Seasonal Anomalies In Indian Stock Markets
Download Seasonal Anomalies In Indian Stock Markets full books in PDF, epub, and Kindle. Read online free Seasonal Anomalies In Indian Stock Markets ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
| Author | : Anvita Sharma |
| Publisher | : |
| Total Pages | : 28 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
This paper primarily studies the possible existence of the January Effect or the Turn-Of-The-Year Effect in the Indian stock markets and the study proceeds on two propositions. First, if the January anomaly is ascribed to the tax-related selling, it should be clearly evident in the month of April in the Indian context. Second, if the phenomenon is due to some other reason then it should make itself visible in the month of January in Indian market given its interrelationship with international markets.This study also explores the chances of other common seasonal anomalies discrediting the efficient market hypothesis in the Indian market viz., Other January Effect and Beginning of the month and End of the month effect. This study has used CNX 500, S&P CNX Nifty, CNX Nifty Junior, CNX mid cap and CNX small cap indices of National Stock Exchange of India (NSE). Statistical techniques like dummy variable regression analysis, ARIMA modeling, parametric and non-parametric tests, etc. have been used to fulfill the objective of the study.The findings of the study exhibit a significantly pronounced April Effect in CNX smallcap and CNX midcap indices, with relatively much lower return in March (although statistically not significant). These findings are consistent with the tax-loss-selling hypothesis.An interesting finding of the study, which is apparently unique, is the presence of statistically significant and strongly positive December effect in all the studied indices.
| Author | : Gagan Deep Sharma |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Judging the importance of existence of calendar anomalies in the stock market to the investors, the paper attempts to find out monthly anomalies in the market. The presence of seasonal effects in monthly returns in the Indian market has been reported by many researchers in the past. This study attempts to examine whether the month-of-the-year anomaly still exists in the Indian Stock Market. For this purpose, two indices, S&P CNX Nifty and S&P CNX Nifty Junior and top nine companies (according to market capitalisation) from both the indices have been selected. The daily closing prices of the respective indices and stocks have been taken and the logarithm return of these prices has been calculated. Line charts and unit-root test are applied to check the stationary nature of the series. The Dummy Variable Regression Model has been applied on the returns to find out any statistically significant deterrent month in the year. The paper observes that both the indices and some of the selected companies reflect the month-of-the-year anomalies in the Indian Stock Market. Mainly, the monthly anomaly is found at the end of a quarter for the given period.
| Author | : Dr. P. Nageswari Sathish |
| Publisher | : |
| Total Pages | : 1 |
| Release | : 2020 |
| Genre | : |
| ISBN | : |
The presence of the Seasonal or Monthly Effect in stock returns has been reported in several developed and emerging stock markets. This study investigates the existence of seasonality in India's stock market. The Efficient Market Hypothesis suggests that all securities are priced efficiently to fully reflect all the information intrinsic in the asset. The Seasonal Effects create higher or lower returns depending on the Time Series. They are called Anomalies because they cannot be explained by traditional asset pricing models. Examples of such patterns include e.g. the January Effect, the Day-of-the Week Effect and the Week of the Month Effect etc. Studies on the Seasonal Effects in the Indian Stock Market are limited. In an attempt to fill this gap, this study explores the Indian Stock Market's Efficiency in the 'weak form' in the context of Seasonal Effects. The objective of this paper is to explore the Seasonal Effect on the Indian Stock Market. For the purpose this analysis BSE Sensex index was chosen for a period of ten years from 1st April 2000 to 31st March 2010. The study found that the Day of the Week Effect and Monthly Effect Pattern did not appear to exist in the Indian Stock Market during the study period.
| Author | : Rajesh E |
| Publisher | : Infotech |
| Total Pages | : 0 |
| Release | : 2023-01-12 |
| Genre | : |
| ISBN | : 9784285546231 |
INTRODUCTION have seen the famous Indian monument, the Taj Mahal, and those haven't. The same could also be said about the investors. There are two kinds of investors: (Investopedia.com). The stock market plays a vital role in the development of the economy of any country. Literally, the stock market can be classified into two categories viz., primary market and secondary market. The primary market encompasses the new issues of stocks, where the private and public companies offer new securities like equity shares, preference shares, and so on, through Initial Public Offerings in order to expand the companies' capital. Secondary markets are routed through the stock exchanges, where those new securities that have been sold in the primary market, they are traded in the secondary market.
| Author | : Leonard Zacks |
| Publisher | : John Wiley & Sons |
| Total Pages | : 352 |
| Release | : 2011-08-24 |
| Genre | : Business & Economics |
| ISBN | : 1118127765 |
Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.
| Author | : Wing-Keung Wong |
| Publisher | : Mdpi AG |
| Total Pages | : 232 |
| Release | : 2022-02-17 |
| Genre | : Business & Economics |
| ISBN | : 9783036530802 |
The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
| Author | : Shilpa Lodha |
| Publisher | : |
| Total Pages | : |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
Seasonality in stock markets is a regular and repetitive phenomenon occurring at some regular intervals of time, which may generate abnormal or excess returns. This paper explores the existence of seasonality in Indian stock market in four forms, namely, day-of-the-week effect, month-of-the-year effect, quarterly effects, and monthly effects. For this purpose, S&P CNX Nifty was taken as the sample. The daily closing, opening, high and low prices were collected from November 3, 1995 to May 31, 2013. ADF test was used for checking stationarity, whereas a dummy variable regression was used for testing seasonality. It was found that all the four effects are present in the Indian stock market. The returns of September, Monday, first quarter and first-half of the month were significantly different. Thus the existence of seasonality in Indian stock markets was proved. All the four effects tested for Nifty indicate that seasonality has changed over the years.
| Author | : J. Sudarvel |
| Publisher | : LAP Lambert Academic Publishing |
| Total Pages | : 420 |
| Release | : 2019-05-15 |
| Genre | : |
| ISBN | : 9783330345119 |
Stock market plays a vital role for the economic development of a country, by properly channeling the funds for productive purpose. The proposition that a wellregulated stock market extends significant economic services is now widely accepted and recognized by various academicians. Stock market assists economy as well as individual investors by mobilizing the scarce resources and allocation in those sectors, which employ them optimally. Stock market assists individual investors by providing continuous market for securities. From economic point of view, a well-developed stock market has been considered requisite for economic growth as well as improvements in country's productivity. The progress of a country can be judged by ascertaining the stock market indicators like liquidity, asset pricing and turnover. In addition, by ensuring a free and fair trading of stocks and performance of pricing mechanism, by ensuring a suitable return on investment will ensure viable investment opportunities, in the stock markets acts as a driving force for channeling savings into profitable investment and hence, ensures an optimal allocation of capital.
| Author | : Dr. Sitaram Pandey |
| Publisher | : Book Rivers |
| Total Pages | : 227 |
| Release | : 2022-03-09 |
| Genre | : Antiques & Collectibles |
| ISBN | : 9355152485 |
| Author | : Neeraj Amarnani |
| Publisher | : |
| Total Pages | : 16 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Stock market anomalies can be broadly categorized as calendar, fundamental and technical anomalies. Calendar anomalies however are among the most discussed issues in the financial literature. This is because these anomalies are the primary contributors towards the abnormalities in the stock returns. Calendar anomalies are basically defined as an irregular pattern of stock returns which are based on a calendar year. This paper attempts to determine the existence of calendar anomalies, namely, Day of the week effect, Turn of the month effect and Month of the year effect in Indian stock market. Daily data of Sensex and Nifty for the period of 1993-2013 is analyzed using different statistical techniques. The tests indicate absence of significant day of the week effect and month of the year effect, while significant turn of the month effect is observed. There are multiple hypotheses associated with anomalies, but only turn of the month stands valid for Indian context.
