Published Paper Details:

This research paper aims to investigate the existence of Day Effect in NSE Index the Monthly Effect, year effect and test of Holiday Effect for the NSE. The present study aims to carry out the evaluation of anomalies and its effect on the average returns during the period from 1st January, 2009 to 31st December 2016. Daily closing price of NSE Index is selected. Secondary data collected from various published records are systematically arranged, classified, tabulated, analyzed and interpreted by using appropriate statistical tools and techniques. The descriptive statistics are calculated of daily return of separate month, like mean, standard deviation. Nonparametric Test was used whether the difference is statistically significant or not. A market anomaly is any event or time period that can be used to produce abnormal profits on stock markets. Stock market anomalies occur on multiple equities and Stock market indices across the world. These Calendar Effects are trends seen in stock returns, where the returns tend to high or low on a particular day or month as compared to the mean. They are called Anomalies because they cannot be explained by traditional asset pricing models and they violate the weak-form of market efficiency.