Title: Diminishing calendar anomalies: case of Indian equity markets

Authors: Sakshi Saxena; Harsh Purohit; Nidhi Malhotra

Addresses: Banasthali Vidyapith, P.O. Banasthali Vidyapith, Jaipur-304022, Rajasthan, India ' FMS-WISDOM, P.O. Banasthali Vidyapith, Jaipur-304022, Rajasthan, India ' Department of Management, Lal Bahadur Shastri Institute of Management, Delhi, India

Abstract: The present study probes the presence of seasonal anomaly mainly day of the week effect and month of the year effect in the Indian Stock Market ranging from January 2011 till January 2018. Daily and weekly closing data of Nifty Financial services index, Nifty Auto index, Nifty Bank index and Nifty 50 index has been considered for the same. Regression model using dummy variables has been used to investigate the same. The results states that none of the four nifty indices shows day of the week effect. Nifty 50 does not indicate the presence of the month of the year effect. In contrast, April effect is present in Nifty Auto. Nifty Bank index shows February and August effect, while Nifty Financial Services shows February effect.

Keywords: day of the week effect; Monday effect; February effect; calendar anomalies; market efficiency.

DOI: 10.1504/GBER.2021.111999

Global Business and Economics Review, 2021 Vol.24 No.1, pp.43 - 58

Received: 01 Nov 2019
Accepted: 09 Mar 2020
Published online: 22 Dec 2020 *

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