Stock Market Anomalies: A Calender Effect in BSE-Sensex
AbstractWhether inexplicable patterns of abnormal stock market returns are detected in empirical studies of the stock market, a return anomaly is said to be found. There are other similar anomalies existing in the stock market. Economically meaningful stock market anomalies not only are statistically significant but also offer meaningful risk adjusted economic rewards to investors. Statistically significant stock market anomalies have yet-unknown economic and/or psychological explanations. A joint test problem exists because anomalies evidence that is inconsistent with a perfectly efficient market could be an indication of either market inefficiency or a simple failure of Capital Asset Pricing Model (CAPM) accuracy. Some of the most-discussed about market anomalies are return anomaly, market capitalization effect, value effect, calendar effect, and announcement effect. Though various studies have been conducted to find out the presence of these anomalies across the stock markets worldwide, very few studies with reference to Indian stock market are available in the financial literature. This study aims to find the evidence of one of the anomalies, calendar effect in BSE Sensex, India’s leading stock exchange.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 21290.
Date of creation: 15 Jun 2009
Date of revision: 06 Oct 2009
Anomalies; Calender Effecr; Indian Stock Market; SENSEX;
Find related papers by JEL classification:
- G2 - Financial Economics - - Financial Institutions and Services
- O16 - Economic Development, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-03-28 (All new papers)
- NEP-CWA-2010-03-28 (Central & Western Asia)
- NEP-RMG-2010-03-28 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- C. B. Cadsby & V. Torbey, 2003. "Time-of-month anomaly: reality or mirage?," Applied Economics Letters, Taylor & Francis Journals, vol. 10(12), pages 741-745.
- Cooper, Michael J. & McConnell, John J. & Ovtchinnikov, Alexei V., 2006. "The other January effect," Journal of Financial Economics, Elsevier, vol. 82(2), pages 315-341, November.
- Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.