Seasonality in Indian Stock Market: Delusion or Reality
| Autor: | N. M. Leepsa, Amit Tripathy |
|---|---|
| Rok vydání: | 2018 |
| Předmět: | |
| Zdroj: | IIMS Journal of Management Science. 9:37 |
| ISSN: | 0976-173X 0976-030X |
| DOI: | 10.5958/0976-173x.2018.00004.0 |
| Popis: | In business, seasonal variations in production and sales are a recognised element. Hence, managers often try to calculate the fluctuations in demand and predict a more accurate nature of supply schedules. Seasonality in stock returns refers to a time series data that shows a systematic and repetitive variation over a span of a year that happens periodically. The primary root of seasonal disparities is the change in climate. The objective of this paper is to investigate whether the ‘day-of-the-week’ effect is prevailing in the Indian stock market returns. Empirical evidence of the existence of seasonality and thereby consistent abnormal returns have been identified in the efficient market postulate. One noteworthy inconsistency revealed was abnormal rates of return related to the calendar months. Several studies in this field empirically verified tests and found the existence of such anomalies on the stock return data that majorly refined to theories that turn of the year, the day-of-the-week and holiday effect has steadily created abnormal returns in both the developed and emerging markets. This paper tries to enrich the existing knowledge and to inspect whether cyclical irregularities continue in the emerging markets like India. The study provides the evidence that the presence of the day-of-the-week effects, precisely Monday effect and Friday effect, have disappeared in the Indian capital markets. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|