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Stock Market Anomalies: A Calender Effect in BSE-Sensex

Listed author(s):
  • Chandra, Abhijeet

Whether 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.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 21290.

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Date of creation: 15 Jun 2009
Date of revision: 06 Oct 2009
Handle: RePEc:pra:mprapa:21290
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  1. 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.
  2. 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.
  3. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
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