期刊名称：The International Journal of Applied Economics and Finance
印刷版ISSN：1991-0886
电子版ISSN：2077-2149
出版年度：2014
卷号：8
期号：3
页码：82-97
DOI：10.3923/ijaef.2014.82.97
出版社：Asian Network for Scientific Information
摘要：Judging the importance of existence of calendar anomalies in the stock market to the investors, the present study attempts to find out monthly anomalies in the market. The presence of seasonal effects in monthly returns in the Indian market has been reported by many researchers in the past. This study attempts to examine whether the month-of-the-year anomaly still exists in the Indian Stock Market. For this purpose, two indices, S and P CNX Nifty and S and P CNX Nifty Junior and top nine companies (according to market capitalisation) from both the indices have been selected. The daily closing prices of the respective indices and stocks have been taken and the logarithm return of these prices has been calculated. Line charts and unit-root test are applied to check the stationary nature of the series. The Dummy Variable Regression Model has been applied on the returns to find out any statistically significant deterrent month in the year. The present study observes that both the indices and some of the selected companies reflect the month-of-the-year anomalies in the Indian Stock Market. Mainly, the monthly anomaly is found at the end of a quarter for the given period.
