Seasonality in Stock Markets: A Case Study of BSE and NSE Indices - Lodha, Shilpa
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The present study attempts to explore the existence of seasonality in Indian stock market. For this purpose indices of BSE & NSE were taken as sample and their daily closing, opening, high and low prices were obtained. After analyzing all the four calendar effects namely day-of-the-week effect, month-of-the-year effect, quarterly effects and monthly effects, it was found that all the four effects are present in the Indian stock market. While exploring whether the pattern of seasonality has been changed over the years, the change was confirmed for all the four effects tested. Surprisingly the…mehr

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Produktbeschreibung
The present study attempts to explore the existence of seasonality in Indian stock market. For this purpose indices of BSE & NSE were taken as sample and their daily closing, opening, high and low prices were obtained. After analyzing all the four calendar effects namely day-of-the-week effect, month-of-the-year effect, quarterly effects and monthly effects, it was found that all the four effects are present in the Indian stock market. While exploring whether the pattern of seasonality has been changed over the years, the change was confirmed for all the four effects tested. Surprisingly the changes were drastic from one period to next consecutive period. In addition to, it was also discovered that initially there was no similarity in the results of SENSEX and Nifty. But gradually both SENSEX and Nifty showed co-movement in terms of significant returns generating days, months, quarters or halves of a month in their respective sub-time period, thereby depicting strong co-integration between them. When market participants' perception was analyzed regarding various trading strategies proposed to them, it was found that investors were hardly interested in seasonality based strategies.
Autorenporträt
Dr. Shilpa Lodha is working as Post-Doctoral Fellow at Department of Accountancy and Statistics, Mohanlal Sukhadia University, Udaipur (Raj), India. Having eight years of teaching experience and graduate and post graduate level, she is a UGC NET (2010) & UGC NET-JRF (2012) qualified faculty actively involved in teaching, research and consultancy.