multiple regression with dummy variables in e-views

[Nidhi Dhankhar]

Good afternoon 

I am working on finding the day of week anomaly in indian stock market. For that purpose I take returns as dependent variable  and dummy of monday , tuesday,  wednesday, thursday and friday as independent variable by taking coding of 0,1 

Dummy monday = 1 if that day is monday or otherwise 0 & so on 

I am using the equation as: 

Return C dummy2 dummy3 dummy4 dummy5 

Or 

Return C @expand(@weekday, @dropfirst) 

Dummy 1 is not included in the above equation for avoiding dummy variable trap.

When I performing the above equation with the other data of existing Literature the result obtained is totally different. More over I extend this study by using GARCH model but the same issue is obtained here.

Is there any mistake in above equation . 

Please let me know 

Thanks & Regards 

Nidhi 

Research scholar 

CCS HAU Hisar 

[Sunita Arora]

Hi Nidhi can you elaborate what issue you are facing

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