Persistence of Calendar Anomalies: Insights and Perspectives on Month of the Year Effect in Indian Stock Markets

Meher Shiva Tadepalli,Ravi Kumar Jain

Asset pricing in capital markets has been an exceptionally dynamic area of scholarly research and is considered as a barometer for assessing market efficiency. Though the seasonal behavior of capital markets was very well explained by market pricing models, several anomalies were observed historically. The purpose of this paper is to study one of such anomalies namely, the Month-of-the-Year effect in the context of Indian stock indices. In this pursuit, thorough research has been carried out considering all the broad based and sectoral indices of two major stock exchanges namely, National Stock exchange (NSE) and the Bombay Stock Exchange (BSE). The study uses the ARIMAX methodology with dummy exogenous variables (one for each calendar month) and presented comprehensive findings and learnings. In addition, the paper attempts to analyse the changes in the strength and significance of the anomaly in progression with various stock market reforms pertaining to Indian stock market indices.

Volume 11 | 02-Special Issue

Pages: 1785-1801