Semi-Monthly Effect in Stock Returns: New Evidence from Bombay Stock Exchange

Investment Management and Financial Innovations, October, 2017, Vol. 14, No. 3, pp. 160-172.

13 Pages Posted: 2 Jan 2020

See all articles by Shakila Bolar

Shakila Bolar

affiliation not provided to SSRN

Prakash Pinto

affiliation not provided to SSRN

Iqbal Thonse Hawaldar

Kingdom University

Date Written: October 30, 2017

Abstract

Semi-monthly effect is a kind of calendar anomalies which is less explored in the financial literature. The main objective of this paper to investigate the presence of semimonthly effect in selected sectoral indices of Bombay Stock Exchange (BSE). The study uses the daily stock returns of five sectoral indices viz S&P BSE Auto Index, S&P BSE Bankex, S&P BSE Consumer Durables Index, S&P BSE FMCG Index and S&P BSE Health Care Index for the period of 10 years starting from 1st April 2007 to 31st March 2017. The data were analyzed using two approaches namely calendar days approach and trading days approach. To test the equality of mean returns for the two halves of the month, Mann-Whitney U test is used. The empirical results of the study did not provide any evidence for the presence of semi-monthly effect in the selected sectoral indices. Nevertheless, BSE Auto Index showed significant difference in the mean returns of first half and second half of trading month during the study period.

Keywords: semi-monthly effect, calendar anomalies, Bombay Stock Exchange, calendar days approach, trading days approach

JEL Classification: G10, G14

Suggested Citation

Bolar, Shakila and Pinto, Prakash and Hawaldar, Iqbal Thonse, Semi-Monthly Effect in Stock Returns: New Evidence from Bombay Stock Exchange (October 30, 2017). Investment Management and Financial Innovations, October, 2017, Vol. 14, No. 3, pp. 160-172. , Available at SSRN: https://ssrn.com/abstract=3504476

Shakila Bolar

affiliation not provided to SSRN

Prakash Pinto

affiliation not provided to SSRN

Iqbal Thonse Hawaldar (Contact Author)

Kingdom University ( email )

Sanad
Bahrain

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