Content area
Full Text
This paper investigates the 'month of the year events 'for the Indian stock market. A Generalised Auto Regressive Conditional Heteroskelasticity (GARCH) framework has been applied to test the existence of calendar month anomalies in the Indian stock market. This model is applied to test if any of the months generate higher mean returns, when compared to other months of the financial year. Data used for this study is from the Bombay Stock Exchange 's Sensex for a period of 15 years. The findings indicate the presence ofDecember effectfor the period of study; from 2001 to 2015.The contribution of this paper to existing literature is the suggestion, of an investment strategy which the investors can adopt, in order to gain above average returns from the Indian stock markets.
(ProQuest: ... denotes formulae omitted.)
INTRODUCTION
Efficient market hypothesis as propounded by Fama and Malkiel (1970), states that markets are informational efficient. This means that all past information is fully reflected in asset prices and since all future information is inherently random, future prices cannot be predicted.
Stock market anomalies go against the idea of weak form of market efficiency, as anomalous stock returns imply the predictability of stock prices.
India being an emerging economy, the Indian stock market has been a focus of research lately for many researchers. This paper is an attempt to study the Indian stock market for any existence of month of the year anomalies. Stock market anomalies is an area which generates a lot of interest in researchers, who are investigating the efficiency levels, behavioural patterns and exploring ways of earning above average returns in stock markets.
As the name suggests, an anomaly is a seasonal phenomenon, where stocks traded on the exchange produce anomalous returns during particular, days, weeks or months of the year. Anomalies which have been researched extensively in the Indian stock market are day of the week effect, the weekend effect, month of the year effect, turn of the year events etc. The objective of this paper is, to investigate the existence of monthly calendar anomalies for the Indian stock market. Research on monthly calendar anomalies highlight effects like the 'January effect'. The assumption behind seasonality of this kind of a phenomenon for the turn of financial year...