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| Author | : Dr. Sitaram Pandey |
| Publisher | : Book Rivers |
| Total Pages | : 227 |
| Release | : 2022-03-09 |
| Genre | : Antiques & Collectibles |
| ISBN | : 9355152485 |
| Author | : Harish Kumar |
| Publisher | : |
| Total Pages | : 17 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
The 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. However, the existence of anomalies challenge the notion of efficiency in stock markets. Calendar effects, in particular, violate the weak form of efficiency, highlighting the role of past patterns and seasonality in estimating future prices. The present research aims to study the efficiency in Indian stock markets. Using daily and monthly returns of NIFTY 50 data from its inception in January 1995 to December 2015, we employ dummy variable multiple linear regression technique to assess the existence of calendar effects in India stock markets. To correct for volatility clustering and ARCH effect present in the daily returns, the results are modeled using the EGARCH estimation methodology. The study reveals the existence of calendar effects in India in form of a significant Wednesday Effect as well as a significant 'December effect', thereby suggesting that the Indian stock markets do not show informational efficiency even in the weak form, a trait observable in emerging markets.
| Author | : Wing-Keung Wong |
| Publisher | : Mdpi AG |
| Total Pages | : 232 |
| Release | : 2022-02-17 |
| Genre | : Business & Economics |
| ISBN | : 9783036530802 |
The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
| Author | : Dr. P. Nageswari Sathish |
| Publisher | : |
| Total Pages | : 1 |
| Release | : 2020 |
| Genre | : |
| ISBN | : |
Any anomaly, including January Anomaly, would enable the investors and speculators to gain abnormal returns. The presence of January Anomaly defeats the basic premises of the efficient market hypothesis. Besides, it has greater implications for the design of investment strategy in the long run. This paper seeks to find out whether the 'January Anomaly', found in many countries, is also found in the fast developing Indian Markets. The study used the logarithmic data for S&P CNX Nifty and S&P CNX 500 sample indices and applied the Dummy Variable Regression Model from 1st April 2002 to 31st March 2011. It is found that the highest mean return was earned in December and the lowest/ negative mean return earned in January Month for S&P CNX Nifty index. The S&P CNX 500 Index recorded the Highest Mean Return in the Month of March and the Highest Negative Mean Returns in the Month of January. It is found that there was significant difference in the mean returns among the different months of the year. The analytical results of seasonality indicate the absence of January Anomaly during the study period.
| Author | : Dr. P. Nageswari Sathish |
| Publisher | : |
| Total Pages | : 1 |
| Release | : 2020 |
| Genre | : |
| ISBN | : |
The presence of the Seasonal or Monthly 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. Examples of such patterns include e.g. the January Effect, the Day-of-the Week Effect and the Week of the Month Effect etc. Studies on the Seasonal Effects in the Indian Stock Market are limited. In an attempt to fill this gap, this study explores the Indian Stock Market's Efficiency in the 'weak form' in the context of Seasonal Effects. The objective of this paper is to explore the Seasonal Effect on the Indian Stock Market. For the purpose this analysis BSE Sensex index was chosen for a period of ten years from 1st April 2000 to 31st March 2010. The study found that the Day of the Week Effect and Monthly Effect Pattern did not appear to exist in the Indian Stock Market during the study period.
| Author | : Dr. P. Nageswari Sathish |
| Publisher | : |
| Total Pages | : 1 |
| Release | : 2020 |
| Genre | : |
| ISBN | : |
The efficiency of the capital market raises various issues all over the world. Earlier research studies give evidence that the capital markets are informational efficient and hence, cannot outperform the market consistently on the basis of price change predictions. However, some researchers have also brought into light seasonal effects/calendar anomalies in the developed markets. This paper investigates one such anomaly (Semi-month and Turn of the month effects) in an emerging Indian Capital Market. The S&P CNX Nifty and BSE Sensex Index data have been collected and analyzed for a period of six years from 1st January 2005 to 31st December 2010. The analysis of the study found that the semi-month and turn of the Month Effect not exists in Indian Stock Market during the study period.
| Author | : Leonard Zacks |
| Publisher | : John Wiley & Sons |
| Total Pages | : 352 |
| Release | : 2011-08-24 |
| Genre | : Business & Economics |
| ISBN | : 1118127765 |
Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.
| Author | : Evangelos Vasileiou |
| Publisher | : |
| Total Pages | : |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
In this study we try to briefly revise the day of the week effect (DOW) and to examine why there are conflicting empirical results through the time. Moreover, we try to add a new-alternative view to the specific area of study, adding a further possible explanation in calendar anomalies field of study. Specifically, we try to examine if investors' weekday behavior changes depend on the financial trend. For example, let suppose that there are evidence that Mondays are positive returns days, but there are signs for an upcoming financial crisis. Could this general believed practical rule be strong enough in order to be sustainable even during financial crisis period or does it change? In order to analyze this issue providing empirical support, we examine the US stock market and the S&P index for the time period 2000-13. The results confirm our assumption that the financial trend influences the weekly stock returns' pattern, which may be an alternative explanation for the conflicting empirical findings that have been documented in the literature up today.
| Author | : Gagan Deep Sharma |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Judging the importance of existence of calendar anomalies in the stock market to the investors, the paper 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&P CNX Nifty and S&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 paper 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.
| Author | : Neeraj Amarnani |
| Publisher | : |
| Total Pages | : 16 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Stock market anomalies can be broadly categorized as calendar, fundamental and technical anomalies. Calendar anomalies however are among the most discussed issues in the financial literature. This is because these anomalies are the primary contributors towards the abnormalities in the stock returns. Calendar anomalies are basically defined as an irregular pattern of stock returns which are based on a calendar year. This paper attempts to determine the existence of calendar anomalies, namely, Day of the week effect, Turn of the month effect and Month of the year effect in Indian stock market. Daily data of Sensex and Nifty for the period of 1993-2013 is analyzed using different statistical techniques. The tests indicate absence of significant day of the week effect and month of the year effect, while significant turn of the month effect is observed. There are multiple hypotheses associated with anomalies, but only turn of the month stands valid for Indian context.
