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

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