An Empirical Analysis on Seasonal Anomalies in BSE Sectoral Indices

Authors

  • P. Nageswari
  • L. Philo Daisy Rani

DOI:

https://doi.org/10.33516/rb.v43i4.1-18p

Keywords:

Bombay Stock Exchange, Efficient Market Hypothesis, Seasonal Anomalies, Sectoral Indices, Day of the Week Effect, Indian Stock Market.

Abstract

The presence of the Seasonal Effect in stock returns has been reported in several developed and emerging stock markets. This study investigates the existence of seasonality in India’s stock market. The Efficient Market Hypothesis suggests that all securities are priced efficiently to fully reflect all the information intrinsic in the asset. The Seasonal Effects create higher or lower returns depending on the Time Series. They are called Anomalies because they cannot be explained by traditional asset pricing models. The main aim of this paper analyzed the seasonal anomalies in BSE Sectoral indices. For the purpose of this study it considered two indices namely S&P BSE Consumer Goods & Services and S&P BSE Finance Index based on the highest turnover. The study covered for a period of ten years from 1st January 2006 to 31st December 2016. According to the result of the study, it found that there was highest mean return on Wednesday in S&P BSE Consumer goods & Services index and Friday in S&P BSE Finance index. And also negative returns were recorded on Tuesday for both the sample indices. The Cross Correlation analysis found out that there was significant positive relationship between Tuesday & Wednesday and Thursday & Friday. And also negative significant relationship between Monday & Friday. The dummy variable regression analysis found that there was no significant Day of the Week Effect exists in Indian Sectoral Indices during the study period.

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Published

2018-06-01

How to Cite

Nageswari, P., & Philo Daisy Rani, L. (2018). An Empirical Analysis on Seasonal Anomalies in BSE Sectoral Indices. Research Bulletin, 43(4), 1–18. https://doi.org/10.33516/rb.v43i4.1-18p

Issue

Volume 43, Issue 4, January 2018

Section

Articles
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Europe PMC

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