Day-Of- The-Week Effect On Stock Returns And Volatility: Evidence From Muscat Securities Market - Msx Index And Bombay Stock Exchange – Sensex Index

Abstract

This study delves into the Day-of-the-Week Effect, investigating its influence on both stock returns and volatility. The research centers on the Muscat Securities Market (MSX) Index and the Bombay Stock Exchange (BSE) Sensex Index as representative indicators of the Muscat and Bombay markets, respectively. By analyzing stock data from January 2012 to December 2022, the study aims to discern any systematic patterns in stock returns and volatility across different days of the trading week. This exploration contributes to a deeper understanding of market anomalies and behavioral trends that might affect investment decisions and strategies.