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. Most of the studies on day of the week effects in the futures markets have focused on developed markets. India, even though is an emerging market, is one of the largest derivatives markets in the world. The study throws light on the efficiency of the futures market in the country and also presents a comparison with the spot market. It is also one of the first papers in the Indian context to look at trading and non-trading period returns separately.