Evidence For Seasonality And Changes In Seasonal Trends In Indian Stock Market PDF Download
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| Author | : Shilpa Lodha |
| Publisher | : |
| Total Pages | : |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
Download Evidence for Seasonality and Changes in Seasonal Trends in Indian Stock Market Book in PDF, ePub and Kindle
Seasonality in stock markets is a regular and repetitive phenomenon occurring at some regular intervals of time, which may generate abnormal or excess returns. This paper explores the existence of seasonality in Indian stock market in four forms, namely, day-of-the-week effect, month-of-the-year effect, quarterly effects, and monthly effects. For this purpose, S&P CNX Nifty was taken as the sample. The daily closing, opening, high and low prices were collected from November 3, 1995 to May 31, 2013. ADF test was used for checking stationarity, whereas a dummy variable regression was used for testing seasonality. It was found that all the four effects are present in the Indian stock market. The returns of September, Monday, first quarter and first-half of the month were significantly different. Thus the existence of seasonality in Indian stock markets was proved. All the four effects tested for Nifty indicate that seasonality has changed over the years.
| Author | : Jay Kaeppel |
| Publisher | : John Wiley & Sons |
| Total Pages | : 325 |
| Release | : 2008-12-22 |
| Genre | : Business & Economics |
| ISBN | : 0470270438 |
Download Seasonal Stock Market Trends Book in PDF, ePub and Kindle
There is a seasonal bias to the stock market, and by paying attention to the seasonal market tendencies you can gain an edge in the stock market over the long haul. Seasonality offers a practical approach to investing and trading. What better way to learn how to employ seasonal systems than learning from Jay Kaeppel, a master in the analysis of seasonal trends? Kaeppel walks you through this phenomenon that continues to work consistently, providing you with his ultimate seasonal index to make the calendar work for you. Stock Market Seasonals provides a never-before-seen definitive guide that illustrates how to utilize a combination of four basic seasonal tendencies in order to maximize returns.
| Author | : Supriya Maheshwari |
| Publisher | : |
| Total Pages | : |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
Download Seasonality in Momentum Profits Book in PDF, ePub and Kindle
The paper investigates Indian momentum profitability along with its performance stability round the year using the stock price data from National Stock Exchange (NSE). Results show evidence in favor of momentum profitability over the sample period from 1997 to 2013. Moreover, the momentum performance is not specific to any particular month suggesting no influence of calendar effects on momentum anomaly in the Indian stock market. Though, momentum strategies performed differently in different calendar months, with particularly strong negative returns in the month of May. However, no statistically significant difference was observed among the mean monthly momentum returns across calendar months. Contrary to the US market findings, no January or similar April seasonality is observed in the Indian momentum profits suggesting some unique characteristics of Indian momentum profitability. In nutshell, the results from the study suggest support in favor of practical implementation of momentum strategies throughout the year in the Indian stock market.
| Author | : Dr. P. Nageswari Sathish |
| Publisher | : |
| Total Pages | : 1 |
| Release | : 2020 |
| Genre | : |
| ISBN | : |
Download An Empirical Study on Seasonal Analysis in the Indian Stock Market Book in PDF, ePub and Kindle
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 | : Kalu O. Emenike |
| Publisher | : |
| Total Pages | : 13 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
Download Seasonality in Stock Returns Book in PDF, ePub and Kindle
This paper investigates the existence of stock returns seasonality on the Nigerian Stock Exchange (NSE). Regression-based approach was used to analyse the monthly stock return data for seasonal pattern from January 1985 to March 2011. The full sample was divided into three sub-sample periods which covers stock market events in Nigeria. Results obtained from the study indicate that the highest return occurs in the month of May. The sub-sample III results support the month of May highest return. Results from sub-sample I and II periods however show that the highest return occur in June. Further analysis reveals that the coefficients of the twelve months of the year are jointly statistically equal to zero, indicating evidence against January effects or any monthly pattern in the NSE returns.
| Author | : Subhransu Mohanty |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
Download Calendar Return Seasonality Across Sectors, Sizes and Styles - Evidence From the Indian Equity Markets Book in PDF, ePub and Kindle
As literature shows, market anomalies in their various forms exist in different markets around the globe. Evidence of seasonality of returns in any form, whether based on time period such as over specific days, weeks and months, or over size, such as large, medium or small or over different classifications such style (growth/value/momentum), or across various sectors or triggered by material announcements such as earnings, dividend, etc., are all contradictory to any of the three forms of efficient market hypothesis (EMH). In this paper we have made an attempt to find out calendar seasonality of returns in the Indian stock markets. We find that return seasonality exists in the Indian markets across sectors, sizes and styles during a 'month of the year' and during a 'day of the week'. These findings can be attributed to many behavioral aspects of investors and can be used by them in predicting the future returns, or in defining investment strategies in order to benefit from abnormal returns.
| Author | : Mustafa N. Gültekin |
| Publisher | : |
| Total Pages | : 38 |
| Release | : 1983 |
| Genre | : Seasonal variations (Economics) |
| ISBN | : |
Download Stock Market Seasonality Book in PDF, ePub and Kindle
| Author | : Mostafa Seif |
| Publisher | : |
| Total Pages | : 34 |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
Download Seasonality in Stock Returns Book in PDF, ePub and Kindle
Despite an extensive number of studies documenting evidence of seasonal anomalies in developed markets, only a few studies have comprehensively examined these anomalies within emerging markets. Testing the robustness of seasonal anomalies in emerging markets would first, help to examine the theoretical explanations that have been proposed and second, provide an out-of-sample result for these seasonality anomalies. This study examines the efficiency of advanced emerging markets by testing five seasonal anomalies: the month of the year, other January, day-of-the-week, holiday, and week 44. Evidence is reported that is consistent with all of these seasonal anomalies with the exception of the other January effect; supporting the argument that advanced emerging markets are less than perfectly efficient.
| Author | : Dr. Rengasamy Elango |
| Publisher | : |
| Total Pages | : 15 |
| Release | : 2010 |
| Genre | : |
| ISBN | : |
Download Monday Effect and Stock Return Seasonality Book in PDF, ePub and Kindle
This study investigates whether the anomalous 'weekend effect' found in many developed and developing markets around the world is also present in the rapidly emerging Indian equity market. We use the real-time data of three of the major indices of the National Stock Exchange of India (NSE) for 1999-2007 period. Standardizing the data, we apply a set of descriptive and inferential statistics on the above three indices. Our analysis produced mixed results indicating that the Monday returns are negative and low in the case of two out of three indices. The K-W test, which is a non-parametric test applied to examine whether the ranks of mean returns for each day of the week are equal, shows evidence of a statistically significant difference in the case of one sample index, CNX Samp;P Nifty Junior. The implication is that the weekend effect is present in small stocks. Dummy variable regression, which again examines the weekend effect shows that Monday returns are negative in one of the bench-mark indices, the NSE Samp;P Nifty confirming that the Indian Market is inefficient and could be exploited to maximize returns. Surprisingly, Wednesdays have yielded the highest mean returns across indices. However, volatility is also higher in these stocks. These findings offer interesting opportunities for individual investors and portfolio managers to place bid/ask orders in order to maximize their returns. However, due caution needs to be exercised while making the above decisions.
| Author | : Eimear Lynam |
| Publisher | : |
| Total Pages | : 78 |
| Release | : 1998 |
| Genre | : Investment analysis |
| ISBN | : |
Download Seasonal Trends, Anomalies Or Illusions? Book in PDF, ePub and Kindle
