Unique Calendar Effects in the Indian Stock Market: Evidence and Explanations

Harshita, .; Singh, Shveta; Yadav, Surendra S.

doi:10.1177/0972652719831549

Cited by 10 publications

(6 citation statements)

References 78 publications

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“…However, an impulsive response that may occur due to financial disclosures by the firms, monetary news announcements, or psychological factors result in certain trading irregularities in the form of abnormally high or low calendar patterns; commonly known as calendar anomalies. Such observed inconsistencies are more evident in stock markets and have been analyzed in various studies (Harshita, Singh, & Yadav, 2019;Jaffe & Westerfield, 1985;Jones, Lee, & Apenbrink, 1991).…”

Section: Introductionmentioning

confidence: 94%

COVID-19 and Seasonality in Monthly Returns: a Firm Level Analysis of PSX

Naz,

Lutfullah,

Zahra

2024

Zagreb International Review of Economics and Business

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The current study scrutinizes the calendar anomalies in the context of the local market by analyzing the Pakistan Stock Exchange (PSX). For this purpose, closing prices of KSE-100, KSE-30 and KSE-All share Index from January, 2009 to June, 2021 have been used as well as a thorough individual firm level analysis is done, taking average log-returns of selected sample firms returns using OLS regression, general GARCH (1,1), asymmetric TGARCH and PGARCH models. The results indicate monthly seasonality, with significant April, July, and September effect in PSX indices returns. The findings of the study reveal that weak form inefficiency exists in Pakistan Stock Market, which implies the possibility of earning abnormal returns by investors using timing strategies. Due to global pandemic conditions, investor psychology investors turned circumspect. Consequently, the individual firms’ trading has also reduced.

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Section: Introductionmentioning

confidence: 94%

COVID-19 and Seasonality in Monthly Returns: a Firm Level Analysis of PSX

Naz,

Lutfullah,

Zahra

2024

Zagreb International Review of Economics and Business

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“…One of the important explanations is the tax-loss selling theory, i.e. investors tend to sell stocks at a declining price at year-end to counterbalance capital gains by realizing capital losses, which could drive such stocks to earn comparatively higher returns in January (Harshita et al. , 2019).…”

Section: Literature Reviewmentioning

confidence: 99%

“…, 2019). Another explanation for this effect could be the window dressing that institutional investors generally make (Lakonishok and Smidt, 1988; Harshita et al , 2019). Conversely, Fountas and Segredakis (2002) find no evidence for the January effect and its associated tax-loss selling hypothesis in the emerging stock markets context.…”

Section: Literature Reviewmentioning

confidence: 99%

Calendar anomalies in the stock markets: conventional vs Islamic stock indices

Hasan

Hassan

Rashid

et al. 2021

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PurposeIn this study, the authors evaluate seven calendar anomalies’–the day of the week, weekend, the month of the year, January, the turn of the month (TOM), Ramadan and Eid festivals–effects in both the conventional and Islamic stock indices of Bangladesh. Also, the authors examine whether these anomalies differ between the two indices.Design/methodology/approachThe authors select the Dhaka Stock Exchange (DSE) Broad Index (DSEX) and the DSEX Shariah Index (DSES) of the DSE as representatives of the conventional and Islamic stock indices respectively. To carry out the investigation, the authors employ the generalized autoregressive conditional heteroskedasticity (GARCH) typed models from January 25, 2011, to March 25, 2020.FindingsThe study’s results indicate the presence of all these calendar anomalies in either conventional or Islamic indices or both, except for the Ramadan effect. Some significant differences in the anomalies between the two indices (excluding the Ramadan effect) are detected in both return and volatility, with the differences being somewhat more pronounced in volatility. The existence of these calendar anomalies argues against the efficient market hypothesis of the stock markets of Bangladesh.Practical implicationsThe study’s results can benefit investors and portfolio managers to comprehend different market anomalies and make investment strategies to beat the market for abnormal gains. Foreign investors can also be benefited from cross-border diversifications with DSE.Originality/valueTo the authors’ knowledge, first the calendar anomalies in the context of both conventional and Islamic stock indices for comparison purposes are evaluated, which is the novel contribution of this study. Unlike previous studies, the authors have explored seven calendar anomalies in the Bangladesh stock market's context with different indices and data sets. Importantly, no study in Bangladesh has analyzed calendar anomalies as comprehensively as the authors’.

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“…Several studies have been reviewed in Kumar (2017) and based on the findings, the markets have achieved a higher degree of efficiency during the 1980s and 1990s. Others related studies on calendar effect can be found in Abalala & Sollis 2015, Harshita & Yadav (2019) and Saldanha & Desai (2019).…”

Section: Introductionmentioning

confidence: 98%

Stock Market Anomalies: A Case of Calendar Effects on the Malaysian Stock Market

Shariff¹,

Yusof²

2021

MJoC

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The existence of market anomalies for the return reveals the inefficiency in the market that could affect investor investment strategy, portfolio selection, and profit management. It is due to the unpredictable movement of the stock market return that will affect the decision of investors later. As such, this study intends to investigate day of the week effect, a month of the year effect, and a quarter of the year effect on the Malaysian Stock Exchange, namely the Kuala Lumpur Composite Index (KLCI) on data from 2nd January of 2015 until 31st December 2018. Based on the findings from Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model analysis, it is found that the daily effect on returns was insignificant. Possible reasons for the insignificant return could be due to the lack of time-series data. However, the significant monthly effect on returns of May, November, and December while the quarterly effect on the returns is found significant in the first quarter. This study also concludes that volatility shock is persistent in the returns for all those three market anomalies.

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Unique Calendar Effects in the Indian Stock Market: Evidence and Explanations

Cited by 10 publications

References 78 publications

COVID-19 and Seasonality in Monthly Returns: a Firm Level Analysis of PSX

COVID-19 and Seasonality in Monthly Returns: a Firm Level Analysis of PSX

Calendar anomalies in the stock markets: conventional vs Islamic stock indices

Stock Market Anomalies: A Case of Calendar Effects on the Malaysian Stock Market

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