International Journal of Commerce and Management Research

Authors
Uthra V

Abstract
The stock market is the primary source for any company to raise funds for business expansions. Investors want to predict the market to earn more returns on their investments. During the development of Indian stock market, researchers have tried to find whether the Indian stock market is efficient or not. According to the Efficient Market hypothesis, past prices of shares should have no predictive power of future prices. In effect, prices should be random. The efficient market hypothesis (EMH) indicates that all stocks are perfectly priced according to their inherent investment properties, the knowledge of which all market participants possess equally. If the market is not efficient, there will exists some market efficiency anomalies, then the investors can gain some abnormal returns by using well planned strategies within the market. The existence of market anomalies is a contradiction to the weak form of the Efficient Market Hypothesis (EMH). Calendar Anomalies in the stock market are those patterns that cannot be explained by traditional asset pricing models. Examples of such patterns include the January Effect, the Day-of-the-Week Effect and holiday effect. The primary objective of this study is to investigate the existence of day of the week effect in stock price behavior of the S&P BSE Auto stock index. The results of this study will be useful to investors, traders, and arbitrageurs who can formulate profitable trading strategies to capitalize on calendar anomalies. The Securities and Exchange Board of India (SEBI) introduced the Compulsory Rolling Settlement System for stocks on January 02, 2002. This was expected to boost liquidity and thereby reduce the market risk of stocks to a considerable extent. The introduction of Rolling Settlement was also expected to lead to higher equity turnover and thereby potentially impact the anomalous behavior of stock prices. In this context, the study provides further evidence on the anomalous behavior of stocks in the Indian Stock Market during the Post Rolling Settlement Period from April 2002 to March 2016. The post rolling settlement testing period distinguishes this study from other contemporaneous studies on anomalous behavior of stocks in the Indian stock market. The findings reveal that there is no existence of day of the week effect in S&P BSE Auto index in India.