This article attempts to have a closer look at the Indian stock markets and tries to find out the day-of-the-week pattern in selected stocks over a period of time.

Efficient Market Theory (EMT) states that the prices in the stock market depict all relevant information, therefore it is impossible to beat the market as an investor is fully informed. This is one of the highly controversial and often disputed theories in the field of finance. Supporters of EMT believe that it is pointless to search for undervalued stocks or try to predict the trends in the market through any technique from fundamental to technical analysis. Academics point out to a large body of evidence in support of the EMT. The EMT, introduced three decades ago, was a major intellectual advance and reached its height of dominance in academic circles around the 1970s.

A lot of empirical evidences are available in favor of and against the EMT. One of the anomalies observed against the EMT is the day of the week, i.e., some days of the week tend to perform better than others. In India too, the same has been observed by researchers. A secondary data analysis has been done using the Kruskal Wallis test to see whether any day effect exists in the sample companies. It was observed during the studies, that the mean stock returns do not differ statistically even though Monday recorded the highest mean returns for maximum companies and Friday recorded the lowest mean return for maximum companies.

The article examines the day-of-the-week effect in the emerging Indian stock markets. Increasing interest of investors in emerging markets has motivated continued research aimed at understanding the risk and return characteristics of stock prices in these markets. In particular, researchers and investors have sought to detect any evidence of informational efficiency as suggested by E Fama (1970) that could be profitably exploited to make large gains.

Portfolio Organizer Magazine, Indian Markets, Indian Stock Markets, Efficient Market Theory, EMT, Technical Analysis, Financial Economists, Statistical Analysis, Dow Jones Industrial Average, DJIA, Bombay Stock Exchange, BSE, Research Methodology, Financial Economics.