Seasonality and Market Crashes in Indian Stock Markets

9 Pages Posted: 15 Mar 2011

See all articles by Mihir Dash

Mihir Dash

Alliance University - School of Business

Mohit Sabharwal

affiliation not provided to SSRN

Anirban Dutta

Alliance University - Alliance School of Business; Genpact India Pvt. Ltd.

Date Written: March 14, 2011

Abstract

The presence of seasonal effects in monthly returns has been reported in several developed and emerging stock markets. The objective of this study is to explore the interplay between the month-of-the-year effect and market crash effects on monthly returns in Indian stock markets. The study uses dummy variable multiple linear regression to assess the seasonality of stock market returns and the impact of market crashes on the same. The results of the study provide evidence for a month-of-the-year effect in Indian stock markets, particularly positive November, August, and December effects, and a negative March effect. Further, the study suggests that the incidence of market crashes reduces the seasonal effects.

Keywords: month-of-the-year effect, market crash effects, dummy variable regression

JEL Classification: G14

Suggested Citation

Dash, Mihir and Sabharwal, Mohit and Dutta, Anirban, Seasonality and Market Crashes in Indian Stock Markets (March 14, 2011). Available at SSRN: https://ssrn.com/abstract=1785112 or http://dx.doi.org/10.2139/ssrn.1785112

Mihir Dash (Contact Author)

Alliance University - School of Business ( email )

Chikkahagade Cross,
Chandapura-Anekal Road, Anekal
Bangalore, Karnataka 562106
India
9945182465 (Phone)

Mohit Sabharwal

affiliation not provided to SSRN ( email )

Anirban Dutta

Alliance University - Alliance School of Business ( email )

Anekal Main Road
Anekal
Bangalore, 562106
India
+91.80.3093 8209 (Phone)

Genpact India Pvt. Ltd. ( email )

DLF Phase 5
Gurgaon
India
9051138805 (Phone)

HOME PAGE: http://www.genpact.com

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