Seasonality in Momentum Profits: Evidence from the Indian Stock Market

Abstract

The paper investigates Indian momentum profitability along with its performance stability round the year using the stock price data from National Stock Exchange (NSE). Results show evidence in favour of momentum profitability over the sample period from 1997 to 2013. Moreover, the momentum performance is not specific to any particular month suggesting no influence of calendar on momentum anomaly in the Indian stock market, though momentum strategies performed differently in different calendar months, with particularly strong negative returns in the month of May. However, no statistically significant difference was observed among the mean monthly momentum returns across calendar months. Contrary to the US market findings, no January or similar April seasonality is observed in the Indian momentum profits suggesting some unique characteristics of Indian momentum profitability. In nutshell, the results from the study suggest support in favour of practical implementation of momentum strategies throughout the year in the Indian stock market.

The Effect of Global Crises on Momentum Profitability: Evidence from the Indian Stock Market

“…The most profitable strategy 6 × 6 ( F = 6; H = 6) delivers a momentum return of 2.03 per cent per month which is equivalent to an AR of 24.36 per cent. The overall results from the study are consistent with previous domestic (Ansari & Khan, 2012; Dhankar & Maheshwari, 2014; Maheshwari & Dhankar, 2015; Sehgal & Balakrishnan, 2002) as well as international studies that suggest strong momentum profitability in the Indian stock market.…”

“…In addition to these, momentum profits were also observed in Australian (Hurn & Pavlov, 2003), Spanish (Forner & Marhuenda, 2003), Italian (Mengoli, 2004), Honk Kong (Cheng & Wu, 2010) and Chinese (Wu, 2011) stock markets suggesting global presence of momentum profitability. As far as the Indian stock market is concerned, strong momentum profits were observed by Sehgal and Balakrishnan (2002), Ansari and Khan (2012), Sehgal and Jain (2012), Dhankar and Maheshwari (2014) and Maheshwari and Dhankar (2015).…”