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Calendar Anomalies in the Banking and it Index: The Indian Experience

Author

Listed:
  • Shikta Singh
  • Chandrabhanu Das

Abstract

The present study seeks to inspect the calendar effects in major service sector indices in the Indian securities market. The Banking sector and Information technology sector are identified as the prominent service sectors in the Indian economy. BSE Information Technology Index and BSE Bankex are considered as a proxy for the Information Technology and Banking sector. Period of study is chosen from the year 2010 to 2019 to examine the impact of calendar anomalies post-recession. Daily index returns are considered during the period of study .GARCH family models and OLS regression techniques were utilized for the study. Empirical findings indicate the presence of the January effect and turn of the month effect on the index returns and volatility. The study also suggests the possibility of a weak form of efficiency for the IT sector. Significant volatility persistence is observed in both the indices. The study has benefits for regulators to understand the price movements of the service sector after the global recession and frame their policies accordingly. Investors will benefit from this study for effective portfolio management.

Suggested Citation

  • Shikta Singh & Chandrabhanu Das, 2020. "Calendar Anomalies in the Banking and it Index: The Indian Experience," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(4), pages 439-448.
    • Handle: RePEc:asi:aeafrj:v:10:y:2020:i:4:p:439-448:id:1935
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    Citations

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    Cited by:

    1. Gaurav KUMAR & Prof. Bhartendu SINGH, 2024. "Day-of-the-week and weekend effects on stock market returns: an investigation through review of literature," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(1(638), S), pages 29-42, Spring.
    2. Naz Farah & Lutfullah Tooba & Zahra Kanwal, 2024. "COVID-19 and Seasonality in Monthly Returns: a Firm Level Analysis of PSX," Zagreb International Review of Economics and Business, Sciendo, vol. 27(1), pages 201-230.

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