Exploring the Presence of Calendar Anomaly in Indian Stock Market: An Insight of Month of the Year Effect

Description

Page: 70-73

Nidhi Dhankhar, Sunita Mehla, Suman Ghalawat, and Sushma (Department of Business Management, CCS HAU Hisar, Haryana)

The current study aims to investigate the existence of the month-of-the-year effect in the Indian stock market. The daily closing price of the Nifty 50 index was taken for the study for the period from 1st April 2002 to 31st March 2024. The existence of the anomaly is tested by using the GARCH(1,1) model. The result indicated that July provided the highest returns compared to the remaining months of the year, followed by November. Since the returns of the months are statistically different across the different months, this indicates the existence of calendar anomaly, i.e., the month of the year effect. Thus, the study provided valuable insight to investors and traders in terms of formulating the investment strategy and motivating the researcher to find the hidden dynamics of the existence of calendar anomalies. Moreover, the study contributed to the existing literature on calendar anomalies by contradicting the efficient market hypothesis.