Day‐of‐the‐week and other market anomalies in the Indian stock market

Mahendra Raj and Damini Kumari

International Journal of Emerging Markets, 2006, vol. 1, issue 3, 235-246

Abstract: Purpose - This paper attempts to investigate the presence of seasonal effects in the Indian stock market. Design/methodology/approach - The paper tests the efficiency of the Indian stock market through a number of hypotheses. Week day effects, day‐of‐the‐week, weekend, January and April effects are examined by applying a variety of statistical techniques. Findings - The results are interesting and contradict some of the findings found elsewhere. The negative Monday effect and the positive January effects are not found in India. Instead the Monday returns are positive while Tuesday returns are negative. Research limitations/implications - The seasonal effects in the Indian market have been examined by the two major indices, the Bombay Stock Exchange Index and the National Stock Exchange Index. However, it must be remembered that the Indian economy became deregulated from 1991 and this may have had an impact on the markets. Practical implications - This study indicates that the Indian stock market does not exhibit the usual seasonal anomalies such as Monday and January effect. The absence of Monday effect could be due to the settlement period in Indian market. That the tax year ends in March and December has no special significance may explain the non‐existence of January Originality/value - Most of the studies on anomalies have dealt with the developed markets. The Indian market has its unique Badla financing, settlement period duration and trading regulations. The presence/absence of the anomalies may provide support to some of the hypotheses used to explain them.

Keywords: Stock markets; India; Seasonality (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:eme:ijoemp:17468800610674462

DOI: 10.1108/17468800610674462

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