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.

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