Published Paper Details:

Calendar anomalies refer to the tendency of stock market returns to show systematic patterns at a certain time of the day, week, month or year. The existence of the calendar anomalies is a denial of the weak form of efficient market hypothesis which states that the stock returns are time invariant. This paper provides a new and economically plausible explanation for Holiday Anomaly on S&P BSE BANKEX index. The results of this study will be useful to investors, traders, and arbitrageurs who can formulate profitable trading strategies to capitalize on calendar anomalies. The Securities and Exchange Board of India (SEBI) introduced the Compulsory Rolling Settlement System for stocks on January 02, 2002. This was expected to boost liquidity and thereby reduce the market risk of stocks to a considerable extent. The introduction of Rolling Settlement was also expected to lead to higher equity turnover and thereby potentially impact the anomalous behaviour of stock prices. In this context, the study provides further evidence on the anomalous behaviour of stocks in the Indian Stock Market during the Post Rolling Settlement Period from April 2002 to March 2016. The post rolling settlement testing period distinguishes this study from other contemporaneous studies on anomalous behaviour of stocks in the Indian stock market. This study considered the preholiday return and the post-holiday return and the influence of National holiday on the return. The six National holidays considered for the study are New Year, Republic Day, May Day, Independence Day, Gandhi Jayanthi and Christmas. The result of the study found that there was highest mean return recorded on Pre-Holidays than the Post Holidays and Week Days during the study period.