Day-of-the-Week and Other Market Anomalies in the Indian Stock Market
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Type
Article
Date
2017-03
Journal Title
Anweshan - journal of Department of Commerce
Journal Editor
Mitra, Debabrata
Journal ISSN
Volume Title
Publisher
University of North Bengal
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Dutta, A. (2017). Day-of-the-Week and Other Market Anomalies in the Indian Stock Market. Anweshan - Journal of Department of Commerce, 5(1), 1–17. https://ir.nbu.ac.in/handle/123456789/2958
Authors
Dutta, Abhijit
Advisor
Editor
Abstract
The anomalies of the market relating to the calendar period are the source of in-trospection for the efficient market hypothesis. As the market tries to take and as-similate information in the prices, it becomes more efficient and predicting price and tiding over market situation becomes more and more difficult. The fact that market prices are predictable as there are patterns in it, make it non-random and weak. This paper tries to understand in this context the price behaviour of the In-dian stock market and find if the market prices of the calendar event such as day of the week and month of the year has any effect on the Indian stock market. The data for this study consist of NSE data that comprise of weekly data for the period 1995-2015 and daily data for the period 2001-2015. This study indicates that though the Indian market does exhibit seasonality in returns, this seasonality is very different from that observed commonly in other markets.
Description
Keywords
Efficient Market Hypothesis, Day of the week, Month of the Year
Citation
Accession No
Call No
Book Title
Edition
Volume
ISBN No
Volume Number
5
Issue Number
1
ISSN No
2321-0370
eISSN No
Pages
Pages
1 - 17