IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/24185.html
   My bibliography  Save this paper

Does seasonality persists in Indian stock markets?

Author

Listed:
  • 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

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/24185/1/MPRA_paper_24185.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    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.
    2. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    3. Rozeff, Michael S. & Kinney, William Jr., 1976. "Capital market seasonality: The case of stock returns," Journal of Financial Economics, Elsevier, vol. 3(4), pages 379-402, October.
    4. Shiller, Robert J, 1981. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," American Economic Review, American Economic Association, vol. 71(3), pages 421-436, June.
    5. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
    6. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June.
    7. Pandey I M, 2002. "Is There Seasonality in the Sensex Monthly Returns?," IIMA Working Papers WP2002-09-08, Indian Institute of Management Ahmedabad, Research and Publication Department.
    8. De Bondt, Werner F M & Thaler, Richard, 1985. "Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    9. Basu, S, 1977. "Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis," Journal of Finance, American Finance Association, vol. 32(3), pages 663-682, June.
    10. Bailey,Roy E., 2005. "The Economics of Financial Markets," Cambridge Books, Cambridge University Press, number 9780521612807, October.
    11. Ogden, Joseph P, 1990. "Turn-of-Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects," Journal of Finance, American Finance Association, vol. 45(4), pages 1259-1272, September.
    12. Reinganum, Marc R., 1981. "Misspecification of capital asset pricing : Empirical anomalies based on earnings' yields and market values," Journal of Financial Economics, Elsevier, vol. 9(1), pages 19-46, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
    2. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
    3. Trabelsi, Mohamed Ali, 2010. "Choix de portefeuille: comparaison des différentes stratégies [Portfolio selection: comparison of different strategies]," MPRA Paper 82946, University Library of Munich, Germany, revised 01 Dec 2010.
    4. Gabriel Hawawini & Donald B. Keim, "undated". "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 08-99, Wharton School Rodney L. White Center for Financial Research.
    5. Robert D. Arnott & Jason C. Hsu & Jun Liu & Harry Markowitz, 2015. "Can Noise Create the Size and Value Effects?," Management Science, INFORMS, vol. 61(11), pages 2569-2579, November.
    6. Praveen Kumar Das & S P Uma Rao, 2011. "Value Premiums And The January Effect: International Evidence," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 5(4), pages 1-15.
    7. Doran, James & Jiang, Danling & Peterson, David, 2007. "Short-Sale Constraints and the Non-January Idiosyncratic Volatility Puzzle," MPRA Paper 4995, University Library of Munich, Germany.
    8. Rocciolo, Francesco & Gheno, Andrea & Brooks, Chris, 2022. "Explaining abnormal returns in stock markets: An alpha-neutral version of the CAPM," International Review of Financial Analysis, Elsevier, vol. 82(C).
    9. Graham Baird & James Dodd & Lawrence Middleton, 2020. "A growth adjusted price-earnings ratio," Papers 2001.08240, arXiv.org.
    10. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
    11. Bjornson, Bruce & Hong Shik Kim & Lee, Kiseok, 1999. "Low and high frequency macroeconomic forces in asset pricing," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(1), pages 77-100.
    12. Leo Julianto & Irwan Adi Ekaputra, 2020. "Max-Effect in the Indonesian Market," Capital Markets Review, Malaysian Finance Association, vol. 28(2), pages 19-27.
    13. Christophe Morel, 2001. "Stock selection using a multi-factor model - empirical evidence from the French stock market," The European Journal of Finance, Taylor & Francis Journals, vol. 7(4), pages 312-334.
    14. Polk, Christopher & Thompson, Samuel & Vuolteenaho, Tuomo, 2006. "Cross-sectional forecasts of the equity premium," Journal of Financial Economics, Elsevier, vol. 81(1), pages 101-141, July.
    15. Christopher Polk & Samuel Thompson & Tuomo Vuolteenaho, 2004. "New Forecasts of the Equity Premium," NBER Working Papers 10406, National Bureau of Economic Research, Inc.
    16. Asness, Clifford & Frazzini, Andrea & Israel, Ronen & Moskowitz, Tobias J. & Pedersen, Lasse H., 2018. "Size matters, if you control your junk," Journal of Financial Economics, Elsevier, vol. 129(3), pages 479-509.
    17. A. Balakrishnan, 2016. "Size, Value, and Momentum Effects in Stock Returns: Evidence from India," Vision, , vol. 20(1), pages 1-8, March.
    18. Stephen A. Gorman & Frank J. Fabozzi, 2021. "The ABC’s of the alternative risk premium: academic roots," Journal of Asset Management, Palgrave Macmillan, vol. 22(6), pages 405-436, October.
    19. van Dijk, Mathijs A., 2011. "Is size dead? A review of the size effect in equity returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3263-3274.
    20. Baig, Ahmed & Winters, Drew B., 2018. "A preferred habitat for liquidity in term repos: Before, during and after the financial crisis," Journal of Economics and Business, Elsevier, vol. 99(C), pages 1-14.

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:24185. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.