Trading Behavior of Institutional Investors Across Weekdays: An Indian Evidence

Summary


The paper examines the trading pattern of Foreign Institutional Investors (FIIs) and the Indian Mutual Funds (IMFs) across the days of the week for a period of nine years from January 2000 to January 2009. A set of parametric and econometric tests were employed to test the equality of daily mean investment of FIIs and IMFs. The findings of the study show that net investment made by the FIIs follow Friday effect, while the investments made by the IMFs are equally distributed among the various days of the week. As far as their relation with stock market trend is concerned, day anomalies in Indian share market return somehow correlated with the investment pattern of foreign institutional investment, as they behave in the same manner as the market is behaving.

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Trading Behavior of Institutional Investors Across Weekdays: An Indian Evidence

Introduction

Cross (1973) was the first to point out the differences in return across weekdays. Since then, the stock market efficiency is an extensively researched area of investment management. Day-of-the-week effect is the most talked anomaly. However, due to the increased use of Information Technology (IT) and the ongoing stock market reforms in various countries, investors might expect stock markets to be free from such anomalies. Despite frequent claims of market efficiency, literature on the subject offers evidence of seasonal/calendar anomalies both in the developed and emerging stock markets. A review of the existing studies, i.e., Rozeff and Kinney (1976), French (1980), Lakonishok and Smidt (1988), Cadsby (1989), Cadsby and Ratner (1992), Agrawal and Tandon (1994), Steeley (2001), Hellstrom (2002), Kok Kim (2002), Pandey (2002), Russel and Torbey (2002), Sales and Caro (2006), Sah and Omkarnath (2007), Baek et al. (2008), and Ricky et al. (2008), indicates that the stock markets of the developed as well as developing countries are not yet free from ...

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(Copyright 2011)
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