An Empirical Study of Calendar Anomalies: Indian Stock Market Evidence

Calendar anomalies, a part of stock market anomalies, are a widely discussed topic in financial literature as they contribute to the abnormalities in the stock return. This study provides an empirical evidence with respect to turn-of-the-month and Friday-The 13th effect for Indian stock market. For studying these effects, data with respect to stock prices of S&P CNX Nifty index for ten years i.e. from 2004 to 2013 have been considered. The findings of the study revealed that turn of the month effect did exist whereas Friday-The 13th effect did not exist, during entire study period in Indian stock market with respect to the index of S & P CNX Nifty. Further, the study also compared the turn of the month and 13 Friday effect during pre (2004-2007) and post recession period (2009-2013). During this period, the patterns of returns do not deviate from the composite effect with respect to both the effects as mentioned above.