Measuring the volatility in returns of Nifty 50 based on day-of-the-week effect

Divya R. Patel

doi:10.36948/ijfmr.2026.v08i01.68354

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Measuring the volatility in returns of Nifty 50 based on day-of-the-week effect

Author(s)	Dr. Divya R. Patel
Country	India
Abstract	Investors tend to desire abnormal returns from investments which is only possible if market inefficiencies exist. This study attempts to test for the existence of a calendar anomaly i.e. day-of-the-week effect in Nifty 50 which is a benchmark index of the Indian stock Market. Day-of-the-week effect depicts that average returns on various days of the week are different and hence investors may be able to earn abnormal returns of this calendar anomaly exists in the market. Data for the last five years from 2021 to 2025 has been collected and analyzed using dummy variable regression and ARCH family models.
Keywords	Volatility, Day-of-the-Week effect, Nifty 50, Abnormal returns
Published In	Volume 8, Issue 1, January-February 2026
Published On	2026-02-10
DOI	https://doi.org/10.36948/ijfmr.2026.v08i01.68354

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Measuring the volatility in returns of Nifty 50 based on day-of-the-week effect

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