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Is There Seasonality in the Sensex Monthly Returns?

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  • Pandey I M

Abstract

The presence of the seasonal or monthly effect in stock returns has been reported in several developed and emerging stock markets. This study investigates the existence of seasonality in Indias stock market. It covers the post-reform period. The study uses the monthly return data of the Bombay Stock Exchanges Sensitivity Index for the period from April 1991 to March 2002 for analysis. After examining the stationarity of the return series, we specify an augmented auto-regressive moving average model to find the monthly effect in stock returns in India. The results confirm the existence of seasonality in stock returns in India and the January effect. The findings are also consistent with the "tax-loss selling" hypothesis. The results of the study imply that the stock market in India is inefficient, and hence, investors can time their share investments to improve returns.

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  • Pandey I M, 2002. "Is There Seasonality in the Sensex Monthly Returns?," IIMA Working Papers WP2002-09-08, Indian Institute of Management Ahmedabad, Research and Publication Department.
    • Handle: RePEc:iim:iimawp:wp00038
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    Cited by:

    1. Vishal Kutchu, 2012. "An Empirical Study on Day-of-the Week Effect in Indian Stock Market During Different Settlement Regimes Using Garch Framework," Indian Journal of Commerce and Management Studies, Educational Research Multimedia & Publications,India, vol. 3(3), pages 85-91, September.
    2. Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2011. "Monthly seasonality in the Bucharest stock exchange," MPRA Paper 41603, University Library of Munich, Germany, revised 08 Apr 2011.
    3. Khushboo Aggarwal & Mithilesh Kumar Jha, 2023. "Stock returns seasonality in emerging asian markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 109-130, March.
    4. Fatta Bahadur K.C. Ph. D. & Nayan Krishna Joshi, 2005. "The Nepalese Stock Market: Efficient and Calendar Anomalies," NRB Economic Review, Nepal Rastra Bank, Research Department, vol. 17, pages 40-85, April.
    5. Sasidharan, Anand, 2009. "Does seasonality persists in Indian stock markets?," MPRA Paper 24185, University Library of Munich, Germany, revised Aug 2010.
    6. Taufeeque Ahmad Siddiqui & Isha Narula, 2013. "Market Efficiency and Anomalies: Evidences from S&P CNX NIFTY," Vision, , vol. 17(3), pages 233-245, September.

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