Sahoo Manamani
Department of Humanities and Social Sciences Indian Institute of Technology Kharagpur West Bengal India.
J Public Aff. 2021 Nov;21(4):e2621. doi: 10.1002/pa.2621. Epub 2021 Jan 28.
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.
本文通过使用新冠疫情健康危机之前及期间的印度国家证券交易所50指数、印度国家证券交易所50中型股指数、印度国家证券交易所100指数、印度国家证券交易所100中型股指数、印度国家证券交易所100小型股指数和印度国家证券交易所200指数的每日收盘价数据，对一周中各交易日效应的存在性进行了实证研究。本研究使用了2005年4月1日至2020年5月14日期间所有指数的二手数据。本研究使用了虚拟变量回归和广义自回归条件异方差（GARCH）模型。整个研究期分为两个子时期，即新冠疫情健康危机期间和之前。在考察新冠疫情健康危机期间时，发现周一回报率为负；相比之下，在新冠疫情之前的时期回报率为正。在新冠疫情危机期间，发现周二对指数回报率的影响在统计上显著且对所有指数均为正向。
