Seasonality in the Returns: A Study of BSE Sensex
Published: 2013
Author(s) Name: M. Sriram, P. Renuka Devi |
Author(s) Affiliation: Department of Management Sciences, D.J.Academy for Managerial Excellence, Coimbatore.
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Abstract
The presence of seasonal/monthly effect in stock
returns was investigated using monthly return data of
BSE Sensex for the period April 2004 to March 2012.
After examining the stationarity of the return series,
an Autoregressive Moving Average (ARMA) model is
specified to find the monthly effect in stock returns.
The results do not confirm the existence of seasonality
in stock returns and the January effect. The findings
are also inconsistent with ‘Tax-loss selling’ hypothesis.
The results of the study imply that the stock market is
efficient. The study suggests analysing the ‘Day of the
Week’ effect to enable the investors to devise better
strategies to improve their returns.
Keywords: Stationarity, Seasonality, ARMA, Tax- Selling Hypothesis, Market Efficiency
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