Calendar Anomaly in Indian Stock Market With Respect to Empirical Study of Quarter of the Year Effect, Month of the Year Effect, Day of the Week Effect on NIFTY for the Years Jan. 1996-Mar. 2013

Calendar anomalies in stock market returns and risk have been of considerable interest during the last three decades. This study tests the presence of the 'quarter of the year effect', 'month of the year effect', 'day of the week effect' on stock market volatility by using the NIFTY i.e. National Stock Exchange's index during the period of January 1996 to 31st March 2013. Data was analysed using descriptive statistics and inferential statistics. Thus findings revealed that quarter of the year effect, month of the year effect, day of the week effect is present in both market volatility and market returns. The maximum and minimum returns are observed in Quarters 3 and 4 respectively whereas, the maximum volatility is observed in Quarters 1 and 2. The maximum and minimum returns are observed in December and January respectively whereas, the maximum volatility is observed in May and October. The maximum returns are observed on Wednesdays and Mondays whereas the maximum volatility is observed on Fridays and Wednesdays. (165 words).