期刊名称：Bonfring International Journal of Industrial Engineering and Management Science
印刷版ISSN：2250-1096
电子版ISSN：2277-5056
出版年度：2016
卷号：6
期号：1
页码：12-14
DOI：10.9756/BIJIEMS.8132
语种：English
出版社：Bonfring
摘要：This study investigates the existence of a Turn of the Month Effect in India's Metal sector. The study uses the daily return data of the Bombay Stock Exchanges (BSE) Metal Index for the period ranging between April 2004 and March 2015. The collected data have been analysed by making use of descriptive statistics and paired 't" test. The outcomes confirm the presence of seasonality in stock returns and the Turn of the Month Effect. The findings are also reliable with the Turn of the Month Effect which exists in the BSE Metal index. The results of the study imply that the stock market in India, especially in the Metal sector is inefficient, and hence, Indian investors are advised to buy Metal sector scripts during the rest of the month and sell them at the first half of the month period which will yield better returns.
关键词：Anomalies; Turn of the Month Effect; BSE Metal Index; and Efficient Market Hypothesis
