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Festivity Anomaly in Indian Stock Market

Author

Listed:
  • Xing Lu

    (Judd Leighton School of Business & Economics, Indiana University South Bend)

  • Neel Patel

    (Judd Leighton School of Business & Economics, Indiana University South Bend)

Abstract

This research is the first to investigate the holiday anomaly in the Indian stock market, one of the largest stock markets in the world, during the financial crisis. This paper examines the presence of holiday effects in the Indian stock market, before and during the financial crisis. Our results indicate very strong post-holiday effects for most of the indices from the Bombay Stock Exchange. Furthermore, while the pre-holiday effect was completely missing, the post-holiday effect became even stronger during the financial crisis.

Suggested Citation

  • Xing Lu & Neel Patel, 2016. "Festivity Anomaly in Indian Stock Market," Economics Bulletin, AccessEcon, vol. 36(2), pages 851-856.
    • Handle: RePEc:ebl:ecbull:eb-16-00286
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2016/Volume36/EB-16-V36-I2-P83.pdf
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    References listed on IDEAS

    as
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    Cited by:

    1. Chhabra, Damini & Gupta, Mohit, 2022. "Calendar anomalies in commodity markets for natural resources: Evidence from India," Resources Policy, Elsevier, vol. 79(C).

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    More about this item

    Keywords

    Holiday Anomalies; Efficient Market Hypothesis; Indian Stock Market;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • G1 - Financial Economics - - General Financial Markets

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