Title: An empirical examination of calendar anomalies for the ESG investing of India

Authors: Sugandha Sharma; Peeyush Bangur; Ruchi Bangur

Addresses: ICFAI Law School, The ICFAI University, Dehradun, Uttarakhand, India ' Institute of Management Studies, Devi Ahilya Vishwavidyalaya, Indore, MP, India ' FMS-WISDOM, Banasthali Vidyapith, Rajasthan, India

Abstract: This study aims to assess the informational efficiency of the S&P BSE 100 ESG Index by investigating four calendar anomalies - namely, the day of the week (DoW) effect, turn of the month effect (TOM), half-month effect, and trading month effect for the period October 2017 to November 2023 by using ARCH and GARCH models. The empirical results indicate the presence of the DOW effect and trading month effect. The findings suggest that the negative Monday effect is not observed in the context of ESG investing in India. Furthermore, there is no 'turn of the month' or 'half month effect' within the realm of ESG investment in India. Finally, it is worth noting that there was no observed January effect on the Index under investigation. Our findings confirm that the price associated with ESG investing is not efficient. As far as we know, in terms of sustainable investing in India, this work is the first of its kind because there has not been any such study on calendar anomalies.

Keywords: calendar anomaly; ESG investing; trading strategies sustainability; DoW effect; India.

DOI: 10.1504/IJEA.2026.155817

International Journal of Economics and Accounting, 2026 Vol.12 No.3, pp.283 - 299

Received: 19 Feb 2024
Accepted: 09 Feb 2025
Published online: 14 Aug 2026 *

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