A Study Of Selected Calendar Anomalies In India And Other Selected Asian Countries

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Prof. (Dr.) Hardik Shah


Stock market anomalies can be widely classified as calendar, fundamental and technical anomalies. Calendar anomalies but are a few of the maximum mentioned problems with inside the financial literature. In this article, we provide a detailed review on the behavior of calendar anomalies to understand their evolution. The objective of this study is to explore the January effect, Friday the 13th effect, Weekend Effect and Wednesday effect on the Indian stock exchange, Jakarta stock exchange and Tokyo Stock Exchange. Until the late 1990s, empirical research provided ample evidence of information efficiency in capital markets, arguing that information uselessness consistently produced abnormal returns. However, subsequent studies identified certain anomalies in the efficient market assumption. Daily returns generated by SENSEX, Nifty, Nikkei, and Jakarta from 1 April 2003 to 31 March 2014, with a total of approximately 2850 observations for each index, are considered to test seasonality increase. While most studies have looked at the return of one major index based on closing prices, this study looks at the potential seasonality of multiple indices. This study employed the daily mean index value for generating the daily returns to relax the implied assumption of the earlier studies by considering the closing values of the indices that trading is done at the closing values. A non-parametric test Kruskall-Wallis test using for testing the seasonality in the Indian stock market returns. Studies on the Indian stock markets’ and other selected Asian markets’ calendar anomalies, are very few. In an attempt to fill this gap, this study explores the Indian stock market’s efficiency in the ‘Semi strong form’ in the context of calendar anomalies, especially in respect of the weekend effect.

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