Further, the unique evidence from the Indian stock market supports the argument in the literature that monthly seasonality, by nature, may not be a consistent/robust phenomenon. Therefore, it needs to be examined from time to time. Originality/value - As the seasonality in the stock market and...
This paper examines the month-of-the-year and day-of-the-week effect in the Indian stock market, during the period 1998-2007. The Standard GARCH model, GARCH-in-Mean, Exponential GARCH and Threshold ARCH models have been employed to test for calendar anomalies using the monthly and daily ...
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Calendar anomalyNovember effectVolatility modelsPurpose - The purpose of this paper is to ascertain the monthly seasonality in the Indian stock market after taking into consideration the market features of leptokurtosis, volatility clustering and the leverage effect. Design/methodology/approach - Augmented ...
(2012), "Stock Market Seasonality: A Study of Calendar Anomalies in the Indian Stock Market". Available at SSRN: http://ssrn.com/abstract=2125799Mishra and Sisira Kanti. (2012), Stock Market Seasonality: A Study of Calendar Anomalies in the Indian Stock Market. Available at SSRN: http://...
doi:10.18843/ijms/v5i4(2)/04Rupinder KatochERM Publications
Empirical Evidence on Calendar Anomalies in Trading and Non-Trading Day Returns in Indian Stock MarketTUYEKAR, SURAJ PRAKASHPADYALA, SRI RAMRAMESH, BOMMADEVARAFinance India
An Empirical Study of Calendar Anomalies: Indian Stock Market EvidenceCalendar AnomalyPrice EffectCalendar anomalies that challenge the Efficient Market Hypothesis i.e. stocks always trade at their fair value on stock exchanges, makes it impossible for invesSocial Science Electronic Publishing...
Calendar effectsEMHDummy Variable RegressionDay-of-the-week effectMonth-of-the-year effectNIFTYThe Efficient Market hypothesis is a cornerstone of modern investment theory that essentially advocates the futility of information in generation of abnormal returns in capital markets over a period of time. ...