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Stock Market Anomalies: A Calender Effect in BSE-Sensex

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  • Chandra, Abhijeet

Abstract

Whether inexplicable patterns of abnormal stock market returns are detected in empirical studies of the stock market, a return anomaly is said to be found. There are other similar anomalies existing in the stock market. Economically meaningful stock market anomalies not only are statistically significant but also offer meaningful risk adjusted economic rewards to investors. Statistically significant stock market anomalies have yet-unknown economic and/or psychological explanations. A joint test problem exists because anomalies evidence that is inconsistent with a perfectly efficient market could be an indication of either market inefficiency or a simple failure of Capital Asset Pricing Model (CAPM) accuracy. Some of the most-discussed about market anomalies are return anomaly, market capitalization effect, value effect, calendar effect, and announcement effect. Though various studies have been conducted to find out the presence of these anomalies across the stock markets worldwide, very few studies with reference to Indian stock market are available in the financial literature. This study aims to find the evidence of one of the anomalies, calendar effect in BSE Sensex, India’s leading stock exchange.

Suggested Citation

  • Chandra, Abhijeet, 2009. "Stock Market Anomalies: A Calender Effect in BSE-Sensex," MPRA Paper 21290, University Library of Munich, Germany, revised 06 Oct 2009.
    • Handle: RePEc:pra:mprapa:21290
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    References listed on IDEAS

    as
    1. Cooper, Michael J. & McConnell, John J. & Ovtchinnikov, Alexei V., 2006. "The other January effect," Journal of Financial Economics, Elsevier, vol. 82(2), pages 315-341, November.
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    3. C. B. Cadsby & V. Torbey, 2003. "Time-of-month anomaly: reality or mirage?," Applied Economics Letters, Taylor & Francis Journals, vol. 10(12), pages 741-745.
    4. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
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    More about this item

    Keywords

    Anomalies; Calender Effecr; Indian Stock Market; SENSEX;
    All these keywords.

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services
    • O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance

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