Study of seasonality in Bombay Stock Exchange
In recent years the testing of seasonality in stock returns has become an active field of research in empirical finance and has been receiving attention from not only academic journals but also the financial press. Among the more wellknown volatilities are the size effect, the month effect and the...
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| Format: | Article |
| Language: | English |
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Srusti Academy of Management
2012-06-01
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| Series: | Srusti Management Review |
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| Online Access: | http://www.srustimanagementreview.ac.in/paperfile/602997207_Study%20of%20seasonality%20in%20Bombay%20Stock%20Exchange-Girija%20Nandini,%20Dr.%20Bishnupriya%20Mishra-Vol.%20-%20V%20%20%20Issue%20I%20%20%20Jan%202012.pdf |
| _version_ | 1818726260680949760 |
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| author | Girija Nandini Dr. Bishnupriya Mishra |
| author_facet | Girija Nandini Dr. Bishnupriya Mishra |
| author_sort | Girija Nandini |
| collection | DOAJ |
| description | In recent years the testing of seasonality in stock returns has become an active
field of research in empirical finance and has been receiving attention from not
only academic journals but also the financial press. Among the more wellknown volatilities are the size effect, the month effect and the day-of-the week
effect. The day of the week effect is a phenomenon that constitutes a form of
anomaly of the efficient capital markets theory. According to this phenomenon,
the average daily return of the market is not the same for all days of the week,
as we would expect on the basis of the efficient market theory. Month of the
year effect would exist if returns on a particular month are higher than other
months. This paper attempts to investigate the presence of seasonal effects in
the Bombay Stock exchange(BSE) through week day effect and month of the
year effect . The closing price of SENSEX has been taken for 17 years, from
1993 to 2009. Variety of statistical techniques have been used to see if any
seasonality is present in the Bombay Stock exchange. |
| first_indexed | 2024-12-17T21:55:23Z |
| format | Article |
| id | doaj.art-9b9d5a4215b84450b94e084f3e237499 |
| institution | Directory Open Access Journal |
| issn | 0974-4274 2582-1148 |
| language | English |
| last_indexed | 2024-12-17T21:55:23Z |
| publishDate | 2012-06-01 |
| publisher | Srusti Academy of Management |
| record_format | Article |
| series | Srusti Management Review |
| spelling | doaj.art-9b9d5a4215b84450b94e084f3e2374992022-12-21T21:31:08ZengSrusti Academy of ManagementSrusti Management Review0974-42742582-11482012-06-01VSpl-I16Study of seasonality in Bombay Stock ExchangeGirija Nandini0Dr. Bishnupriya Mishra1Assistant Professor Regional College of Management BhubaneswarDean Modern Institute of Technology and Management BhubaneswarIn recent years the testing of seasonality in stock returns has become an active field of research in empirical finance and has been receiving attention from not only academic journals but also the financial press. Among the more wellknown volatilities are the size effect, the month effect and the day-of-the week effect. The day of the week effect is a phenomenon that constitutes a form of anomaly of the efficient capital markets theory. According to this phenomenon, the average daily return of the market is not the same for all days of the week, as we would expect on the basis of the efficient market theory. Month of the year effect would exist if returns on a particular month are higher than other months. This paper attempts to investigate the presence of seasonal effects in the Bombay Stock exchange(BSE) through week day effect and month of the year effect . The closing price of SENSEX has been taken for 17 years, from 1993 to 2009. Variety of statistical techniques have been used to see if any seasonality is present in the Bombay Stock exchange.http://www.srustimanagementreview.ac.in/paperfile/602997207_Study%20of%20seasonality%20in%20Bombay%20Stock%20Exchange-Girija%20Nandini,%20Dr.%20Bishnupriya%20Mishra-Vol.%20-%20V%20%20%20Issue%20I%20%20%20Jan%202012.pdfstock marketseasonalityday of the week effectmonth of the year effect |
| spellingShingle | Girija Nandini Dr. Bishnupriya Mishra Study of seasonality in Bombay Stock Exchange Srusti Management Review stock market seasonality day of the week effect month of the year effect |
| title | Study of seasonality in Bombay Stock Exchange |
| title_full | Study of seasonality in Bombay Stock Exchange |
| title_fullStr | Study of seasonality in Bombay Stock Exchange |
| title_full_unstemmed | Study of seasonality in Bombay Stock Exchange |
| title_short | Study of seasonality in Bombay Stock Exchange |
| title_sort | study of seasonality in bombay stock exchange |
| topic | stock market seasonality day of the week effect month of the year effect |
| url | http://www.srustimanagementreview.ac.in/paperfile/602997207_Study%20of%20seasonality%20in%20Bombay%20Stock%20Exchange-Girija%20Nandini,%20Dr.%20Bishnupriya%20Mishra-Vol.%20-%20V%20%20%20Issue%20I%20%20%20Jan%202012.pdf |
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