In recent years the testing of seasonality in stock returns has become an active
field of research in empirical finance and has been receiving attention from not
only academic journals but also the financial press. Among the more wellknown
volatilities are the size effect, the month effect and the day-of-the week
effect. The day of the week effect is a phenomenon that constitutes a form of
anomaly of the efficient capital markets theory. According to this phenomenon,
the average daily return of the market is not the same for all days of the week,
as we would expect on the basis of the efficient market theory. Month of the
year effect would exist if returns on a particular month are higher than other
months. This paper attempts to investigate the presence of seasonal effects in
the Bombay Stock exchange(BSE) through week day effect and month of the
year effect . The closing price of SENSEX has been taken for 17 years, from
1993 to 2009. Variety of statistical techniques have been used to see if any
seasonality is present in the Bombay Stock exchange.