International Journal of Marketing and Business Communication

Open Access Open Access  Restricted Access Subscription Access
Open Access Open Access Open Access  Restricted Access Restricted Access Subscription Access

The Month-of-the-Year Effect in the Indian Stock Market: A Case Study on BSE Sensex


Affiliations
1 Commerce, Rabindra Mahavidyalaya, Champadanga, Hooghly, West Bengal, India
     

   Subscribe/Renew Journal


Efficient Market Hypothesis proposes that it is not possible to outperform the market through market timing. However, research studies over the years have reported several anomalies in stock market returns. Anomalies that are linked to a particular time are called calendar effects.The month-of-the-year effect or particularly the January effect is one of such anomalies. The present study in this context has sought to address the issue of the month-of-the-year effect in Indian Stock Market represented by BSE SENSEX during the period ranging from January 2, 2004 to December 28, 2012. The GARCH(1,1)-M model has been used to model the conditional volatility. The results indicate the presence of September and November effects in the SENSEX returns during the study period. Moreover, in the volatility equation the coefficients of March, June, August, October, November and December dummy variables are negative and significant. Hence, it is confirmed that the month- of- the year effect is also present in the variance (volatility or risk) equation.

Keywords

Month-of-The-Year Effect, Return, Volatility, GARCH-M.
Subscription Login to verify subscription
User
Notifications
Font Size


  • Branch, B. (1977). A tax loss trading rule. Journal of Business, 50, 198-207.

  • Brown, P., Keim, D., Kelidon, W., & Marsh, T. (1983). Stock return seasonalities and the tax loss selling hypothesis: Analysis of the arguments and Australian Evidence. Journal of Financial Economics, 12(1), 105-123.

  • Chakrabarti, G., & Sen, C. (2007). November effect: An example of calender anomaly in Indian stock market. IJMER, West Bengal University of Technology, Retrieved from http://ssrn.com/abstract=1121606.

  • Dash, M. (2011). Seasonality and market crashes in Indian stock Markets. Asian Journal of Finance & Accounting, 3(1), 174-184.

  • Debasish, S. S. (2012). An Empirical Study on Month of the Year Effect in Gas, Oil and Refineries Sectors in Indian Stock Market. International Journal of Management and Strategy, 3(5), 1-18.

  • Easterday, K. E., Sen, P. K., & Stephan, J. (2006). A Reexamination of the Declining January Effect for Firms

  • Trading on NYSE, AMEX and NASDAQ. Retrieved from SSRN: http://ssrn.com/abstract=877009.

  • Elango, R., & Pandey, D. (2008). An Empirical Study on January Anomaly and Return Predictability in an Emerging Market: Evidence from India. Retrieved from http://ssrn.com/abstract=1150080.

  • Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. Inflation. Econometrica, 50, 987-1008.

  • Fama, E. F. (1965). The behavior of stock market prices. Journal of Business, 38, 34-105.

  • Keim, D. (1983). Size related anomalies and stock market seasonality; Further Empirical Evidence. Journal of Financial Economics, 12,12-32.

  • Kiymaz, H., & Hakan, B. (2003). The day of the week effect on stock market volatility and volume: international evidence. Review of Financial Economics ,12, 363-380.

  • Lazar, D., Julia, P., & Jeyapaul, J. (2005) "SENSEX Monthly Return: Is there Seasonality? Indian Institute of Capital Markets 9th Capital Markets Conference.

  • Nageswari, P., & Selvam, M. (2011). An empirical study on seasonal analysis in the indian stock market. International Journal of Management & Business Studies, 1(4), 90-95.

  • Pandey, I. M. (2002). Is there seasonality in the sensex monthly returns. IIMA Working Paper, IIM Ahmedabad.

  • Patel, J. B. (2008). Calendar effects in the Indian stock market. International Business and Economic Research Journal, 7(3), 61-69.

  • Ray, S. (2012). Investigating seasonal behavior in the monthly stock returns: Evidence from BSE sensex of India. Advances in Asian Social Science, 2(4), 560-569.

  • Reinganum, M. R. (1983). The anomalous stock market behavior of small firms in January: Empirical test for taxloss selling effects. Journal of Financial Economics,12, 89-104.

  • Roll, R. (1983). Vast is das? The return of the year effect and the return premia of small firms. Journal of Portfolio Management, 9, 18-28.

  • Rozeff, M. S., & Kinney, W. R. Jr. (1976). Capital market seasonality: The Case of stock returns. Journal of Financial Economics, 3, 379-402.

  • Sah, A. N. (2008). Stock market seasonality: A study of the Indian stock market. NSE Research Paper.

  • Verma, A, & Vijaya Kumar, C. V. R. S. (2012). Month Effect in the Bombay Stock Market. International Journal of Multidisciplinary Educational Research, 2(5), 1-9.


Abstract Views: 189

PDF Views: 2




  • The Month-of-the-Year Effect in the Indian Stock Market: A Case Study on BSE Sensex

Abstract Views: 189  |  PDF Views: 2

Authors

Som Sankar Sen
Commerce, Rabindra Mahavidyalaya, Champadanga, Hooghly, West Bengal, India

Abstract


Efficient Market Hypothesis proposes that it is not possible to outperform the market through market timing. However, research studies over the years have reported several anomalies in stock market returns. Anomalies that are linked to a particular time are called calendar effects.The month-of-the-year effect or particularly the January effect is one of such anomalies. The present study in this context has sought to address the issue of the month-of-the-year effect in Indian Stock Market represented by BSE SENSEX during the period ranging from January 2, 2004 to December 28, 2012. The GARCH(1,1)-M model has been used to model the conditional volatility. The results indicate the presence of September and November effects in the SENSEX returns during the study period. Moreover, in the volatility equation the coefficients of March, June, August, October, November and December dummy variables are negative and significant. Hence, it is confirmed that the month- of- the year effect is also present in the variance (volatility or risk) equation.

Keywords


Month-of-The-Year Effect, Return, Volatility, GARCH-M.

References