Calendar Anomalies in National Stock Exchange Indices

This paper examines the calendar anomalies in the NSE indices by analyzing the trends in annual returns and daily returns for the period 2002-07. A set of parametric and nonparametric tests are employed to test the equality of mean returns and standard deviations of the returns. The findings of the...

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Bibliographic Details
Published in:The ICFAI journal of applied finance 2009-01, Vol.15 (1), p.56
Main Authors: Selvarani, M, Jenefa, Leena
Format: Article
Language:English
Subjects:
Calendars
Capital assets
Expected values
Hypotheses
Indexes
Rates of return
Seasonal variations
Securities markets
Standard deviation
Stock exchanges
Studies
Volatility
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Summary:This paper examines the calendar anomalies in the NSE indices by analyzing the trends in annual returns and daily returns for the period 2002-07. A set of parametric and nonparametric tests are employed to test the equality of mean returns and standard deviations of the returns. The findings of the mean returns in the NSE indices show that there is a strong evidence of April and January effect. After the introduction of the rolling settlement, Friday has become significant. As far as day effect is concerned, Tuesday effect is more prevalent than Monday effect. [PUBLICATION ABSTRACT]
ISSN:0972-5105