Seasonality in Indian Stock Market: A re-examination of January Effect

Abstract

A blend of evidences is on hand regarding the existence of January/November/December Effects on Indian stock market. The arguments in favor of January Effect claim highest average returns in the month of January in comparison with the expected returns in rest of the months of the year, individually. More than a few elucidations are provided by researchers for the existence of January Effect on various stock exchanges. The present study has spotlighted the existence of January/December/November/April effect anomalies in Indian stock market. It is based upon the empirical findings of the two major benchmarks of Bombay Stock Exchange for a period of more than ten years. The empirical results obtained in the study have discarded the possibility of January Effect on Indian Capital Market. But, in an attempt to examine the January Effect a few captivating information is discerned through which the investors may be able to strategize their trading activities in a way that may result in to abnormal returns to them. The overall findings stated that November and December months can be important for the investors to attain abnormal returns, instead of January and April. Further research can be made on the seasonality of the financial and commodity derivative market for these months to identify the more factual position of the seasonality over the Indian stock market.