A STUDY OF THE DAY OF THE MONTH EFFECT IN THE INDIAN STOCK MARKET

Noel Daliwala; Jay Desai

doi:10.47413/vidya.v3i1.411

Authors

Noel Daliwala Department of Business Intelligence, B. K. School of Professional and Management Studies, Gujarat University https://orcid.org/0009-0000-9692-1610
Dr. Jay Desai Assistant Professor, B. K. School of Professional and Management Studies, Gujarat University

DOI:

https://doi.org/10.47413/vidya.v3i1.411

Keywords:

Seasonality, Seasonal Variations, Month-of-the-Year Effect, Day-of-the-Month Effect, Day-of-the-Week Effect

Abstract

Seasonality and seasonal variations are common phenomena associated with the stock markets and the Indian stock market is no exception to them. An interesting anomaly in seasonality is the day-of-the-week effect, which this paper tries to unravel. Many researchers have investigated the effects of seasonal fluctuations such as month-of-the-year, day-of-the-month, and day-of-the-week. Historical evidence suggests that these anomalies are prevalent in the market and if properly studied investors can take advantage of the market and try to beat the Efficient Market Hypothesis (EMH). This paper attempts to understand the day-of-the-week effect in the Indian stock market.

References

Abraham, A., & Ikenberry, D. L. (1994). The individual investor and the weekend effect. Journal of Financial and Quantitative Analysis, 29(2), 263-277.

Ajayi, R. A., Mehdian, S., & Perry, M. J. (2004). The day-of-the-week effect in stock returns: further evidence from Eastern European emerging markets. Emerging markets finance and trade, 40(4), 53-62.

Ariel, R. A. (1987). A monthly effect in stock returns. Journal of financial economics, 18(1), 161-174.

Barone, E. (1990). The Italian stock market: efficiency and calendar anomalies. Journal of Banking & Finance, 14(2-3), 483-510.

Brooks, C., & Persand, G. (2001). Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects. Applied Economics Letters, 8(3), 155-158.

Cadsby, C. B., & Ratner, M. (1992). Turn-of-month and pre-holiday effects on stock returns: Some international evidence. Journal of Banking & Finance, 16(3), 497-509.

Cross, F. (1973). The behavior of stock prices on Fridays and Mondays. Financial analysts journal, 29(6), 67-69.

Desai, D., & Trivedi, A. (2012). A Study of Day of the Month Effect in S&P CNX Nifty 50. Available at SSRN 2186110.

Desai, D., Joshi, N. A., Chokshi, A., Dave, D., & Ramchandra, A. (2011). A Study of Seasonality Based Trading Strategy for Indian Stocks and Indices. Capital Markets: Market Efficiency eJournal, 3(36).

Fountas, S., & Segredakis, K. N. (2002). Emerging stock markets return seasonalities: the January effect and the tax-loss selling hypothesis. Applied Financial Economics, 12(4), 291-299.

Gibbons, M. R., & Hess, P. (1981). Day of the week effects and asset returns. Journal of business, 579-596.

Givoly, D., & Ovadia, A. (1983). Year‐end tax‐induced sales and stock market seasonality. The Journal of finance, 38(1), 171-185.

Gultekin, M. N., & Gultekin, N. B. (1983). Stock market seasonality: International evidence. Journal of financial economics, 12(4), 469-481.

Jaffe, J., & Westerfield, R. (1989). Is there a monthly effect in stock market returns?: Evidence from foreign countries. Journal of Banking & Finance, 13(2), 237-244.

Maberly, E. D. (1995). Eureka! Eureka! Discovery of the Monday effect belongs to the ancient scribes. Financial Analysts Journal, 51(5), 10.

Mills, T. C., & Andrew Coutts, J. (1995). Calendar effects in the London Stock Exchange FT–SE indices. The European Journal of Finance, 1(1), 79-93.

Poshakwale, S. (1996). Evidence on weak form efficiency and day of the week effect in the Indian stock market. Finance India, 10(3), 605-616.

Prajapati, B. A., Modi, A., & Desai, J. (2013). A survey of day of the month effect in world stock markets. Journal Impact Factor, 4(1), 221-234.

Raj, M., & Kumari, D. (2006). Day‐of‐the‐week and other market anomalies in the Indian stock market. International journal of emerging markets.

Raj, M., & Thurston, D. (1994). January or April? Tests of the turn–of–the–year effect in the New Zealand stock market. Applied Economics Letters, 1(5), 81-83.

Reinganum, M. R. (1983). The anomalous stock market behavior of small firms in January: Empirical tests for tax-loss selling effects. Journal of financial economics, 12(1), 89-104.

Rozeff, M. S., & Kinney Jr, W. R. (1976). Capital market seasonality: The case of stock returns. Journal of financial economics, 3(4), 379-402.

Seyyed, F. J., Abraham, A., & Al-Hajji, M. (2005). Seasonality in stock returns and volatility: The Ramadan effect. Research in International Business and Finance, 19(3), 374-383.

Smirlock, M., & Starks, L. (1986). Day-of-the-week and intraday effects in stock returns. Journal of Financial Economics, 17(1), 197-210.

Vachhrajani, H., Desai, D., & Desai, K. J. (2014). The'Monsoon Effect'in Indian equity market. Available at SSRN 2513741.

Wachtel, S. B. (1942). Certain observations on seasonal movements in stock prices. The journal of business of the University of Chicago, 15(2), 184-193.

https://www.bseindia.com/

https://www.nseindia.com/

https://www.ssrn.com/

https://www.wikipedia.org/