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Does seasonality persists in Indian stock markets?

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  • Sasidharan, Anand

Abstract

The 'conventional wisdom' about efficient markets is that there are little excess returns, relative to the market returns (and the level of risk) that one can make by analysing historical data. But researchers have gathered systematic evidence about markets violating this conventional wisdom. Some of these are calender effects, small-firm or size effect etc. This paper examines a calender effect known as `the-month-of-the-year-effect' and examine whether this much-hyped anomaly is a persisting feature in the Indian market. The paper shows that the previous evidence on seasonality could be the result of the very nature of parametric methods, that it gets influenced by extreme observations. Otherwise, seasonality is not a feature of the current Indian stock markets.

Suggested Citation

  • Sasidharan, Anand, 2009. "Does seasonality persists in Indian stock markets?," MPRA Paper 24185, University Library of Munich, Germany, revised Aug 2010.
    • Handle: RePEc:pra:mprapa:24185
    as

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    References listed on IDEAS

    as
    1. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 1998. "The dangers of data-driven inference: the case of calender effects in stock returns," LSE Research Online Documents on Economics 119142, London School of Economics and Political Science, LSE Library.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    financial market anomaly; stock market seasonality; month of the year effect; Indian stock market; January Effect;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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