Seasonality in stock market is a well recognized postulation. The phenomenon stands for a regular or rhythmic pattern, apparent in stock returns. The present study investigates the persistence of such regularities in the form of weekend effect, monthly effect and holidays effect employing twelve-year data from 2000 to 2011 of S&P CNX Nifty. The article examines the survival of seasonalities in Indian stock market through Generalized Autoregressive Conditional Heteroskedasticity (GARCH) (1,1) model. The results indicate the occurrence of weekend effect in long run but reject the hypothesis of positive weekends and negative Mondays. On the contrary, the mean return on Tuesday is negative for the entire period. Instead of March effect, the study comes out with November effect and hence nullifies the ‘Tax-Loss Selling Hypothesis’. On dividing the entire period into three-year lags, anomalies instantaneously disappear confirming the fact that any seasonality takes some time to establish itself. Higher GARCH values validate that the Indian stock market is inefficient in its weak form and does not follow a random walk.
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