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

Author:

Harshita 1,Singh Shveta2,Yadav Surendra S.2

Affiliation:

1. FORE School of Management, New Delhi, India.

2. Department of Management Studies, Indian Institute of Technology Delhi, New Delhi, India.

Abstract

Covering 20 years (1995–2015), the article ascertains the presence of the month-of-the-year effect in the Indian stock market, for the raw returns series as well as after adjusting for non-linearities of the market. Whether the effect is the same for portfolios of different sizes and values is also ascertained. The threshold generalised autoregressive conditionally heteroskedastic (TGARCH) model is employed to address non-linearity. The results suggest the presence of higher returns in November/December at the index level. Further, only firms with a size smaller than the average exhibit seasonality in the form of the April/May and November/December effect. The value-sorted portfolios exhibit weaker evidence of the December effect. Tax-loss selling, window dressing and behavioural aspects seem to provide the explanation. JEL Classification: C58, G14

Publisher

SAGE Publications

Subject

Economics and Econometrics,Finance

Cited by 6 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. COVID-19 and Seasonality in Monthly Returns: a Firm Level Analysis of PSX;Zagreb International Review of Economics and Business;2024-05-01

2. Testing Stock Market Anomalies in Nifty 50 Stocks: An Empirical Analysis in the Indian Context By IJISRT;International Journal of Innovative Science and Research Technology (IJISRT);2024-03-19

3. The effects of environmental taxation on stock returns of renewable energy producers: Evidence from Turkey;Renewable Energy;2023-05

4. Seasonality index in different asset classes in India;AIP Conference Proceedings;2023

5. An overview of Indian stock market and its efficiency;RECENT TRENDS IN SCIENCE AND ENGINEERING;2022

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号  京ICP备18003416号-3