Week-End Anomaly and Stock Market Volatility Analysis of Indian Sustainability Indices

Abstract

The most widely accepted rational theory, known as the efficient market hypothesis, holds that share prices accurately reflect all important information available in the market. However, the occurrence of the stock market anomaly challenges the efficient market hypothesis. A stock market anomaly is any variation in the market’s typical behavior; there are several kinds of abnormalities. While certain abnormalities recur frequently, others only emerge once. Globally, enormous studies have been conducted to examine the many kinds of anomalies. The objective of this paper is to investigate the weekend anomaly and stock market volatility analysis with respect to Indian Sustainability indices. Weekend anomaly is tested with the simple liner regression model and the volatility is tested with GARCH (1,1) model.