Title: An investigation of month of year effect in Indian stock markets

Authors: Vanitha Chawla; Manjula Shastri; Gireesh Chandra Tripathi

Addresses: Amity University, Sector 125, Uttar Pradesh 201301, India ' Amity Business School, Amity University, Sector 125, Uttar Pradesh 201301, India ' NTPC School of Business, PMI, Sector 16A, Noida, UP 201012, India

Abstract: The present paper examines the month of year effect in the Indian capital markets. For the purpose of the study the data of Nifty 50 and five sectoral indices namely, Nifty Bank, Nifty Financial Services, Nifty FMCG, Nifty IT and Nifty Services has been considered for a period of ten years from 2009 to 2019. The methods used to test the efficiency of the markets are OLS Regression and three volatility models. The volatility models considered for the present study are GARCH (1, 1), TGARCH (1, 1) and EGARCH (1, 1). The results of the study indicate the presence of calendar effects in the Indian markets. The study found March effect to be significant in Nifty 50 and all the sectoral indices except for the IT sector where January effect is significant. In the volatility model the month of January is significant only for the IT sector whereas April returns are significant for all the other indices.

Keywords: month of year; volatility; stock markets; calendar anomalies.

DOI: 10.1504/IJPSPM.2024.139876

International Journal of Public Sector Performance Management, 2024 Vol.14 No.1, pp.78 - 101

Accepted: 05 Jul 2021
Published online: 09 Jul 2024 *

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