Month-of-the-Year Effect: Empirical Evidence from Indian Stock Market

Rajesh Elangovan (), Francis Gnanasekar Irudayasamy () and Satyanarayana Parayitam ()
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Rajesh Elangovan: Bishop Heber College (Autonomous)
Francis Gnanasekar Irudayasamy: St. Joseph’s College (Autonomous)
Satyanarayana Parayitam: Charlton College of Business, University of Massachusetts Dartmouth

Asia-Pacific Financial Markets, 2022, vol. 29, issue 3, No 3, 449-476

Abstract: Abstract The present study aims to examine the existence of month-of-the-year effects in the Indian stock market. For analysis, we selected the BSE Ltd and NSE broad market cap indices, namely S&P BSE 500 and NIFTY 500, which are a comprehensive representation of the Indian stock market. The time selected for this study is from April 1, 2011, to March 31, 2021 (i.e., ten years). The study used secondary data collected from the 'monthly open, high, low and closing prices of broad market indices of the Indian stock market through the official websites ( www.bseindia.com ; and www.nseindia.com ). The study's findings indicate that the ADF and PP test confirms the presence of unit root of the return series of S&P BSE 500 and NIFTY 500 Indices. The results from the KPSS test confirm the stationarity of the return series of both Indices. The regression coefficients for March were negative and significant for both indices. These results suggest that the month-the-of-the-year effect is the 'March effect.'

Keywords: Calendar anomalies; Month-of-the-year effect; KPSS test; ARIMA and GARCH (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s10690-021-09356-2

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