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An Empirical Analysis of Semi-Month and Turn of the Month Effects in Indian Stock Market

2020
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Release : 2020
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Book Synopsis An Empirical Analysis of Semi-Month and Turn of the Month Effects in Indian Stock Market by : Dr. P. Nageswari Sathish

Download or read book An Empirical Analysis of Semi-Month and Turn of the Month Effects in Indian Stock Market written by Dr. P. Nageswari Sathish. This book was released on 2020. Available in PDF, EPUB and Kindle. Book excerpt: The efficiency of the capital market raises various issues all over the world. Earlier research studies give evidence that the capital markets are informational efficient and hence, cannot outperform the market consistently on the basis of price change predictions. However, some researchers have also brought into light seasonal effects/calendar anomalies in the developed markets. This paper investigates one such anomaly (Semi-month and Turn of the month effects) in an emerging Indian Capital Market. The S&P CNX Nifty and BSE Sensex Index data have been collected and analyzed for a period of six years from 1st January 2005 to 31st December 2010. The analysis of the study found that the semi-month and turn of the Month Effect not exists in Indian Stock Market during the study period.

An Empirical Analysis of Calendar Anomalies in Stock Returns – Evidence from India

2022-03-09 Antiques & Collectibles
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Release : 2022-03-09
Genre : Antiques & Collectibles
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Book Rating : 485/5 ( reviews)

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Book Synopsis An Empirical Analysis of Calendar Anomalies in Stock Returns – Evidence from India by : Dr. Sitaram Pandey

Download or read book An Empirical Analysis of Calendar Anomalies in Stock Returns – Evidence from India written by Dr. Sitaram Pandey . This book was released on 2022-03-09. Available in PDF, EPUB and Kindle. Book excerpt:

An Empirical Study on Seasonal Analysis in the Indian Stock Market

2020
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Release : 2020
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Book Synopsis An Empirical Study on Seasonal Analysis in the Indian Stock Market by : Dr. P. Nageswari Sathish

Download or read book An Empirical Study on Seasonal Analysis in the Indian Stock Market written by Dr. P. Nageswari Sathish. This book was released on 2020. Available in PDF, EPUB and Kindle. Book excerpt: The presence of the Seasonal or Monthly Effect in stock returns has been reported in several developed and emerging stock markets. This study investigates the existence of seasonality in India's stock market. The Efficient Market Hypothesis suggests that all securities are priced efficiently to fully reflect all the information intrinsic in the asset. The Seasonal Effects create higher or lower returns depending on the Time Series. They are called Anomalies because they cannot be explained by traditional asset pricing models. Examples of such patterns include e.g. the January Effect, the Day-of-the Week Effect and the Week of the Month Effect etc. Studies on the Seasonal Effects in the Indian Stock Market are limited. In an attempt to fill this gap, this study explores the Indian Stock Market's Efficiency in the 'weak form' in the context of Seasonal Effects. The objective of this paper is to explore the Seasonal Effect on the Indian Stock Market. For the purpose this analysis BSE Sensex index was chosen for a period of ten years from 1st April 2000 to 31st March 2010. The study found that the Day of the Week Effect and Monthly Effect Pattern did not appear to exist in the Indian Stock Market during the study period.

Market Efficiency in Emerging Economies

2013
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Release : 2013
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Book Synopsis Market Efficiency in Emerging Economies by : Deepa Mangala

Download or read book Market Efficiency in Emerging Economies written by Deepa Mangala. This book was released on 2013. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the presence of month-of-the-year effect in the stock index returns and volatility of emerging stock markets using GARCH (1, 1) model. The results show that the months around the end of the year and beginning of the New Year are marked by significant positive mean returns. This is evident from the presence of November/December/January effect in Argentine, Indian, Malaysian and Russian stock market returns. The months in the third quarter of the year, i.e., August and September, exhibit statistically significant negative mean coefficients for a majority of the stock markets. The volatility patterns are country-specific and no general trend can be discerned.

An Empirical Analysis of January Anomaly in the Indian Stock Market

2020
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Release : 2020
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Book Synopsis An Empirical Analysis of January Anomaly in the Indian Stock Market by : Dr. P. Nageswari Sathish

Download or read book An Empirical Analysis of January Anomaly in the Indian Stock Market written by Dr. P. Nageswari Sathish. This book was released on 2020. Available in PDF, EPUB and Kindle. Book excerpt: Any anomaly, including January Anomaly, would enable the investors and speculators to gain abnormal returns. The presence of January Anomaly defeats the basic premises of the efficient market hypothesis. Besides, it has greater implications for the design of investment strategy in the long run. This paper seeks to find out whether the 'January Anomaly', found in many countries, is also found in the fast developing Indian Markets. The study used the logarithmic data for S&P CNX Nifty and S&P CNX 500 sample indices and applied the Dummy Variable Regression Model from 1st April 2002 to 31st March 2011. It is found that the highest mean return was earned in December and the lowest/ negative mean return earned in January Month for S&P CNX Nifty index. The S&P CNX 500 Index recorded the Highest Mean Return in the Month of March and the Highest Negative Mean Returns in the Month of January. It is found that there was significant difference in the mean returns among the different months of the year. The analytical results of seasonality indicate the absence of January Anomaly during the study period.

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