DAY OF THE WEEK EFFECT ON NATIONAL STOCK EXCHANGE WITH RESPECT TO GAS, OIL AND REFINERIES INDUSTRIES IN INDIA

The primary objective of the study is to investigate the existence of seasonality in stock price behavior in Indian stock market and more specifically in the Gas, Oil and Refineries sector. The period of the study is from 1st January 2007 to 31st December 2011. For the purpose analysis, the study has employed daily price series that have been obtained from the official website of National Stock Exchange (NSE). The daily price series of selected eight Gas, Oil and Refineries companies were selected for this study, and used multiple regression technique to examine the significance of the regression coefficient for investigating day of week effects. It is found that all the eight selected Gas, Oil and Refineries companies evidenced day of the week effect and mostly either on Tuesday, Wednesday or Thursday. Only GAIL, and HPCL evidenced significant Monday effect.