Month of The Year Anomalies in Stock Markets: Evidence from India

The International Journal of Applied Economics and Finance 8 (3) 82-97, 2014

16 Pages Posted: 18 Nov 2015

See all articles by Gagan Deep Sharma

Gagan Deep Sharma

Guru Gobind Singh Indraprastha (GGSIP) University

Sanjiv Mittal

Guru Gobind Singh Indraprastha (GGSIP) University - University School of Management Studies

Prachi Khurana

Guru Gobind Singh Indraprastha (GGSIP) University

Date Written: March 31, 2014

Abstract

Judging the importance of existence of calendar anomalies in the stock market to the investors, the paper attempts to find out monthly anomalies in the market. The presence of seasonal effects in monthly returns in the Indian market has been reported by many researchers in the past. This study attempts to examine whether the month-of-the-year anomaly still exists in the Indian Stock Market. For this purpose, two indices, S&P CNX Nifty and S&P CNX Nifty Junior and top nine companies (according to market capitalisation) from both the indices have been selected.

The daily closing prices of the respective indices and stocks have been taken and the logarithm return of these prices has been calculated. Line charts and unit-root test are applied to check the stationary nature of the series. The Dummy Variable Regression Model has been applied on the returns to find out any statistically significant deterrent month in the year.

The paper observes that both the indices and some of the selected companies reflect the month-of-the-year anomalies in the Indian Stock Market. Mainly, the monthly anomaly is found at the end of a quarter for the given period.

Suggested Citation

Sharma, Gagan Deep and Mittal, Sanjiv and Khurana, Prachi, Month of The Year Anomalies in Stock Markets: Evidence from India (March 31, 2014). The International Journal of Applied Economics and Finance 8 (3) 82-97, 2014, Available at SSRN: https://ssrn.com/abstract=2690797

Gagan Deep Sharma (Contact Author)

Guru Gobind Singh Indraprastha (GGSIP) University ( email )

Sector 16 C,
Dwarka
Delhi, Delhi 110078
India

Sanjiv Mittal

Guru Gobind Singh Indraprastha (GGSIP) University - University School of Management Studies ( email )

New Delhi, 110065
India

Prachi Khurana

Guru Gobind Singh Indraprastha (GGSIP) University ( email )

Sector 16 C, Kashmere Gate
Dwarka
Delhi, DE 110006
India

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