Calendar Effects In The Indian Stock Market

Abstract

We find two distinct calendar effects in returns for the Indian stock market. More specifically, we find a November-December effect in which we document that mean returns for November and December are significantly greater than those of the other ten months. We also identify a March-to-May effect in which mean returns for the months March to May are significantly less than those during the other nine months. We further demonstrate that these are two distinct effects that are independent of each other.

Seasonality and Market Crashes in Indian Stock Markets

“…In particular, there is clear indication of positive November, August, and December effects, and a negative March effect. These results are consistent with the literature, particularly Patel (2008). The end-of-the-year effect (i.e.…”

“…On the other hand, Elango and Pandey (2008) studied the month-of-the-year effect in the NSE, finding the presence of a January anomaly, with March and April having significant negative returns, and November and December showing significant positive returns. Patel (2008) also studied calendar effects in monthly returns in Indian stock markets, finding two distinct effects: a November-December effect, in which the mean returns for November and December were significantly higher than those in the other ten months, and a March-to-May effect, in which mean returns for the months March to May were significantly lower than those during the other nine months; and they showed that these effects were independent of each other.…”

Revisiting Calendar Anomalies in Brics Countries

“…1 A related but different month anomaly is the TOM effect, when investors earn abnormal returns on the last few trading days of the previous month and on the first trading days of the current month. 2 The third anomaly, the DOW effect, reveals itself when the distribution of stock market returns differs significantly over the course of the week and abnormal returns are generated on certain DOWs (e.g., Brooks and Persand, 2001;Patel, 2008;Zhang et al, 2017). 3 The last anomaly we study is the holiday effect, which implies significantly abnormal returns on the trading day before or after a holiday.…”

Altin, Ham Petrol, GVZ Ve Ovx i̇n Türk Fi̇nansal Pi̇yasalarina Si̇metri̇k Ve Asi̇metri̇k Etki̇leri̇

“…Bu nedenle, nedenselliğin test edilmesinden önce serilerin, mevsimsel etkilerden arındırılması önerilmektedir. Yapılan çalışmalara göre, finansal serilerde gözlemlenen mevsimsel etkilerin genellikle, "Haftanın Günü Etkisi" ve "Yılın Ayı Etkisi" olduğundan bahsedilmektedir (Brusa & Liu, 2004;Ng & Wang, 2004;Jefferis & Smith, 2005;Raj & Kumari, 2006;Chukwuogor, 2007;Alagidede, 2008;Choudhary & Choudhary, 2008;Patel, 2008;Jacobsen & Visaltanachoti, 2009;Latif vd., 2011;Ulussever vd., 2011;Berument & Dogan, 2012;Hsieh & Chen, 2012;Mbululu & Chipeta, 2012;Kalidas vd., 2013;Plimsoll vd., 2013;Dicle & Levendis, 2014;Singh, 2014;Auer & Rottmann, 2014;Archana vd., 2014;Carchano & Pardo, 2015;Kayacetin & Lekpek, 2016;Kumar & Jawa, 2016;Gupta, 2017;Kaushik, 2017;Sing & Yadav, 2019;v.b.). Bu nedenle, çalışmada nedensellikten önce getiri serilerindeki ilk olarak "Haftanın Günü Etkisi" kukla değişkenler yardımı ile araştırılmıştır.…”