An Empirical Study on Seasonal Analysis in the Indian Stock Market

An Empirical Study on Seasonal Analysis in the Indian Stock Market
Title An Empirical Study on Seasonal Analysis in the Indian Stock Market PDF eBook
Author Dr. P. Nageswari Sathish
Publisher
Pages 1
Release 2020
Genre
ISBN

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The presence of the Seasonal or Monthly Effect in stock returns has been reported in several developed and emerging stock markets. This study investigates the existence of seasonality in India's stock market. The Efficient Market Hypothesis suggests that all securities are priced efficiently to fully reflect all the information intrinsic in the asset. The Seasonal Effects create higher or lower returns depending on the Time Series. They are called Anomalies because they cannot be explained by traditional asset pricing models. Examples of such patterns include e.g. the January Effect, the Day-of-the Week Effect and the Week of the Month Effect etc. Studies on the Seasonal Effects in the Indian Stock Market are limited. In an attempt to fill this gap, this study explores the Indian Stock Market's Efficiency in the 'weak form' in the context of Seasonal Effects. The objective of this paper is to explore the Seasonal Effect on the Indian Stock Market. For the purpose this analysis BSE Sensex index was chosen for a period of ten years from 1st April 2000 to 31st March 2010. The study found that the Day of the Week Effect and Monthly Effect Pattern did not appear to exist in the Indian Stock Market during the study period.

Day of the Week Effects in NSE Stock Returns

Day of the Week Effects in NSE Stock Returns
Title Day of the Week Effects in NSE Stock Returns PDF eBook
Author Varun Arora
Publisher
Pages 27
Release 2008
Genre
ISBN

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The presence of the seasonal or monthly effect in stock returns has been reported in several developed and emerging stock markets. This study investigates the existence of seasonality in India's stock market, primarily trying to detect the quot;Day of the Week Effectquot; in the Stocks listed on the National Stock Exchange. It covers the post-reform period. The study uses the Daily return data of the stocks listed on National Stock Exchange and Bombay Stock Exchange Index for the period from November 1994 to September 2007 for analysis. After examining the stationarity of the return series, by applying quot;Kruskal Wallisquot; test and quot;One Way Anovaquot; i.e. using both Parametric and Non Parametric Tests, we specify an Augmented Dummy Regressive model to find the Day of the week effect monthly effect in stock returns in India. Another feature of our study was that we analysed the day of the week effect in three different phases of market ie. quot;Consolidationquot; Phase, quot;Bearishquot; Phase and the quot;Bullishquot; Phase. This was carried with an intention to see whether the day of the week effect was visible in these specific market phases or not. The results confirm the existence of seasonality (in the form of Day of the Week Effect) stock returns in India for 66 Stocks spanning across various sectors that we analysed - The results of the study imply that the stock market in India is inefficient, and hence, investors can time their share investments to improve returns and make abnormal profits. However the Day of the Week effect was found to be absent in the Bullish as well as the Bearish phase, which was a departure from our previous belief of the existence of this effect in all phases of the market.

An Empirical Analysis of Calendar Anomalies in Stock Returns – Evidence from India

An Empirical Analysis of Calendar Anomalies in Stock Returns – Evidence from India
Title An Empirical Analysis of Calendar Anomalies in Stock Returns – Evidence from India PDF eBook
Author Dr. Sitaram Pandey
Publisher Book Rivers
Pages 227
Release 2022-03-09
Genre Antiques & Collectibles
ISBN 9355152485

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An Empirical Analysis of Semi-Month and Turn of the Month Effects in Indian Stock Market

An Empirical Analysis of Semi-Month and Turn of the Month Effects in Indian Stock Market
Title An Empirical Analysis of Semi-Month and Turn of the Month Effects in Indian Stock Market PDF eBook
Author Dr. P. Nageswari Sathish
Publisher
Pages 1
Release 2020
Genre
ISBN

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The efficiency of the capital market raises various issues all over the world. Earlier research studies give evidence that the capital markets are informational efficient and hence, cannot outperform the market consistently on the basis of price change predictions. However, some researchers have also brought into light seasonal effects/calendar anomalies in the developed markets. This paper investigates one such anomaly (Semi-month and Turn of the month effects) in an emerging Indian Capital Market. The S&P CNX Nifty and BSE Sensex Index data have been collected and analyzed for a period of six years from 1st January 2005 to 31st December 2010. The analysis of the study found that the semi-month and turn of the Month Effect not exists in Indian Stock Market during the study period.

Indian Stock Market

Indian Stock Market
Title Indian Stock Market PDF eBook
Author Gourishankar S. Hiremath
Publisher Springer Science & Business Media
Pages 135
Release 2013-10-28
Genre Business & Economics
ISBN 8132215907

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India is one of the major emerging economies of the world and has witnessed tremendous economic growth over the last decades. The reforms in the financial sector were introduced to infuse energy and vibrancy into the process of economic growth. The Indian stock market now has the largest number of listed companies in the world. The phenomenal growth of the Indian equity market and its growing importance in the economy is indicated by the extent of market capitalization and the increasing integration of the Indian economy with the global economy. Various schools of thought explain the behaviour of stock returns. The Efficient Market Theory is the most important theory of the School of Neoclassical Finance based on rational expectation and no-trade argument. The book investigates the growth and efficiency of the Indian stock market in the theoretical framework of the Efficiency Market Hypothesis (EMH). The main objective of the present study is to examine the returns behaviour in the Indian equity market in the changed market environment. A detailed and rigorous analysis, made with the help of the sophisticated time series econometric models, is one of the key elements of this volume. The analysis empirically tests the random walk hypothesis and focuses on issues like nonlinear dynamics, structural breaks and long memory. It uses new and disaggregated data on recent reforms and changes in the market microstructure. The data on various indices including sectoral indices help in measuring the relative efficiency of the market and understanding how liquidity and market capitalization affect the efficiency of the market.

An Empirical Study on the Dynamic Relationship Between Oil Prices and Indian Stock Market

An Empirical Study on the Dynamic Relationship Between Oil Prices and Indian Stock Market
Title An Empirical Study on the Dynamic Relationship Between Oil Prices and Indian Stock Market PDF eBook
Author Tarak Nath Sahu
Publisher
Pages 16
Release 2017
Genre
ISBN

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Purpose- This study aims to investigate the dynamic relationships between oil price shocks and Indian stock market.Design/methodology/approach- The study used daily data for the period starting from January 2001 to March 2013. In this study, Johansen's cointegration test, vector error correction model (VECM), Granger causality test, impulse response functions (IRFs) and variance decompositions (VDCs) test have been applied to exhibit the long-run and short-run relationship between them.Findings- The cointegration result indicates the existence of long-term relationship. Further, the error correction term of VECM shows a long-run causality moves from Indian stock market to oil price but not the vice versa. The results of the Granger causality test under the VECM framework confirm that no short-run causality between the variables exists. The VDCs analysis revealed that the Indian stock markets and crude oil prices are strongly exogenous. Finally, from the IRFs, analysis revealed that a positive shock in oil price has a small but persistence and growing positive impact on Indian stock markets in short run.Originality/value- The study would enhance the understandings of the interaction between oil price volatilities and emerging stock market performances. Further, the study would enable foreign investors who are interested in Indian stock market helps in understanding the conditional relationship between the variables.

An Empirical Study on Value Investing in Indian Stock Market

An Empirical Study on Value Investing in Indian Stock Market
Title An Empirical Study on Value Investing in Indian Stock Market PDF eBook
Author Aggarwal Priti
Publisher Independent Author
Pages 0
Release 2022-12-13
Genre
ISBN 9781805451242

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Stock market anomalies have always been a hot topic of debate between scholars and investment practitioners. And the fascination is not new. It all started with the Great Depression of the 1930s when the stock markets crashed steeply. Since then, the academician of the world has gotten into a rat race of developing theories to determine the true value of common stocks. These pricing theories became the cheese slice for investors who wanted to chase abnormal returns by utilizing the knowledge of stock mispricing.