An Empirical Analysis of January Anomaly in the Indian Stock Market

Any anomaly, including January Anomaly, would enable the investors and speculators to gain abnormal returns. The presence of January Anomaly defeats the basic premises of the efficient market hypothesis. Besides, it has greater implications for the design of investment strategy in the long run. This paper seeks to find out whether the ‘January Anomaly', found in many countries, is also found in the fast developing Indian Markets. The study used the logarithmic data for S&P CNX Nifty and S&P CNX 500 sample indices and applied the Dummy Variable Regression Model from 1st April 2002 to 31st March 2011. It is found that the highest mean return was earned in December and the lowest/ negative mean return earned in January Month for S&P CNX Nifty index. The S&P CNX 500 Index recorded the Highest Mean Return in the Month of March and the Highest Negative Mean Returns in the Month of January. It is found that there was significant difference in the mean returns among the different months of the year. The analytical results of seasonality indicate the absence of January Anomaly during the study period