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Muruganandan, S.
- Impact of Weather on Return and Volatility:Evidence from Indian Stock Market
Abstract Views :215 |
PDF Views:0
Authors
Affiliations
1 PSG Institute of Management (Autonomous), Coimbatore, Tamilnadu, IN
2 Department of Finance, ICFAI Business School, ICFAI University Hyderabad, Telangana, IN
3 PG studies and Research Department of Commerce, SDM College, Ujire- 574240, Mangalore, Karnataka, IN
1 PSG Institute of Management (Autonomous), Coimbatore, Tamilnadu, IN
2 Department of Finance, ICFAI Business School, ICFAI University Hyderabad, Telangana, IN
3 PG studies and Research Department of Commerce, SDM College, Ujire- 574240, Mangalore, Karnataka, IN
Source
International Journal of Financial Management, Vol 5, No 2 (2015), Pagination: 42-49Abstract
This study examines the impact of Weather factors on return and volatility of the Indian stock market. The study uses the daily data of top four metros and tests its impact on the return and volatility of S&P CNX Nifty index from January 2008 to December 2013. This study applies GARCH (1, 1) model and find that the stock returns are influenced by temperature in Chennai and the stock return volatility influenced by the temperature in Mumbai, Delhi and Kolkata.Keywords
Weather Effect, Volatility, ARCH, GARCH and Stock Market.
- Calendar Anomalies:Before and After the Global Financial Crisis in Emerging BRIC Stock Markets
Abstract Views :401 |
PDF Views:335
Authors
Affiliations
1 Department of Humanities, PSG College of Technologies, Coimbatore, Tamil Nadu, IN
2 Electrical Engineering and Information Technology, OVGU Magdeburg, DE
1 Department of Humanities, PSG College of Technologies, Coimbatore, Tamil Nadu, IN
2 Electrical Engineering and Information Technology, OVGU Magdeburg, DE
Source
HuSS: International Journal of Research in Humanities and Social Sciences, Vol 4, No 1 (2017), Pagination: 26-30Abstract
The legal and operational changes in the capital market operation of BRIC nations and availability of information at low cost and some time with no cost influenced the efficiency of capital market in the recent past. In order to identify the calendar anomalies, the present study examine the day of the week effect in the developing stock market of BRIC. The study period has been classified into three sub-periods as pre-financial crisis period (i.e., 1st January 2000 to 31st December 2007), during the financial crisis (1st January 2008 to 31st December 2009) and post financial crisis period (1st January 2010 to 31st December 2016). The dummy variable regression result evidenced that after the financial crisis period BRIC capital markets reached the efficient stage where day of the week trading rules lose the ground to earn the abnormal return. This can be attributed to recent changes in the capital market regulations and strict vigilance of the stock market watch dogs in these countries.Keywords
Calendar Anomalies, Day-of-the-Week Effect, Dummy Variable Regression, BRIC.Full Text
References
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- Gibbson, Hess. Day of the week effects and asset returns. Journal of Business.1981; 54(4):579–98. https://doi.org/10.1086/296147
- Berument, Kiymaz. The day of the week effect on stock market volatility. Journal of Economics and Finance. 2001; 25(2):181–93. https://doi.org/10.1007/BF02744521
- Heininen, Puttonen. Stock market efficiency in the transition economies through lence of calendar anamolies. Available from: from http://www.hse.ru/data/090/182/1235/Heininen_Puttonen_ paper.pdf
- Khanna V, Mittal A. Does day-of-the-week anomaly influence BRICS stock markets? A Unit Root Testing Approach. Journal of Business. 2016; 5(1):9–17.
- Aziz T. Day of the week effect: Evidence from India. Afro-Asian Journal of Finance and Accounting. 2013; 5(2):99–112. https://doi.org/10.1504/AAJFA.2015.069886
- Carluccl F. The week day effect anomaly in the behaviour of stock index returns of Brazil, Mexico and the U.S.A. Business and Management Review. 2014; 3(9):31–8.
- Sing S. Stock market anomalies: Evidence from emerging BRIC Market. Vision, Journal of Business Perspective. 2014; 18(1):23–8. https://doi.org/10.1177/0972262913517329
- Srinivasan P, Kalaivani M. DOW effects in the Indian Stock Market. International Journal of Economics and Management. 2014; 8(1):158–77.
- Haug M, Hirschey M. The January effect. Financial Analysts Journal. 2006; 62(5):78–88. https://doi.org/10.2469/faj.v62.n5.4284
- Elena V, Dragos O. Seasonality in the Romanian stock market: The-day-of-the-week effect. Procedia Economics and Finance. 2014; 15:704–10. https://doi.org/10.1016/S2212-5671(14)00543-7
- Sarma, S. Stock market seasonality in emerging market. Vikalpa. 2004; 29(3):35–41. https://doi.org/10.1177/0256090920040303
- Brooks, Persand. Seasonality in Southeast Asian stock markets: Some new evidence on day- of-the-week effects. Applied Economics Letters. 2001; 8(3):155–8. https://doi.org/10.1080/13504850150504504
- Week End Effect:Evidence from Indian Stock Market
Abstract Views :455 |
PDF Views:270
Authors
Affiliations
1 Department of Humanities, PSG College of Technology, Coimbatore - 641004, IN
1 Department of Humanities, PSG College of Technology, Coimbatore - 641004, IN
Source
AMBER – ABBS Management Business and Entrepreneurship Review, Vol 8, No 1 (2017), Pagination: 19-29Abstract
The study provides the evidence for the presence of seasonality across the days of the week by using the percentage changes of daily closing values of two NSE indices, i.e. CNX 500 index and CNX Sharia 500 index for the period from 1st January 2010 to 31st December 2016. The Kruskall-Wall is nonparametric test (by computing 'H' statistic) is adopted in lieu of parametric one-way analysis of variance in this study to test the week form efficiency of the market. From the results it is observed the market may be inefficient during the short period of time, but in the long run it is efficient. Hence, the investors cannot outperform the market for a long period of time by investing on the particular day of the week.Full Text
References
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- Jason, Z. W. (1996, June). A Nonparametric Test of Monthly Seasonality for international Stock Markets. Canada: University of Saskatchewan.
- Ricky, C. J., & Venus, K. S. (2010). Evidence on the Day of the Week Effect and Asymmetric Behavior in the Bombay Stock Exchange. ,The UP Journal of Applied Finance, 16 (6), 17-19.
- Sunil, P. (1996). Evidence on Weak Form Efficiency and Day of the Week Effect in the Indian Stock Market. Finance India, 10 (3), 605-616.