Day-Of-The-Week Effect: Further Empirical Evidence‪.‬

Introduction Numerous studies have been conducted to test the common stock return behaviour and document the extensive evidence of the randomness in stock prices across the world. Efficient market hypothesis (EMH) states that no investor can have abnormal returns consistently by following investment strategies based on past information. The basic premise of the hypothesis is that the new information is available to all the investors fairly and the flow of the same is so swift that it is instantaneously incorporated into stock prices leaving no space for non-randomness in stock prices. Academician and researcher on the concept of informational efficiency of capital markets develop various theoretical security valuation models. However, in spite of voluminous evidences to bolster the efficient market mechanism, there are instances of anomalies in returns of common stocks which intrigued researchers and challenged the whole theory of market efficiency. The present study is an endeavor to examine whether the anomalous pattern of stock prices exists across the world and yield abnormal returns consistently. The study intends to examine the most prominent calendar anomaly referred to as day-of-the-week. According to the day of the week phenomenon, the average daily return of the market is not the equal for all the days of the week, as we would expect on the basis of the efficient market theory.