Weekend Effect in Stock Returns: Do Stocks perform differently on Mondays VS Fridays?

Abstract The "Monday effect" or "weekend effect" is arguably one of the most documented calendar anomalies in the financial markets that is inconsistent with the underlying meaning of the efficient market hypothesis as stock returns exhibit systematic patterns based upon the day of week. The research presented examines whether stocks behave differently on Mondays relative to Fridays observing both the size and direction of returns on these trading days. Using quantitative research methodology examined stock returns on a daily frequency from the National Stock Exchange of India for a five-year period (2019 to 2024) for data on a sample of 500 companies from different sectors. The quantitative research methodology applies statistical tests including t-tests, ANOVA, and regression analysis to identify whether a statistically significant difference exists in mean returns on Mondays and Fridays. Our evidence provided a statistically significant weekend effect, the average Monday return of -0.23% and the average Friday return of + 0.18% gave a differential of 0.41 percentage points. The evidence shows a larger effect on mid-cap and small-cap stock relative to large-cap stock which suggests the weekend effect is a function of market capitalisation. The results of the study have important implications for the management of portfolios, trading strategies, and market efficiency. The study adds to the growing field of literature on calendar anomalies in emerging markets, and provides practical information for investors and fund managers who want to enhance their trading strategies in conformity with weekly market trends.