Weekend Effect in the Banking and Financial Services Sector : An Empirical Evidence from India

Authors

  •   Arjun Mittal Assistant Professor (Corresponding Author), Dept. of Commerce, Hans Raj College, University of Delhi, Mahatma Hansraj Marg, Malkaganj, Delhi - 110 007 ORCID logo https://orcid.org/0000-0001-6654-7381
  •   Hritwiza Das Ph.D. Scholar, Department of Commerce, Faculty of Commerce and Business, University of Delhi, Chhatra Marg, Delhi School of Economics, University Enclave, Delhi - 110 007 ORCID logo https://orcid.org/0009-0005-4454-6042
  •   Anand Mittal Professor, Dept. of Economics, Hansraj College, University of Delhi, Mahatma Hansraj Marg, Malkaganj, Delhi - 110 007 ORCID logo https://orcid.org/0009-0007-4182-3440
  •   Sonal Thukral Associate Professor, Department of Commerce, Faculty of Commerce and Business, University of Delhi, Chhatra Marg, Delhi School of Economics, University Enclave, Delhi - 110 007 ORCID logo https://orcid.org/0000-0003-0926-5438

DOI:

https://doi.org/10.17010/ijf/2025/v19i12/175875

Keywords:

Indian stock market, weekend effect, market efficiency, calendar anomaly, NIFTY, GARCH.
JEL Classification Codes : G11, G14, G40
Publication Chronology: Paper Submission Date : July 1, 2025 ; Paper sent back for Revision : November 15, 2025 ; Paper Acceptance Date : November 25, 2025 ; Paper Published Online : December 15, 2025

Abstract

Purpose : The weekend effect exhibited a systematic pattern in the market returns based on the days of the week, which appeared to deviate from the efficient market theory. However, several studies also showed that the anomaly either did not exist or had disappeared with time, resulting in contradictory evidence in the existing literature. Thus, this study aimed to investigate the presence of the weekend effect in the Indian banking and financial service sectors.

Methodology : The NIFTY Bank Index and NIFTY Financial Services Index were taken as representatives of these two sectors. Five years (2019–2023) of market returns were analyzed using OLS and GARCH models to study the presence of weekend effects in these sectors.

Findings : No significant evidence of the weekend effect was found in either sector. However, the presence of the ARCH effect indicated volatility clustering, suggesting inefficiency.

Practical Implication : The findings have implications for investors, arbitrageurs, hedgers, portfolio managers, as well as regulators and academicians. Investors will not earn any extra profit by creating positions based on the day of the week.

Originality : The study contributed to the existing literature on calendar anomalies and market efficiencies in the Indian market, as well as specific economic sectors, adopting a volatility-adjusted modelling technique. In the past few years, this sector has gone through major structural and technological changes, including pandemic-related volatility, inducing changes in market sentiments and efficiency. Thus, this study offered a more contemporary as well as sector-specific perspective on market efficiency.

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Published

2025-12-19

How to Cite

Mittal, A., Das, H., Mittal, A., & Thukral, S. (2025). Weekend Effect in the Banking and Financial Services Sector : An Empirical Evidence from India. Indian Journal of Finance, 19(12), 8–28. https://doi.org/10.17010/ijf/2025/v19i12/175875

Issue

Volume 19, Issue 12, December 2025

Section

Articles
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