Mohanty, Prabir Kumar; Kamaiah, B - Institute for Social and Economic Change (ISEC) - 2000
This paper attempts to test for non-stationarity in the seasonal pattern of monthly stock returns in India. Using the HEGY methodology of seasonal unit roots on two monthly stock market indices viz., BSE sensitive Index and BSE 100 Index (1983:4?1999:12), the results of the study fail to confirm...