 Calendar return seasonality across sectors, sizes and styles - evidence from the Indian equity marketsSubhransu Sekhar Mohanty Afro-Asian Journal of Finance and Accounting, 2018, vol. 8, issue 3, 317-335 Abstract: As literature shows, market anomalies in their various forms exist in different markets around the globe. Evidence of seasonality of returns in any form, whether based on time period such as over specific days, weeks and months, or over size, such as large, medium or small or over different classifications such style (growth/value/momentum), or across various sectors or triggered by material announcements such as earnings, dividend, etc., are all contradictory to any of the three forms of efficient market hypothesis (EMH). In this paper we have made an attempt to find out calendar seasonality of returns in the Indian stock markets. We find that return seasonality exists in the Indian markets across sectors, sizes and styles during a 'month of the year' and during a 'day of the week'. These findings can be attributed to many behavioural aspects of investors and can be used by them in predicting the future returns, or in defining investment strategies in order to benefit from abnormal returns. Keywords: calendar return seasonality; market anomalies; month-of-the-year effect; day-of-the-week effect; holiday effect; small-firm-in-January effect; tax-loss selling effect; feedback model; India. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:afasfa:v:8:y:2018:i:3:p:317-335 Access Statistics for this article More articles in Afro-Asian Journal of Finance and Accounting from Inderscience Enterprises Ltd |
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