This study investigates extent of market efficiency and presence of day of week effect in stock market indices and volume and volatility in four major SAARC countries, namely Pakistan, Bangladesh, India and Sri Lanka for the period 1999 to 2014. The day of week anomaly is detected by using day of week dummies in return and volume model with ARMA specification estimated by Ordinary Least Square. The day of week effect in volatility is captured by GARCH model with days of week dummies in conditional mean and variance equations. The GARCH-M model is applied to see that investor is getting reward for facing volatility risk. The asymmetry in volatility is estimated by TGARCH-M and EGARCH-M. The evidence shows the presence of day-of-theweek effects in returns and volume in Pakistan, India, Bangladesh and Sri Lanka. The results also indicate that asymmetric volatility behaviour is present in all of four markets. However, day of week effects and asymmetric effects detected in these markets may be possibly to due to over-reaction and underreaction of investors on particular day of week.