摘要：Month – of –the –year effect, a calendar effect, is a common phenomenon in developed as well as developing capital markets. Though this beats the efficient market hypothesis, this seasonal effect facilitates good market return for speculators and investors. In line with this, the investors plan their investment strategy to maximize their returns. The present study is an attempt to investigate whether the Foreign Institutional Investment (FII) in Indian capital market has any calendar effect in net FII(NFII), net FII in equity(EFII) and net FII in debt(DFII). The monthly data during January 1993 to September 2012 was considered for this analysis. Stationarity for the time series were checked using Augmented Dickey Fuller test and Phillips-Perron (PP) tests. The series was tested as different periods, considering the structural breaks in 2003 and 2007. Dummy variable technique was used to analyze the data series. The test results showed that for the early period there were calendar effects in the month of February for NFII, DFII and EFII. After 2003, November effects were also present in both the series in addition to February effect in net FII and in equity. But in the debt no such effects were evident leading to believe that FII are more concerned about increasing their return by participating in the equity market rather than safe assured returns in the debt market. In recent times, September effect was present but in a less significant way for NFII and EFII. Risk aversion hypothesis and interim Accounting Information hypothesis could be the possible explanation for this behavior. The diminishing of the effect is because of efficient market. In the case of DFII, January effect has reappeared which has started in the month of December itself. Since the equity market was so efficient and volatile, the FII have chosen the debt instruments for assured returns. When checked for the monthly seasonality in market return, January effect is present in the first period. During the early stages of opening the market to the global players (after 1992 but before 2003), the market itself was in a developing stage and slightly in the weak form of inefficiency. That is the reason for the January effect in the first period of the study. But later on the effect has disappeared leading to the conclusion that the market has become efficient, making abnormal returns impossible. Also there exists interaction influence on the NFII in the recent period.
