References (6)



The December Phenomenon: Month-of-the-Year Effect in the Indian Stock Market

Anokhi Parikh

CNBC TV18; Manchester Business School

January 1, 2009

NSE News, January 2009

This paper examines the month-of-the-year in the Indian stock market during the period 1999-2008. The GARCH model and Exponential GARCH have been employed to test for calendar anomalies using the monthly returns of the National Stock Exchange Index. The results confirm the presence of a significant 'December effect' in the Indian stock market even after taking time varying volatility into account. There are no information asymmetries in the Indian stock market as seen in the results produced by the EGARCH model.

Number of Pages in PDF File: 8

Keywords: Seasonalities, Indian Stock Market, Month-of-the-year effect, GARCH models

JEL Classification: G10, G14

Accepted Paper Series

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Date posted: April 19, 2010  

Suggested Citation

Parikh, Anokhi, The December Phenomenon: Month-of-the-Year Effect in the Indian Stock Market (January 1, 2009). NSE News, January 2009. Available at SSRN: http://ssrn.com/abstract=1592046

Contact Information

Anokhi Parikh (Contact Author)
CNBC TV18 ( email )
Manchester Business School
United Kingdom
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