Semi-monthly effect in stock returns: new evidence from Bombay Stock Exchange-Reference-Cited by-同舟云学术

Semi-monthly effect in stock returns: new evidence from Bombay Stock Exchange

Published:2017-10-25 Issue:3 Volume:14 Page:160-172
ISSN:1810-4967
Container-title:Investment Management and Financial Innovations
language:
Short-container-title:Investment Management and Financial Innovations

Author:

B. Shakila¹,Pinto Prakash²^ORCID,Thonse Hawaldar Iqbal³^ORCID

Affiliation:

1. Assistant Professor and Research Scholar, Department of Business Administration, St. Joseph Engineering College

2. Ph.D., Professor and Dean, Department of Business Administration, St Joseph Engineering College Mangaluru, Karnataka

3. Ph.D., Professor, College of Business Administration, Kingdom University

Abstract

Semi-monthly effect is a kind of calendar anomalies which is less explored in the financial literature. The main objective of this paper to investigate the presence of semi-monthly effect in selected sectoral indices of Bombay Stock Exchange (BSE). The study uses the daily stock returns of five sectoral indices viz S&amp;P BSE Auto Index, S&amp;P BSE Bankex, S&amp;P BSE Consumer Durables Index, S&amp;P BSE FMCG Index and S&amp;P BSE Health Care Index for the period of 10 years starting from 1st April 2007 to 31st March 2017. The data were analyzed using two approaches namely calendar days approach and trading days approach. To test the equality of mean returns for the two halves of the month, Mann-Whitney U test is used. The empirical results of the study did not provide any evidence for the presence of semi-monthly effect in the selected sectoral indices. Nevertheless, BSE Auto Index showed significant difference in the mean returns of first half and second half of trading month during the study period.

Publisher

LLC CPC Business Perspectives

Subject

Strategy and Management,Economics and Econometrics,Finance,Business and International Management

Link

https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/9267/imfi_2017_03cont1_Shakila.pdf

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