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

NSE News, January 2009

8 Pages Posted: 19 Apr 2010  

Anokhi Parikh

Unversity of Mumbai- Economics; University of Manchester - Manchester Business School

Date Written: January 1, 2009

Abstract

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.

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

JEL Classification: G10, G14

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: https://ssrn.com/abstract=1592046

Anokhi Parikh (Contact Author)

Unversity of Mumbai- Economics ( email )

Mumbai, 400 019
India

University of Manchester - Manchester Business School ( email )

Booth Street West
Manchester, M15 6PB
United Kingdom

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