Published Paper Details:

ABSTRACT: Stock market anomalies can be broadly categorized as calendar, fundamental and technical anomalies. Calendar anomalies however are among the most discussed issues in the financial literature. This is because these anomalies are the primary contributors to the abnormalities in the stock returns. Calendar anomalies are defined as an irregular pattern of stock returns that are based on a calendar year. This paper attempts to determine the existence of calendar anomalies, namely, the Day of the week effect, Turn of the month effect, and Month of the year effect in the Indian stock market. Daily data of Sensex and Nifty from 1993 through 2013 are analysed using different statistical techniques. The tests indicate an absence of a significant day of the week effect and month of the year effect, while a significant turn of the month effect is observed. There are multiple hypotheses associated with anomalies, but only the turn of the month stands valid for the Indian context.