Month-of-the-Year Effect: Empirical Evidence from Indian Stock Market

Elangovan, Rajesh; Irudayasamy, Francis Gnanasekar; Parayitam, Satyanarayana

doi:10.1007/s10690-021-09356-2

Cited by 4 publications

(3 citation statements)

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“…Moreover, most of the recent studies on India examine the month-of-the-year effect and turn-of-the-month effect (Harshita et al. , 2018; Elangovan et al. , 2022).…”

Section: Literature Reviewmentioning

confidence: 99%

“…The results of the study found the presence of day-of-the-week effect but do not support the weekend effect in Indian stock market. Moreover, most of the recent studies on India examine the month-of-the-year effect and turn-of-the-month effect (Harshita et al, 2018;Elangovan et al, 2022).…”

Section: Literature Reviewmentioning

confidence: 99%

“…The existence of calendar anomalies contradicts EMH since they indicate market inefficiency and predictability in stock returns. Calendar anomalies are the tendency for stock returns to behave differently at different times of the year, including such anomalies as the day-of-the-week, month-of-the-year, holiday, January and weekend effects (Cross, 1973;Roll, 1983;Ariel, 1990;Sias and Starks, 1995;Kumar, 2015;Jaisinghani, 2016;Caporale and Zakirova, 2017;Gbeda and Peprah, 2018;Harshita et al, 2018;Jaisinghani et al, 2020;Hasan et al, 2022;Singh et al, 2021;Elangovan et al, 2022;Wuthisatian, 2022).…”

Section: Introductionmentioning

confidence: 99%

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Day-of-the-week effect and volatility in stock returns: evidence from the Indian stock market

Aggarwal

Jha

2023

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PurposeThe purpose of this paper is to examine the existence of the day-of-the-week effect in the Indian stock market.Design/methodology/approachGeneralized Autoregressive Conditional Heteroskedasticity (GARCH) (1, 1), Exponential GARCH (EGARCH) (1, 1) and Threshold GARCH (TGARCH) (1, 1) models are employed to examine the day-of-the-week effect in the Indian stock market for the period of 28 years from 3rd July, 1990 to 31st March, 2022.FindingsThe empirical results derived from the GARCH models indicate the existence of day-of-the-week effects on stock returns and volatility of the Indian stock market. The study reveals that all the days of the week are positive and significant in National Stock Exchange (NSE)-Nifty market returns. The findings confirm the persistence of ARCH and GARCH effects in the daily return series. Moreover, the asymmetric GARCH models show that the daily stock returns exhibit significant asymmetric (leverage) effects.Practical implicationsThe results of this study established that the Indian stock market is not efficient and there exists an opportunity to the traders for predicting the future prices and earning abnormal profits in the Indian stock market. The findings of the study are important for traders, investors and portfolio managers to earn abnormal returns by cross-border diversification.Originality/valueFirst, to the best of the authors' knowledge, this paper is the first to study the day-of-the-week effect in Indian stock market considering the most recent and longer time period (1990–2022). Second, unlike previous research, this study used GARCH models (GARCH, EGARCH and TGARCH) to capture the volatility clustering in the data.

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“…Moreover, most of the recent studies on India examine the month-of-the-year effect and turn-of-the-month effect (Harshita et al. , 2018; Elangovan et al. , 2022).…”

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%