it appears your 7805 is defective. generally voltage regulator like 7805 does need ripple filter however you can add a Capacitor of 1000mfd to smmothend the regulation
Yes, as Adi001 says, your regulator is bad, replace it with one rated for your current requirements and use the 1000uF at the input of the regulator; and one 0.1uF at the output (for filtering higher freq. ripple)
I believe that if improperly connected, the output could be about 9V. Think I ran into this when someone installed it incorrectly/backwards (pins 1 and 3 swapped).
Use the mfr's data sheets for input and output cap values. 1000uF is too large.
If you have it connected correctly and its still putting out 9 volts then the middle leg is not at ground or its bad or you have a 7809 instead of a 7805. Look closely. A nine and a five look very similar when printed on soft plastic. I recently came across a 7813 so some odd stuff is out there. Get another 7805 and install it if you just can't read the writing good enough to be sure. It only takes a small scratch to turn a 9 into a 5.
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