Seasonality in Emerging Economies: Evidences from Indian Stock Market
Published: 2013
Author(s) Name: Minimol M. C., Mahesh K. G., Radhika A. |
Author(s) Affiliation: Kochi, Kerala, India
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Abstract
A great deal of research was devoted to investigating
the randomness of stock price movements for the
purpose of demonstrating the efficiency of capital
markets. More recently, however researchers have
demonstrated market inefficiency by identifying
systematic variations in stock returns. These are called
as calendar anomalies or stock market anomalies.
The existence of seasonality or monthly effects in
domestic and international markets suggests a market
inefficiency, in that investors should be able to earn
abnormal rates of return incommensurate with the
degree of risk. Thus, this study focuses on stock
market anomalies or calendar anomalies in Indian
stock market. The results established are that the
Indian stock market is not efficient and investors can
improve their returns by timing their investment.
Keywords: Market Efficiency, Stock Market Anomalies, Seasonality, Efficient Market Hypothesis
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