Browsing by Subject "Day of the week"

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    Day-of-the-Week and Other Market Anomalies in the Indian Stock Market
    (University of North Bengal, 2017-03) Dutta, Abhijit
    The anomalies of the market relating to the calendar period are the source of in-trospection for the efficient market hypothesis. As the market tries to take and as-similate information in the prices, it becomes more efficient and predicting price and tiding over market situation becomes more and more difficult. The fact that market prices are predictable as there are patterns in it, make it non-random and weak. This paper tries to understand in this context the price behaviour of the In-dian stock market and find if the market prices of the calendar event such as day of the week and month of the year has any effect on the Indian stock market. The data for this study consist of NSE data that comprise of weekly data for the period 1995-2015 and daily data for the period 2001-2015. This study indicates that though the Indian market does exhibit seasonality in returns, this seasonality is very different from that observed commonly in other markets.