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Article
Publication date: 4 August 2022

Pramath Nath Acharya, Srinivasan Kaliyaperumal and Rudra Prasanna Mahapatra

In the research of stock market efficiency, it is argued that the stock market moves randomly and absorbs all the available information. As a result, it is quite impossible to…

Abstract

Purpose

In the research of stock market efficiency, it is argued that the stock market moves randomly and absorbs all the available information. As a result, it is quite impossible to make predictions about the possible future movement by the investors. But literatures have detected certain calendar anomalies where a day(s) in a week or month(s) in a year or a particular event in a year becomes conducive for investors to earn more than the normal. Hence, the purpose of this study is to find out the month of the year effect in the Indian stock market.

Design/methodology/approach

In this study, daily time series data of Sensex and Nifty from 1996 to 2021 is used. The study uses month dummies to capture the effect. Different variants of generalised autoregressive conditional heteroskedasticity (GARCH) models, both symmetric and asymmetric, are used in the study to model the conditional volatility in the presence month effect.

Findings

This study found the September effect in the return series of both the stock market. Apart from that, asymmetric GARCH models are found to be the best fit model to estimate conditional volatility.

Originality/value

This study is an endeavour to study month of the year effect in the Indian context. This research will provide valuable insight for studying the different calendar anomalies.

Details

Vilakshan - XIMB Journal of Management, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 0973-1954

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