An analysis of day of the week effect in equity's trading activities of institutional investors in India Sehdev Razia1,2, Dr. Tamboli R.L.3 1Research Scholar at Mewar University, Chittorgarh, Rajasthan, India 2Assistant Professor at Lovely Professional University, Jalandhar, Punjab, India. Email address: razia28sehdev@gmail.com, razia.23646@lpu.co.in 3Professor in Department of Commerce and Management, Mewar University, Chittorgarh, Rajasthan, India Online published on 8 May, 2019. Abstract The present study is observing and comparing the trading behavior of IMFs and FIIs across the week days. The researchers have attempted to enrich the present literature related to market anomalies specifically day of the week anomaly existent in the trading behavior of foreign as well as domestic institutional investors and efficient market hypothesis theory with regard to Indian Equity Market with the help of present study. The researchers have pursued the study by examining the daily purchasing, selling and net investing activities of IMFs and FIIs in Equity Instruments of Indian Capital Market for the last 17.5 years beginning from January 1, 2001 and ending on June 30, 2018. The researchers have endeavored to achieve two objectives viz. examining the day of the week effect on trading behavior of IMFs and FIIs and comparing the trading behavior of IMFs and FIIs for individual trading day as well as for all trading days taken together across the time period of study with the help of Econometric model namely Autoregressive model and Independent Sample t-test. It is ascertained empirically in the present study that whether it is Domestic or Foreign Institutional Investors, there is day of the week effect present on their trading behavior. Monday, Friday and Thursday are determined to have the most significant effect on the trading activities of Institutional Investors. Thus, it is inferred that Stock Markets of India are not efficient and there is scope of fetching extraordinary returns from them by keeping close eyes on the activities of institutional investors. Top Keywords Anomaly, Day of the week effect, Efficient Market Hypothesis (EMH), Foreign Institutional Investors (FIIs), Indian Mutual Funds (IMFs), Trading Behavior. Top |