The paper studies the efficiency of the Indian equity and futures markets by applying statistical techniques to returns and volatility during trading and nontrading hours. Returns have been decomposed into trading and non-trading period returns by taking close to open, open to close and close to close prices. We find the presence of a weekend effect during the non-trading period in the spot index market, while, there is no day of the week effect in the index futures market. Also, the volatility in both the markets is higher during the trading period than during the non-trading period. | Day-of-the-week effects in the Indian spot and futures markets
