An Empirical Study of Calendar Anomalies : Indian Stock Market Evidence
Calendar anomalies that challenge the Efficient Market Hypothesis i.e. stocks always trade at their fair value on stock exchanges, makes it impossible for investors to either purchase undervalued stocks or sell stocks for inflated prices. As such, it may be not be possible to outperform the overall market through expert stock selection or market timing, and that the only way an investor can possibly obtain higher returns is by purchasing riskier investments. This study provides an empirical evidence with respect to turn-of-the-month and 13th Friday effect for Indian stock market. For studying these effects, data with respect to stock prices of S&P CNX Nifty index for ten years i.e. from 2004 to 2013 have been considered. The findings of the study revealed that in Indian stock market with respect to the index of S & P CNX Nifty; turn of the month effect did exist during entire study period whereas 13th Friday effect did not exist. Further, the study also compared the turn of the month and 13 Friday effect during pre (2004 to 2007) and post recession period (2009-2013). During this period, the patterns of returns do not deviate from the composite effect with respect to both the effects as discussed above