Munich Personal RePEc Archive

Does seasonality persists in Indian stock markets?

Sasidharan, Anand (2009): Does seasonality persists in Indian stock markets?

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The 'conventional wisdom' about efficient markets is that there are little excess returns, relative to the market returns (and the level of risk) that one can make by analysing historical data. But researchers have gathered systematic evidence about markets violating this conventional wisdom. Some of these are calender effects, small-firm or size effect etc. This paper examines a calender effect known as `the-month-of-the-year-effect' and examine whether this much-hyped anomaly is a persisting feature in the Indian market. The paper shows that the previous evidence on seasonality could be the result of the very nature of parametric methods, that it gets influenced by extreme observations. Otherwise, seasonality is not a feature of the current Indian stock markets.

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