• Dr. Haritika Arora

Intraweek and Intraday return patterns of Indian stock market are explored using five-minute interval return data under following sub-objectives: a) Intraweek variation of returns b) Intraday variation of returns and c) Intraday variation of returns across the week. Results depict presence of Day of the week effect. However, this Day of the week anomaly disappeared on Nifty, ICICI Bank, Axis Bank Ltd., DLF, Bharat Heavy Electricals Ltd. and Sesa Goa Ltd. after the introduction of pre-opening session. Intraday variation of returns reveals U-shaped pattern and reverse J shape or L-shape pattern in Indian stock market. Intraday variation of returns across the week reveal prominent Monday morning returns in many companies across the three periods.

Day of the week effect, Intraweek patterns, Intraday patterns, Seasonality.

"INTRAWEEK AND INTRADAY RETURN PATTERNS OF INDIAN STOCK MARKET", International Journal of Emerging Technologies and Innovative Research (www.jetir.org), ISSN:2349-5162, Vol.5, Issue 6, page no.123-152, June-2018, Available :http://www.jetir.org/papers/JETIR1806628.pdf

"INTRAWEEK AND INTRADAY RETURN PATTERNS OF INDIAN STOCK MARKET", International Journal of Emerging Technologies and Innovative Research (www.jetir.org | UGC and issn Approved), ISSN:2349-5162, Vol.5, Issue 6, page no. pp123-152, June-2018, Available at : http://www.jetir.org/papers/JETIR1806628.pdf