Study Of Calendar Anomalies In Indian Stock Markets PDF Download
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| Author | : Neeraj Amarnani |
| Publisher | : |
| Total Pages | : 16 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Download Study of Calendar Anomalies in Indian Stock Markets Book in PDF, ePub and Kindle
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.
| Author | : Dr. Sitaram Pandey |
| Publisher | : Book Rivers |
| Total Pages | : 227 |
| Release | : 2022-03-09 |
| Genre | : Antiques & Collectibles |
| ISBN | : 9355152485 |
Download An Empirical Analysis of Calendar Anomalies in Stock Returns – Evidence from India Book in PDF, ePub and Kindle
| Author | : Gagan Deep Sharma |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download Month of The Year Anomalies in Stock Markets Book in PDF, ePub and Kindle
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 | : W. T. Ziemba |
| Publisher | : World Scientific |
| Total Pages | : 607 |
| Release | : 2012 |
| Genre | : Business & Economics |
| ISBN | : 9814405450 |
Download Calendar Anomalies and Arbitrage Book in PDF, ePub and Kindle
This book discusses calendar or seasonal anomalies in worldwide equity markets as well as arbitrage and risk' arbitrage. A complete update of US anomalies such as the January turn-of-the year, turn-of-the-month. January barometer, sell in May and go away, holidays, days of the week, options expiry and other effects is given concentrating in the futures markets where these anomalies can be easily applied. Other effects that lend themselves to modified buy and hold cash strategies include some of these as well as presidential election, factor models based on fundamental anomalies and other effects. The ideas have been used successfully by the author in personal and managed accounts and hedge funds. Book jacket.
| Author | : Anokhi Parikh |
| Publisher | : |
| Total Pages | : |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Download Calendar Anomalies in the Indian Stock Market Book in PDF, ePub and Kindle
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 stock returns of the National Stock Exchange Index. The results confirm the presence of a significant 'December effect' in the Indian stock market even after taking time varying volatility into account. However, the 'Wednesday effect' detected by the Ordinary Least Squares model disappeared when time varying volatility was considered. The other findings of the study confirm that there are no information asymmetries in the Indian stock market as seen in the results produced by the EGARCH and TARCH models. An abridged version of this paper has been published by the National Stock Exchange of India Limited.
| Author | : Rajesh E |
| Publisher | : Infotech |
| Total Pages | : 0 |
| Release | : 2023-01-12 |
| Genre | : |
| ISBN | : 9784285546231 |
Download Calendar Effects A Study On Anomalies And Impact Of Seasonal Trends In Indian Stock Market Book in PDF, ePub and Kindle
INTRODUCTION have seen the famous Indian monument, the Taj Mahal, and those haven't. The same could also be said about the investors. There are two kinds of investors: (Investopedia.com). The stock market plays a vital role in the development of the economy of any country. Literally, the stock market can be classified into two categories viz., primary market and secondary market. The primary market encompasses the new issues of stocks, where the private and public companies offer new securities like equity shares, preference shares, and so on, through Initial Public Offerings in order to expand the companies' capital. Secondary markets are routed through the stock exchanges, where those new securities that have been sold in the primary market, they are traded in the secondary market.
| Author | : Wing-Keung Wong |
| Publisher | : Mdpi AG |
| Total Pages | : 232 |
| Release | : 2022-02-17 |
| Genre | : Business & Economics |
| ISBN | : 9783036530802 |
Download Efficiency and Anomalies in Stock Markets Book in PDF, ePub and Kindle
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 | : William T Ziemba |
| Publisher | : World Scientific |
| Total Pages | : 607 |
| Release | : 2012-07-25 |
| Genre | : Business & Economics |
| ISBN | : 9814405477 |
Download Calendar Anomalies And Arbitrage Book in PDF, ePub and Kindle
This book discusses calendar or seasonal anomalies in worldwide equity markets as well as arbitrage and risk arbitrage. A complete update of US anomalies such as the January turn-of-the year, turn-of-the-month, January barometer, sell in May and go away, holidays, days of the week, options expiry and other effects is given concentrating on the futures markets where these anomalies can be easily applied. Other effects that lend themselves to modified buy and hold cash strategies include the presidential election and factor models based on fundamental anomalies. The ideas have been used successfully by the author in personal and managed accounts and hedge funds.
| Author | : Dr. P. Nageswari Sathish |
| Publisher | : |
| Total Pages | : 1 |
| Release | : 2020 |
| Genre | : |
| ISBN | : |
Download Calendar Anomalies in BSE Sensex Index Returns in Post Rolling Settlement Period Book in PDF, ePub and Kindle
Calendar Anomalies in the stock market are those patterns that cannot be explained by traditional asset pricing models. Examples of such patterns include the January Effect, the Day-of-the-Week Effect, and the Week of the Month Effects. These anomalies allow investors to develop trading strategies to earn abnormal profits. Recent liberalization policies have led to significant capital flows from investors into India seeking to capitalize on promising and profitable business opportunities. The results of this study will be useful to such investors, traders, and arbitrageurs who can formulate profitable trading strategies to capitalize on calendar anomalies. The Securities and Exchange Board of India (SEBI) introduced the Compulsory Rolling Settlement System for stocks on January 02, 2002. This was expected to boost liquidity and thereby reduce the market risk of stocks to a considerable extent. The introduction of Rolling Settlement was also expected to lead to higher equity turnover and thereby potentially impact the anomalous behavior of stock prices. In this context, the study provides further evidence on the anomalous behavior of stocks in the Indian Stock Market during the Post Rolling Settlement Period from April 2002 to March 2010. The post rolling settlement testing period distinguishes this study from other contemporaneous studies on anomalous behavior of stocks in the Indian stock market that have overlapped both the pre and post rolling settlement period (7 & 16) and thereby provides a more robust basis for drawing conclusions.
| Author | : Harish Kumar |
| Publisher | : |
| Total Pages | : 17 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
Download Efficient Market Hypothesis and Calendar Effects Book in PDF, ePub and Kindle
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.
