Diminishing calendar anomalies: case of Indian equity markets

International Journal of Management Studies, 2018

The Calendar anomalies in the stock markets both in developed and developing countries are a well-documented phenomenon. The study aimed to empirically examine presence of 'day of the week' and 'month of the year' effect in the Indian leading stock market, National Stock Exchange

IAEME PUBLICATION, 2021

According to Kuhn (1970), Financial Market anomalies are cross-sectional and time series patterns in security returns that are not predicted by a central paradigm or theory. The term anomalies in financial markets refer to the situations when a security or group of securities performs differently, and contradicts the trend of efficient markets. The study indicates that Indian stock market shows the both the calendar and week effect. The Monday effect is visible and the Friday effect is also visible. They also support the constructs. The Calendar effect shows that the Indian stock market shows the March and October anomalies. However, the standard January and December effect are not visible in the market. The Indian stock market shows inefficiency and calendar anomalies. However, these anomalies are not commensurate with the European and the American market.

2016

This study investigates the existence of seasonality in India's stock market. The Efficient Market Hypothesis suggests that all securities are priced efficiently to fully reflect all the information intrinsic in the asset. The Seasonal Effects create higher or lower returns depending on the Time Series. They are called Anomalies because they cannot be explained by traditional asset pricing models. Studies on the Seasonal Effects in the Indian Stock Market are limited. In an attempt to fill this gap, this study explores the Indian Stock Market's Efficiency in the 'weak form' in the context of Seasonal Effects. The objective of this paper is to explore the Seasonal Effect on the Indian Stock Market. For the purpose this analysis selected companies and Sensex index was chosen for a period of fifteen years from 1st April 2000 to 31st March 2015. The study found that the Day of the Week Effect and Monthly Effect Pattern did not appear to exist in the Indian Stock Market d...

This paper primarily studies the possible existence of the January Effect or the Turn-Of-The-Year Effect in the Indian stock markets and the study proceeds on two propositions. First, if the January anomaly is ascribed to the tax-related selling, it should be clearly evident in the month of April in the Indian context. Second, if the phenomenon is due to some other reason then it should make itself visible in the month of January in Indian market given its interrelationship with international markets.This study also explores the chances of other common seasonal anomalies discrediting the efficient market hypothesis in the Indian market viz., Other January Effect and Beginning of the month and End of the month effect. This study has used CNX 500, S&P CNX Nifty, CNX Nifty Junior, CNX mid cap and CNX small cap indices of National Stock Exchange of India (NSE). Statistical techniques like dummy variable regression analysis, ARIMA modeling, parametric and non-parametric tests, etc. have been used to fulfill the objective of the study.

SSRN Electronic Journal, 2008

This study investigates the month-of-the-year effect in Indian stock in recent years using monthly data on Indian market index and some other sectoral indices. It accounts for the time-varying volatility of the Indian stock market, at both the market and sectoral level, using the GARCH model and GARCH-M model. This study looks for the presence of calendar anomaly with asymmetric market reactions using TARCH model. It confirms the presence of a significant 'November effect' at both the levels that cannot be explained by the time varying volatility of stock return. A similar trend also persists at the sectoral level. Presence of such seasonal anomaly in the form of a 'November effect' could have significant bearing for the policy makers as well as for individual investors for designing profitable trading strategies. The study attempts further to account for such seasonality in stock return in Indian context.

International Journal of African and Asian Studies, 2015

This paper aims to investigate the calendar anomalies in Karachi Stock exchange by using KSE 100 index during the period of 2008 to 2012. The study examined the existence of week days, weekend and monthly seasonal anomalies. These calendar effects are examined by applying different statistical techniques. First of all series of daily and monthly returns were calculated. Then mean and standard deviation of daily and monthly returns were calculated. The values of mean and standard deviation have rejected the first two null hypothesis and accepted the third one. The results provide an evidence for the existence of calendar anomalies at KSE 100 index. The results showed that there is significant difference among the returns of days of the week, and Friday has highest mean average return which makes it confirm that weekend effect exists at KSE. Finally monthly anomaly in stock returns is also present because there is highest positive return in the month of March.

With the continuous release and rapid dissemination of new information, maintaining efficient markets are hard to achieve. There are many market anomalies, which occur once and disappear, while others are continuously observed. These anomalies usually relate to either macroeconomic factors, such as competition, lack of market transparency, regulatory actions or behavioral biases committed by economic agents. Anomalies could be fundamental, technical, or calendar related. Anomalies which are associated to a particular time are called seasonal effects. And the anomalies which are related to size of the stocks are called size effects. The present study investigates the seasonality and size effect in Indian stock Market. Along with this, the combined effect of seasonality and size has also studied. The results indicate that when these two anomalies combine, the returns are extremely abnormal.

International Journal of Management Studies

The primary objective of this research paper is to find whether calendar effect exists in the BSE Sensex. Calendar effect shows the disparities in stock prices in the stock market subsequent to certain trends based on various time periods of year, various time periods of the month, and various days of the week. This type of tendencies/regular patterns happen at a definite time period in any calendar year. We utilized BSE Sensex data for a period of twelve years, starting from 2005 to 2016 to explore possible patterns of buy-sell months that would result in a minimum level of profitability.

Asia-Pacific Financial Markets, 2022

The present study aims to examine the existence of month-of-the-year effects in the Indian stock market. For analysis, we selected the BSE Ltd and NSE broad market cap indices, namely S&P BSE 500 and NIFTY 500, which are a comprehensive representation of the Indian stock market. The time selected for this study is from April 1, 2011, to March 31, 2021 (i.e., ten years). The study used secondary data collected from the 'monthly open, high, low and closing prices of broad market indices of the Indian stock market through the official websites (www. bsein dia. com; and www. nsein dia. com). The study's findings indicate that the ADF and PP test confirms the presence of unit root of the return series of S&P BSE 500 and NIFTY 500 Indices. The results from the KPSS test confirm the stationarity of the return series of both Indices. The regression coefficients for March were negative and significant for both indices. These results suggest that the month-the-of-the-year effect is the 'March effect.' Keywords Calendar anomalies • Month-of-the-year effect • KPSS test • ARIMA and GARCH

Efficient Market Hypothesis proposes that it is not possible to outperform the market through market timing. However, research studies over the years have reported several anomalies in stock market returns. Anomalies that are linked to a particular time are called calendar effects.The month-of-the-year effect or particularly the January effect is one of such anomalies. The present study in this context has sought to address the issue of the month-of-the-year effect in Indian Stock Market represented by BSE SENSEX during the period ranging from January 2, 2004 to December 28, 2012. The GARCH(1,1)-M model has been used to model the conditional volatility. The results indicate the presence of September and November effects in the SENSEX returns during the study period. Moreover, in the volatility equation the coefficients of March, June, August, October, November and December dummy variables are negative and significant. Hence, it is confirmed that the month-of-the year effect is also present in the variance (volatility or risk) equation.