Abstract

Multiple regression model with dummy variables was used to assess the day of the week effect from the perspective of informed investors (proprietary traders) in the Indian stock market's equity cash segment. We sourced 3,950 daily buy and sell turnover data of proprietary traders (brokers) for a 16-year period spread over January 1, 2005, to December 31, 2020. The period of 16 years was split into four sub-periods and ran five separate multiple regressions models (one whole period and four sub-periods). Results persisted over all the sample periods and indicated that proprietary traders' buy and sell activities were negative on Monday, indicating their inactive trading behavior. They were active on Tuesday and Wednesday. On Thursday, again, they were inactive in the equity cash segment, this may be due to derivatives contracts expiry scheduled on Thursday. On Friday, they bought more compared to Thursday. The results supported the extant literature and contradicted certain hypotheses surrounding informed investors behavior in the market.

Description

Indian Journal of Economics and Development
Volume 18 No. 1, 2022, 140-147

DOI: https://doi.org/10.35716//IJED/21214
NAAS Score: 5.15
Indexed in Clarivate Analytics (ESCI) of WoS
Indexed in Scopus
UGC Approved