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

Harshita, Shveta Singh and Surendra S. Yadav

Journal of Emerging Market Finance, 2019, vol. 18, issue 1_suppl, S35-S58

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

Keywords: Market efficiency; anomalies; calendar effect; ARCH models; Indian stock market (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/0972652719831549 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:18:y:2019:i:1_suppl:p:s35-s58

DOI: 10.1177/0972652719831549

Access Statistics for this article

More articles in Journal of Emerging Market Finance from Institute for Financial Management and Research
Bibliographic data for series maintained by SAGE Publications ().