出版社：The International Institute for Science, Technology and Education (IISTE)
摘要：This paper investigates the presence of day-of-the-week effect, returns volatility and analyzes the annual returns of Bombay Stock Exchange. A set of parametric and nonparametric tests is used to test equality of mean returns and standard deviations of the returns across the-days-of-the-week. To supplement this analysis, graphical representation of the index annual percentage changes was explored. The results contradict the presence of the-day-of-the- week but indicate insignificant daily returns volatility in most of these Markets. The stock exchanges experienced enormous growth between 2001 and 2010. The result of the Levenes test value for Bombay Stock Exchange was 0.847 which concludes that the daily return seasonalities are not accompanied by any volatility seasonality and investing on low (high) return weekday does not necessarily mean that risk is also low or high and Index that has marginally significant Levenes statistic. Key words: Volatility of Returns, Bombay Stock Exchange, Day-of-week effect
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