.rbi.org.in/rdocs/Bulletin/PDFs/04AR230620238CB294BBBFFB48819E819C89B1DA3E8F.PDF
Jarque, C. M., & Bera, A. K. (1987). A test for normality of observations and regression residuals. International Statistical Review, 55(2), 163–172. https://doi.org/10.2307/1403192
Jensen, T. I., Kelly, B., & Pedersen, L. H. (2023). Is there a replication crisis in finance? The Journal of Finance, 78(5), 2465–2518. https://doi.org/10.1111/jofi.13249
Kamara, A. (1997). New evidence on the Monday seasonal in stock returns. Journal of Business, 70(1), 63–84. https://www.jstor.org/stable/2353481.https://doi.org/10.1086/209708
Kambal, M., Huang, L., Letavina, A., & Mohamed, A. (2018). Does the day of the week form still persistent on the Chinese stock market? Asian Journal of Economics Business and Accounting, 6(4), 1-10. https://doi.org/10.9734/AJEBA/2018/40869
Karanovic, G., & Karanovic, B. (2018). The day-of-the-week effect: Evidence from selected Balkan markets. Scientific Annals of Economics and Business, 65(1), 1-11. https://doi.org/10.2478/saeb-2018-0005
Kaur, H. (2004). Time varying volatility in the Indian stock market. Vikalpa: The Journal for Decision Makers, 29(4), 25–42. https://doi.org/10.1177/0256090920040403
Keim, D. B., & Stambaugh, R. F. (1986). Predicting returns in the stock and bond markets. Journal of Financial Economics, 17(2), 357–390. https://doi.org/10.1016/0304-405X(86)90070-X
Khan, B., Aqil, M., Kazmi, S. H. A., & Zaman, S. I. (2021). Day-of-the-week effect and market liquidity: A comparative study from emerging stock markets of Asia. International Journal of Finance & Economics, 28(1), 544-561. https://doi.org/10.1002/ijfe.2435
Kiymaz, H., & Berument, H. (2003). The day of the week effect on stock market volatility and volume: International evidence. Review of Financial Economics, 12(4), 363-380. https://doi.org/10.1016/S1058-3300(03)00038-7
Kroencke, T., Schmeling, M., & Schrimpf, A. (2021). The FOMC risk shift. Journal of Monetary Economics, 120, 21-39. https://doi.org/10.1016/j.jmoneco.2021.02.003
Kumar, L., Malathy, D., & Ganesh, L. (2010). Productivity growth and efficiency change in Indian banking: Technology effect vs catch‐up effect. Journal of Advances in Management Research, 7(2), 194-218. https://doi.org/10.1108/09727981011084995
Kumar, R. B., & Suhas, K. M. (2010). An analytical study on value creation in Indian bank mergers. Afro-Asian Journal of Finance and Accounting, 2(2), 107-134. https://doi.org/10.1504/AAJFA.2010.037281
Lakonishok, J., & Levi, M. (1982). Weekend effects on stock returns: A note. The Journal of Finance, 37(3), 883-889. https://doi.org/10.1111/j.1540-6261.1982.tb02231.x
Lakonishok, J., & Smidt, S. (1988). Are seasonal anomalies real? A ninety-year perspective. Review of Financial Studies, 1(4), 403–425. https://doi.org/10.1093/rfs/1.4.403
Lien, D., & Yang, L. (2004). Return autocorrelations on individual stocks and corresponding futures: Evidence from Australian, Hong Kong, and United Kingdom markets. Review of Pacific Basin Financial Markets and Policies, 7(3), 397-422. https://doi.org/10.1142/S0219091504000160
Lin, P., & Huang, H. (2012). Banking industry volatility and growth. Journal of Macroeconomics, 34(4), 1007-1019. https://doi.org/10.1016/j.jmacro.2012.08.004
Ljung, G. M., & Box, G. E. P. (1978). On a measure of lack of fit in time series models. Biometrika, 65(2), 297–303. https://doi.org/10.2307/2335207
Lo, A. W. (2004). The adaptive markets hypothesis: Market efficiency from an evolutionary perspective. Journal of Portfolio Management, 30(5), 15-29. https://doi.org/10.3905/jpm.2004.442611
Lo, A. W., & MacKinlay, A. C. (1988). Stock market prices do not follow random walks: Evidence from a simple specification test. The Review of Financial Studies, 1(1), 41-66. https://doi.org/10.1093/rfs/1.1.41
Lucca, D., & Moench, E. (2015). The pre‐FOMC announcement drift. The Journal of Finance, 70(1), 329-371. https://doi.org/10.1111/jofi.12196.
Mandimika, N., & Chinzara, Z. (2012). Risk–return trade‐off and behaviour of volatility on the South African stock market: Evidence from both aggregate and disaggregate data. South African Journal of Economics, 80(3), 345-366. https://doi.org/10.1111/j.1813-6982.2012.01328.x
Marrett, G., & Worthington, A. (2009). The day-of-the-week effect in the Australian stock market: An empirical note on the market, industry and small cap effects. International Journal of Business and Management, 3(1), 3-8. https://doi.org/10.5539/ijbm.v3n1p3
Mishra, P., & Mishra, S. (2021). Do banking and financial services sectors show herding behaviour in Indian stock market amid Covid-19 pandem-ic? Insights from quantile regression approach. Millennial Asia, 14(1), 54-84. https://doi.org/10.1177/09763996211032356
Miss, S., Charifzadeh, M., & Herberger, T. A. (2020). Revisiting the Monday effect: A replication study for the German stock market. Management Review Quarterly, 70(2), 257–273. https://doi.org/10.1007/s11301-019-00167-4
Munusamy, D. (2018). Islamic calendar and stock market behaviour in India. International Journal of Social Economics, 45(11), 1550-1566. https://doi.org/10.1108/IJSE-09-2017-0404
Nataraj, G., & Ashwani. (2018). Banking sector regulation in India: Overview, challenges and way forward. Indian Journal of Public Administra-tion, 64(3), 473-486. https://doi.org/10.1177/0019556118783065
Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347-370. https://doi.org/10.2307/2938260
Nikhil, M. N., Chakraborty, S., Lithin, B. M., Ledwani, S., & Dev, S. (2023). Modeling Indian Bank Nifty volatility using univariate GARCH models. Banks and Bank Systems, 18(1), 127–138. https://doi.org/10.21511/bbs.18(1).2023.11
NPCI (2025). UPI product statistics. https://www.npci.org.in/what-we-do/upi/product-statistics
NSE (2024). FAQs—Additional Surveillance Measure (ASM). https://nsearchives.nseindia.com/web/sites/default/files/inline-files/FAQs%20-%20Additional%20Surveillance%20Measure%20%28ASM%29_1.pdf
NSE (2025a). NSE registered investor base crosses 11 crore (110 million) unique investors(unique PANs) and over 21 crore (210 million) total ac-counts [Press release]. https://www.nseindia.com/resources/nse-registered-investor-base-crosses-11-crore-110-million-unique-investors-unique-pans-and-over-21-crore-210-million-total-accounts
NSE (2025b). Revision in expiry day of index and stock derivatives contracts – Update (Circular No. 111/2025. https://nsearchives.nseindia.com/content/circulars/FAOP68747.pdf
Öncü, M. A., Ünal. A., & Demirel. O. (2017). The day of the week effect in Borsa Istanbul; A GARCH model analysis. Journal of Management Economics and Business, 13(3), 521-534. https://doi.org/10.17130/ijmeb.2017331332
Paital, R. R., & Panda, A. K. (2018). Day of the week and weekend effects in the Indian stock market. Theoretical Economics Letters, 8(11), 2559-2568. https://doi.org/10.4236/tel.2018.811164
Pástor, Ľ., & Veronesi, P. (2013). Political uncertainty and risk premia. Journal of Financial Economics, 110(3), 520-545. https://doi.org/10.1016/j.jfineco.2013.08.007
Patel, S., & Mallikarjun, M. (2014). Settlement cycle and day of the week anomaly: Empirical evidence from Indian stock market. Decision, 41(3), 327–337. https://doi.org/10.1007/s40622-014-0050-4
Patton, A. J., & Sheppard, K. (2015). Good volatility, bad volatility: Signed jumps and the persistence of volatility. The Review of Economics and Sta-tistics, 97(3), 683-697. https://doi.org/10.1162/REST_a_00503
Pettengill, G. N. (1993). An experimental study of the “blue-Monday” hypothesis. The Journal of Socio-Economics, 22(3), 241–257. https://doi.org/10.1016/1053-5357(93)90011-9
Raj, M., & Kumari, D. (2006). Day-of-the-week and other market anomalies in the Indian stock market. International Journal of Emerging Markets, 1(3), 235-246. https://doi.org/10.1108/17468800610674462
RBI Household Finance Committee. (2017). Indian household finance. https://rbidocs.rbi.org.in/rdocs/PublicationReport/Pdfs/HFCRA28D0415E2144A009112DD314ECF5C07.PDF
Reilly, F. K., & Brown, K. C. (2012). Investment analysis & portfolio management (10th ed.). South-Western Cengage Learning.
Richard, A. A., Seyed, M., & Mark J. P. (2004). The day-of-the-week effect in stock returns: Further evidence from Eastern European emerging mar-kets. Emerging Markets Finance and Trade, 40(4), 53-62. https://doi.org/10.1080/1540496X.2004.11052582
Rogalski, R. J. (1984). New findings regarding day-of-the-week returns over trading and nontrading periods: A note. The Journal of Finance, 39(5), 1603–1614. https://doi.org/10.1111/j.1540-6261.1984.tb04927.x
Rystrom, D., & Benson, E. (1989). Investor psychology and the day-of-the-week effect. Financial Analysts Journal, 45(5), 75-78. https://doi.org/10.2469/faj.v45.n5.75
Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599–607. https://doi.org/10.2307/2336570
Schwarz, G. (1978). Estimating the dimension of a model. The Annals of Statistics, 6(2), 461–464. https://doi.org/10.1214/aos/1176344136
SEBI (2021). Introduction of T+1 rolling settlement on an optional basis (Circular No. SEBI/HO/MRD2/DCAP/P/CIR/2021/628). https://www.sebi.gov.in/legal/circulars/sep-2021/introduction-of-t-1-rolling-settlement-on-an-optional-basis_52462.html
SEBI (2022). Net settlement of cash segment and F&O segment upon expiry of stock derivatives. https://www.sebi.gov.in/sebi_data/meetingfiles/oct-2022/1667217069970_1.pdf
Sharma, D., & Sharma, A. K. (2015). Influence of turbulent macroeconomic environment on productivity change of banking sector: Empirical evi-dence from India. Global Business Review, 16(3), 439-462. https://doi.org/10.1177/0972150915569932
Sharpe, W. F. (1970). Portfolio theory and capital markets. McGraw-Hill.
Singh, A. (2017). Modeling conditional volatility of Indian banking sector’s stock market returns. Scientific Annals of Economics and Business, 64(3), 325-338. https://doi.org/10.1515/saeb-2017-0021
Singh, S., & Das, C. (2020). Calendar anomalies in the banking and it index: The Indian experience. Asian Economic and Financial Review, 10(4), 439-448. https://doi.org/10.18488/journal.aefr.2020.104.439.448
Solnik, B., & Bousquet, L. (1990). Day-of-the-week effect on the Paris Bourse. Journal of Banking and Finance, 14(2-3), 461-468. https://doi.org/10.1016/0378-4266(90)90059-B
Srinivasan, P., & Kalaivani, M. (2014). Day-of-the-week effects in the Indian Stock Market. International Journal of Economics and Management, 8(1), 158-177. http://www.ijem.upm.edu.my/vol8no1/bab09.pdf
Srividya, V., Shripria, Sekkizhar, J., & Raksha, S. (2021). Stock volatility around bank merger announcements: Evidence from India. Proceedings of the First International Conference on Combinatorial and Optimization (ICCAP 2021), Chennai, India, 1–11. https://doi.org/10.4108/eai.7-12-2021.2315105
Stosic, D., Stosic, D., Vodenska, I., Stanley, H. E., & Stosic, T. (2022). A new look at calendar anomalies: Multifractality and day-of-the-week ef-fect. Entropy, 24(4), 562. https://doi.org/10.3390/e24040562
Swetha, M., & Jegadeeswari, S. (2023). Day of the week effect on select scheduled commercial banks in India. E3S Web of Conferences, 449, 02004. https://doi.org/10.1051/e3sconf/202344902004
Sy, A., & Derbali, A. (2015). The day of the week effects in the Stock Exchange of Casablanca: Analysis by intraday and interday returns. Interna-tional Journal of Critical Accounting, 7(4), 366–386. https://doi.org/10.1504/IJCA.2015.072003
Syed, A. (2023). Economic policy uncertainty and Indian banking stability: The mediating role of regulation and supervision. Journal of Financial Regulation and Compliance, 32(1), 47-60. https://doi.org/10.1108/JFRC-03-2023-0038
Tennant, D., & Tracey, M. (2014). Financial intermediation and stock market volatility in a small bank-dominated economy. The Journal of Devel-oping Areas, 48(4), 73-95. https://doi.org/10.1353/jda.2014.0073
Tripathy, N. (2022). Long memory and volatility persistence across BRICS stock markets. Research in International Business and Finance, 63, 101782. https://doi.org/10.1016/j.ribaf.2022.101782
Tu, A.H. (2003). The shift of weekend effects in Taiwan’s equity index return: Index futures listings or other alternative explanations. Review of Pacific Basin Financial Markets and Policies, 6(4), 549-572. https://doi.org/10.1142/S0219091503001195
Vera-Valdés, J. E. (2022). The persistence of financial volatility after COVID-19. Finance Research Letters, 44, 102056. https://doi.org/10.1016/j.frl.2021.102056
Verma, R., Sharma, D., & Singh, H. (2023). Day-of-week effect in stock market of India: A case study of sectoral indices. In Advances in Man-agement Research (1st ed.). Routledge. https://doi.org/10.4324/9781003366638-13
Vipul. (2005). Futures and options expiration-day effects: The Indian evidence. The Journal of Futures Markets, 25(11), 1045–1065. https://doi.org/10.1002/fut.20178
Wang, S-F., Shih, Y-C., & Lin, P. (2014). The long-run performance of Asian commercial bank mergers and acquisition. Modern Economy, 5(4), 341-359. https://doi.org/10.4236/me.2014.54034
Zhao, T., Casu, B., & Ferrari, A. (2010). The impact of regulatory reforms on cost structure, ownership and competition in Indian banking. Journal of Banking & Finance, 34(1), 246-254. https://doi.org/10.1016/j.jbankfin.2009.07.022