Title: Calendar anomaly and green investing of India: an empirical examination to improve regulation (2012-2023)

Authors: Sugandha Sharma; Ruchi Bangur; Pratima Jain; Peeyush Bangur; Deepak Shrivastava

Addresses: ICFAI Law School (ILS), ICFAI University, Dehradun, 248197, India ' Department of Commerce and Management, Banasthali Vidyapith, P.O. Banasthali Vidyapith, Rajasthan, 304022, India ' Prestige Institute of Management and Research 2, Education and Health Sector Scheme 54, Indore, (MP), 452001, India ' Institute of Management Studies, Devi Ahilya Vishwavidyalaya, Indore, MP, 452001, India ' Institute of Management Studies, Devi Ahilya Vishwavidyalaya, Indore, MP, 452001, India

Abstract: The main aim of this paper is to study the informational efficiency of green investing in India by examining the four calendar anomalies in India's S&P BSE GREENEX Index. These anomalies are the day of week (DoW) effect, turn-of-the-month (TOM) effect, half-month effect, and trading month effect. These anomalies are scrutinised to assess whether predictable patterns exist in returns, which would challenge the notion of market efficiency in the context of environmentally responsible investing. Analysing calendar anomalies in green financial instruments is particularly significant, as it helps determine whether green investment avenues exhibit similar or divergent market behaviours compared to traditional markets. This understanding contributes to the broader discourse on sustainable finance by evaluating if green markets in India have matured to a level of informational efficiency. We have employed the ARCH and GARCH models to analyse these calendar anomalies. The results indicate that the inefficiency in green investing is attributable to calendar anomalies. Policymakers and stock market regulators may get crucial insights into the numerous calendar anomalies utilised in this research. Our findings may help in enhancing the green investment market in India. To our knowledge, no calendar anomaly analysis has been conducted on green investing in India.

Keywords: calendar anomaly; green investing; sustainability; DoW effect; India.

DOI: 10.1504/IJGE.2025.151329

International Journal of Green Economics, 2025 Vol.19 No.4, pp.448 - 466

Accepted: 26 Sep 2025
Published online: 23 Jan 2026 *

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