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Seasonality in Emerging Economies: Evidences from Indian Stock Market

International Journal of Financial Management

Volume 3 Issue 3

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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