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An empirical test of calendar anomalies for the Indian securities markets

Dinesh Jaisinghani (Finance Department, International Management institute, New Delhi, India)

South Asian Journal of Global Business Research

ISSN: 2045-4457

Article publication date: 7 March 2016




The purpose of this paper is to test prominent calendar anomalies for Indian securities markets those are commonly reported for advanced markets.


The study considers closing values of 11 different indices of National Stock Exchange India, for the period 1994-2014. By using dummy variable regression technique, five different calendar anomalies namely day of the week effect, month of the year effect, mid-year effect, Halloween effect, and trading-month effect are tested. Also, the evidence of volatility clustering has been tested through the application of generalized autoregressive conditional heteroscedasticity (GARCH)-M models.


The results display weak evidence in support of a positive Wednesday effect. The results also display weak evidence in support of a positive April and December effect. The results show strong evidence in support of a positive September effect. The Halloween effect was not found significant. The test of mid-year effect provides evidence that the returns obtained on the second-half or the year are considerably higher than those obtained during the first half. The test of interactions effects showed possible presence of interactions among various effects. The GARCH-based tests display strong evidence in support of volatility clustering.

Practical implications

The results have several implications for investors, regulators, and researchers. For investors, the trading strategies based on results obtained have been discussed. Similarly, certain key implications for regulators have been described.


The originality of the paper lies in the long time frame and multiple indices covered. Also, the study analyses five different calendar anomalies and the interactions among these effects. These analyses provide useful insights regarding returns predictability for the Indian securities markets.



The author would like to thank Dr Kakali Kanjilal, Associate Professor, IMI, New Delhi, India, for her continuous guidance and support at all levels of writing the paper. The author would also like to thank two anonymous reviewers for their constructive feedback and guidance that has helped a lot in improving the quality of the current study. The author finally thanks a senior professor in finance and a practising chartered accountant for willfully accepting to proofread, review, and edit the manuscript. Any errors still remaining belong to the author.


Jaisinghani, D. (2016), "An empirical test of calendar anomalies for the Indian securities markets", South Asian Journal of Global Business Research, Vol. 5 No. 1, pp. 53-84.



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