The Calendar Anomalies in Indian Stock Market: A Special Reference to NSE

Abstract

Normally the Stock Market gives negative returns on Mondays. At the same time, there are positive returns on Fridays as well as in January. The stock return tends to produce abnormal returns during particular months of the year as compared to other months. This effect is commonly called the January Effect. The returns and investment are low on Mondays. According to the Monday Effect, Market shows lower returns on Monday as compared to other days of the week. Since this is the most commonly observed effect under the Day-of-the-Week anomaly it is also synonymously called the Monday Effect or the Weekend Effect. A notable anomaly is the Monday Effect suggesting that equity returns are negative or significantly lower on Mondays relative to other days of the week. In addition, Friday yields are positive in the US and some other countries around the world. It is important to know whether there are variations in volatility of stock returns by the Day-of-the-Week and whether a high (low) returns is associated with a correspondingly high (low) volatility for a given day. If investors can identify a certain pattern in volatility, then it would be easier to make investment decisions based on both returns and risk. Hence the present study in an attempt to investigate the Day-of-the-Week Effect and Month-of-the-Year Effect in Indian Stock Market (NSE) by using the major two indices namely, Nifty and Nifty Junior. The present study investigated the efficiency of the market. This study of examining the shape of the returns over a period, gives evidence on the degree of speculation in the market. The future, being a price days vehicle, is expected to reflect the prospective price movements in the underlying asset market. For this purpose, the future prices are expected to reflect all current week information and the information regarding prospective events.

Keywords: N.A.

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