Estimating the risk of day specific positive return under the influence of futures contracts

The unpredictability of return experienced by any stock market is a pivotal factor to open out the issue which is extremely sensitive on the part of investors, regulators and policy makers in parlance. The effect of different day implies that the return is not independent. Investment opportunities can therefore turn out to be very complicated due to this abnormal behavior. The present study focuses on this type of opportunity, specifically on the analysis of the effect of different day on the return of Indian Stock Market under the influence of futures contract. In order to capture the exclusive effect of futures contracts introduction, the data on daily price of CNX-Nifty Index has been taken from June 1999 to June 2001.The findings indicate that abnormal behavior is present in the returns of the Indian Stock Market. Mean return is found maximum on Wednesday in comparison to other trading days. The difference in mean return within the trading days is statistically significant and the introduction of index futures trading does not influence the behavior of day specific positive return. The finding is fruitful particularly to small investors in relation to their decision regarding the timing of entry and exit from the financial market.