A Study of Day of the Month Effect in S&P CNX Nifty 50

14 Pages Posted: 7 Dec 2012

See all articles by Dr.Jay Desai

Dr.Jay Desai

B.K.School of Business Management, Gujarat University

Arti Trivedi

Shri Chimanbhai Patel Institute of Management & Research

Date Written: December 6, 2012

Abstract

A curious seasonal anomaly found in finance is the turn of the month effect, where the daily mean return of stock market at the end of a month and beginning of a month is significantly higher than the average daily return of all the days of a month. There have been evidences that certain months in a year deliver significantly higher returns. Similar anomalies are found for week days also, where some days in a week deliver above average returns. Seasonal anomalies for researchers have been a subject of great interest and lot of literature is available worldwide. This paper examines presence of presence of day of the month effect in leading stock indices of India S&P CNX Nifty 50. We have tested the presence of day of the month effect from the year 1994 in the research. We found that the Nifty return data is not normally distributed and skewed. To test the statistical significance of difference in date wise return we have used Kruskal-Wallis Test. To identify the statistically significant days, we have used Z Statistics. We found that the date wise return in Nifty to be statistically different and there exists opportunity to earn excess return due to day of the month anomaly.

Keywords: seasonality, day of the month effect, stock market inefficiencies, efficient market hypothesis, portfolio management, market timing, stock trading, EMH

JEL Classification: G11, G14, G15, N20, N22, N24, N25, N26

Suggested Citation

Desai, Jay and Trivedi, Arti, A Study of Day of the Month Effect in S&P CNX Nifty 50 (December 6, 2012). Available at SSRN: https://ssrn.com/abstract=2186110 or http://dx.doi.org/10.2139/ssrn.2186110

Jay Desai (Contact Author)

B.K.School of Business Management, Gujarat University ( email )

Navrangpura
Ahmedabad, Gujarat 380009
India

HOME PAGE: http://www.jaydesai.net

Arti Trivedi

Shri Chimanbhai Patel Institute of Management & Research ( email )

Opp. Karnavati Club
S G Highway
Ahmedabad, 380015
India
+91-79-30076616 (Phone)

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

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