Testing of Calendar Market Anomalies in Indian Stock Market (2012-2017): “Day of the Week Effect” and “Month of the Year Effect”
Keywords:
Day-of-the-Week effect, Month-of-the-Week effect, Efficient Market Hypothesis, Calendar anomaliesAbstract
The Calendar anomalies in the stock markets both in developed and developing countries are a well-documented phenomenon. The study aimed to empirically examine presence of ‘day of the week’ and ‘month of the year’ effect in the Indian leading stock market, National Stock Exchange (NSE) during the six-year period from Jan 1, 2012 to Dec 31, 2017, using Descriptive statistics, Ordinary Least Square (OLS)and Garch(1,1)framework. The study utilizes the daily and monthly return data of the National Stock Exchange’s Nifty 500 Index for analysis. The results indicate that the ‘day of the week’ and ‘month of the year’ is non-existent in the market index for the entire sample period and the market is efficient with no opportunity for the investors to beat the market by studying certain patterns in daily or monthly return series.
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