This paper has been empirically investigated the existence of the day-of-the-week effect by using closing daily data for Nifty 50, Nifty 50 Midcap, Nifty 100, Nifty 100 Midcap, Nifty 100 Smallcap, and Nifty 200 for before and during the COVID-19 health crisis. This study used secondary data for all indices over the period 1 April 2005-14 May 2020. The present study used both dummy variable regression and the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model. The total study period is divided into two sub-periods, that is, during and before the COVID-19 health crisis. A negative return is found for Mondays when the during-COVID-19 health crisis period is examined; in contrast, it was positive for the before COVID-19 period. Tuesday's effect on index return is found statistically significant and positive for all indices during the COVID-19 crisis.
Keywords: GARCH; day‐of‐the‐week effect; dummy variable; stock market; volatility.
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