Calendar Anomalies in The Indian Stock Market – An Empirical Study

Abstract

Stock market anomalies are based on the premise that if the stock market is efficient and follows a random walk, the stock prices will reflect all available information at any point in time resulting in a zero probability of superior market returns. This aspect would lead to a zero probability to predict changes in the stock prices based on past price behaviour.
Innumerable research studies have been undertaken across the globe to find the existence of an efficient market. The studies have inferred that there exists certain anomalies and have also offered explanations for such occurrence. This study is motivated to comprehend and identify whether calendar anomalies exist in the Indian stock market and if the results are affirmative, whether it would be possible for investors
to benefit from such anomalies especially given the understanding that India is designated to be the best destination for investment purposes due to a growing economy owing to several macro-economic factors.
Based on this, this study will conclude the consequences to help prospective investors make their investment decisions accordingly. The paper
examined the Nifty 50 Index to observe whether there exist calendar anomalies. The study spans the period from January 1997 to December 2016 and attempts to evaluate the ‘day-of-the-week effect’, ‘turn-of-themonth effect’, ‘month-of-the-year effect’ and ‘January effect’.

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