Day-of-the-Week Effect during COVID-19 Pandemic: An Empirical Study of Indian Stock Market

In the context of an efficient market, it is conventionally anticipated that uniform returns would manifest across weekdays. This study empirically scrutinised the manifestation of the day-of-the-week (DOW) effect within the Indian stock market amid the COVID-19 pandemic. Utilising daily closing price data spanning the COVID-19 period from March 11, 2020, to September 30, 2021, for three key indices (BSE Sensex, Nifty-50, and SX 40) listed on the Bombay Stock Exchange (BSE), National Stock Exchange (NSE), and Metropolitan Stock Exchange of India (MSEI), respectively, dummy variable regression analysis was employed to probe the DOW effect. The findings indicate that Monday returns exhibit negativity, a significant trend observed solely for the BSE Sensex index. Conversely, significant positive returns are evident on Tuesday, Wednesday (excluding SX40 index), and Friday, throughout the remaining weekdays. Moreover, Tuesday records the highest returns, closely followed by Friday. Thus, collectively, it can be inferred that both the Tuesday effect and the Friday effect are discernible within the Indian stock market amidst the COVID-19 pandemic period.