Analysis

Day of the week effect

In order to test the day of the week effect, data of all the working days from April 2010 to March
2016 was downloaded. The closing SENSEX value was used as a measure of the return. To visualize
the rate of return, the aforementioned formula was used to prepare the data. After that, One Way
ANOVA and post hoc Tukey's honest significance test was performed.

At alpha level 0.05, a p-value of 0.026 was obtained. Thus, concluding that there is a
significance difference between the returns obtained on different days of the week. To
understand where exactly is the difference in weekdays, the post hoc test was performed
which revealed a significant difference between the returns on Tuesday and Friday. The
returns on Friday are significantly more than those on Tuesday at a p-value of 0.15.