Browse > Article
http://dx.doi.org/10.13106/jafeb.2021.vol8.no4.0741

Seasonality and Long-Term Nature of Equity Markets: Empirical Evidence from India  

SAHOO, Bibhu Prasad (Department of Business Economics, SGTB Khalsa College, University of Delhi)
GULATI, Ankita (Department of Business Economics, SGTB Khalsa College, University of Delhi)
Ul HAQ, Irfan (Department of commerce, University of Delhi)
Publication Information
The Journal of Asian Finance, Economics and Business / v.8, no.4, 2021 , pp. 741-749 More about this Journal
Abstract
The research paper endeavors to investigate the presence of seasonal anomalies in the Indian equity market. It also aims to verify the notion that equity markets are for long-term investors. The study employs daily index data of Sensex, Bombay Stock Exchange, to understand its volatility for the period ranging from January 2001 to August 2020. To analyze the seasonal effects in the stock market of India, multiple regression techniques along with descriptive analysis, graphical analysis and various statistical tests are used. The study also employs the rolling returns at different time intervals in order to understand the underlying risks and volatility involved in equity returns. The results from the analysis reveal that daily and monthly seasonality is not present in Sensex returns i.e., investors cannot earn abnormal returns by timing their investment decisions. Hence, the major finding of this study is that the Indian stock market performance is random, and the returns are efficient. The other major conclusion of the research is that the equity returns are profitable in the long run providing investors a hope that they can make gains and compensate for the loss in one period by a superior performance in some other periods.
Keywords
Stock Market Returns; Seasonal Anomalies; Efficient Market Hypothesis; Equity Long Term Returns; Abnormal Returns;
Citations & Related Records
연도 인용수 순위
  • Reference
1 Rozeff, M. S., & Kinney, W. R. (1976). Capital Market Seasonality: The Case of Stock Market Returns. Journal of Financial Economics, 3(October), 376-402.
2 Samuelson, P. (1965). Proof that Properly Anticipated Prices Fluctuate Randomly. Industrial Management Review, 6, 49.
3 Sathyanarayana. S., & Harish, S. N. (2017). The Calendar - Month anomaly and the Indian Stock Market: Evidence from BSE. International Journal of Research in Commerce, Economics & Management, 7(3), 45-50 (March) ISSN 2231-4245.   DOI
4 Smirlock, M., & Starks, L. (1986). Day of the Week and Intraday Effects in Stock Returns. Journal of Financial Economics, 17, 197-210.   DOI
5 Sriram, M., & Devi, P. R. (January 2013). Seasonality in the Returns: A Study of BSE Sensex. International Journal of Financial Management, 3(1), 60-69.
6 Sudarvel, J., Dhanu, P., & Velmurugan, R. (2017). Seasonality Effect in Indian Stock Market with Reference to BSE SENSEX Index. Journal of Advertising Research in Dynamical & Control Systems, 6-10.
7 Bachelier, L. (1990). Theorie de la speculation. Annales scientifiques de I.E.N.S, 3, 21-86.
8 Berges, A., McConnell, J., & Schlarbaum, G. (1984). An Investigation of the Turn-of-the-Year Effect, the Small Firm Effect and the Tax-Loss-Selling-Pressure Hypothesis in Canadian Stock Returns. Journal of Finance, (March), 185-192.
9 Bhattacharya, S., Sengupta, P. P., & Sarkar, P. S. (2012). Day of the week effect: an empirical analysis of national stock exchange. International Journal of Multidisciplinary Research, 2(5), 91-98.
10 Tripathy, N. (2010). Expiration and week effect: empirical evidence from the Indian derivative market. International Review of Business Research Papers, 6, 209-219.
11 Wachtel, S. B. (1942). Certain Observation on Seasonal Movement in Stock Prices. Journal of Business, 15, 184-193.
12 Gultekin, M. N., & Gultekin, N. B. (1983). Stock Market Seasonality: International Evidence. Journal of Financial Economics, 12, 469-481. http://bseindia.com/   DOI
13 Boudreaux, D. O. (1995). The Monthly Effect in International Stock Markets: Evidence and Implications. Journal of Financial Strategic Decisions, 8(1), 15-20.
14 Dash, M., Dutta, A., & Sabharwal, M. (2011). Seasonality and Market crashes in Indian Stock Markets. Asian Journal of Finance & Accounting, 3(10). https://ajfa.v3i1.997
15 Debasish, S. S. (2012). Stock Price Seasonality Effect and Trading Strategy - an Empirical Study of Selected it Companies in India. Business, Management and Education, 10, 264-288. 10.3846/bme.2012.19   DOI
16 Jaffe, J. F., Westerfield, R., & Christopher, M. (1989). A Twist on the Monday Effect in Stock Prices: Evidence from the U.S. and Foreign Stock Markets. Journal of Banking and Finance, 13, 641-650.   DOI
17 Andriyani, K., Marwa, T., Adnan, N., & Muizzuddin, M. (2020). The Determinants of Foreign Exchange Reserves: Evidence from Indonesia. Journal of Asian Finance, Economics and Business, 7(11), 629-636. https://doi.org/10.13106/jafeb.2020.vol7.no11.629   DOI
18 Anwar C. J., Okot, N., & Suhendera, I. (2021). Day-of-the-Week Effect of Exchange Rate in Developing Countries. Journal of Asian Finance, Economics and Business, 8(2), 15-23. https://doi.org/10.13106/jafeb.2021.vol8.no2.0015   DOI
19 Kulkarni, M., Jadha, A., & Dhingra, D. (2020). Time Series Data Analysis for Stock Market Prediction (March 28, 2020). Proceedings of the International Conference on Innovative Computing & Communications (ICICC) 2020, Available at SSRN: https://ssrn.com/abstract=3563111 or http://dx.doi.org/10.2139/ssrn.3563111
20 Kumar, B., & Singh, P. (2008). Volatility Modeling, Seasonality and Risk-Return Relationship in GARCH-in-Mean Framework: The Case of Indian Stock and Commodity Markets. The 5th Conference of Asia-Pacific Association of Derivatives Paper, Available at SSRN: https://ssrn.com/abstract=1140264 or http://dx.doi.org/10.2139/ssrn.1140264
21 Kumar, H., & Jawa, R. (2017). Efficient Market Hypothesis and Calendar Effects: Empirical Evidences from the Indian Stock Markets. Business Analyst, 37(2), 145-160, Available at SSRN: https://ssrn.com/abstract=2981633
22 Kushwah, D. S., & Munshi, M. S. (2018). The Effect of Seasonality over Stock Exchanges in India. Amity Journal of Management, 6(2), 46-53.
23 Lee, J. W., & Brahmasrene, T. (2019). Long-run and Short-run Causality from Exchange Rates to the Korea Composite Stock Price Index. Journal of Asian Finance, Economics and Business, 6(2), 257-267. https://doi.org/10.13106/jafeb.2019.vol6.no2.257   DOI
24 Lewis, M. (1989). Stock Market Anomalies: A Re-Assessment Based On The U.K. Evidence. Journal of Banking and Finance, 13, 675-696.   DOI
25 Lodha, S., & Soral, P. G. (2015). Seasonal Patterns in Indian Stock Markets: An Application of GARCH. American International Journal of Research in Humanities, Arts and Social Sciences, 33-43.
26 Lu, X., & Gao, H. (2016). The Day of the Week Effect in Chinese Stock Market. Journal of Asian Finance, Economics and Business, 3(3), 17-26. https://doi.org/10.13106/jafeb.2016.vol3.no3.17   DOI
27 Nguyen, T. N., Nguyen, D. T., & Nguyen, V. N. (2020). The impacts of oil price and exchange rate on Vietnamese stock market. Journal of Asian Finance, Economics and Business, 7(8), 143-150. https://doi.org/10.13106/jafeb.2020.vol7.no8.143   DOI
28 Fama, E. F. (1990). Efficient Capital Markets: A Review of Theory & Empirical Work. Journal of Finance, 383-417.
29 Nageswari, P., & Selvam, M. (Oct-Dec 2011). An Empirical Study on Seasonal Analysis in the Indian. International Journal of Management and Business Studies, 1(4), 90-95.
30 Nageswari, P., Selvam, M., Vanitha, S., & Babu, M. (Mar 2013). An empirical analysis of January Anomaly in the Indian Stock Market. International Journal of Accounting and financial Management Research (IJAFMR), 3(1), 177-186.
31 Raj, A., Rao, R. P., & Hiraki, T. (1990). Regularities in Tokyo Stock Exchange Security Returns: P/E, Size and Seasonal Influences. Journal of Financial Research, 13(Fall), 249-263.   DOI
32 Reinganum, M. R. (1983). The Anomalous Stock Market Behavior of Small Firms in January: Empirical Tests for Tax-Loss Effects. Journal of Financial Economics, 12, 89-104.   DOI