Download or read book Evidence for Seasonality and Changes in Seasonal Trends in Indian Stock Market written by Shilpa Lodha and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Seasonality in stock markets is a regular and repetitive phenomenon occurring at some regular intervals of time, which may generate abnormal or excess returns. This paper explores the existence of seasonality in Indian stock market in four forms, namely, day-of-the-week effect, month-of-the-year effect, quarterly effects, and monthly effects. For this purpose, S&P CNX Nifty was taken as the sample. The daily closing, opening, high and low prices were collected from November 3, 1995 to May 31, 2013. ADF test was used for checking stationarity, whereas a dummy variable regression was used for testing seasonality. It was found that all the four effects are present in the Indian stock market. The returns of September, Monday, first quarter and first-half of the month were significantly different. Thus the existence of seasonality in Indian stock markets was proved. All the four effects tested for Nifty indicate that seasonality has changed over the years.

Download or read book Seasonal Stock Market Trends written by Jay Kaeppel and published by John Wiley & Sons. This book was released on 2008-12-22 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is a seasonal bias to the stock market, and by paying attention to the seasonal market tendencies you can gain an edge in the stock market over the long haul. Seasonality offers a practical approach to investing and trading. What better way to learn how to employ seasonal systems than learning from Jay Kaeppel, a master in the analysis of seasonal trends? Kaeppel walks you through this phenomenon that continues to work consistently, providing you with his ultimate seasonal index to make the calendar work for you. Stock Market Seasonals provides a never-before-seen definitive guide that illustrates how to utilize a combination of four basic seasonal tendencies in order to maximize returns.

Download or read book Seasonality in Momentum Profits written by Supriya Maheshwari and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper investigates Indian momentum profitability along with its performance stability round the year using the stock price data from National Stock Exchange (NSE). Results show evidence in favor of momentum profitability over the sample period from 1997 to 2013. Moreover, the momentum performance is not specific to any particular month suggesting no influence of calendar effects on momentum anomaly in the Indian stock market. Though, momentum strategies performed differently in different calendar months, with particularly strong negative returns in the month of May. However, no statistically significant difference was observed among the mean monthly momentum returns across calendar months. Contrary to the US market findings, no January or similar April seasonality is observed in the Indian momentum profits suggesting some unique characteristics of Indian momentum profitability. In nutshell, the results from the study suggest support in favor of practical implementation of momentum strategies throughout the year in the Indian stock market.

Download or read book An Empirical Study on Seasonal Analysis in the Indian Stock Market written by Dr. P. Nageswari Sathish and published by . This book was released on 2020 with total page 1 pages. Available in PDF, EPUB and Kindle. Book excerpt: The presence of the Seasonal or Monthly Effect in stock returns has been reported in several developed and emerging stock markets. This study investigates the existence of seasonality in India's stock market. The Efficient Market Hypothesis suggests that all securities are priced efficiently to fully reflect all the information intrinsic in the asset. The Seasonal Effects create higher or lower returns depending on the Time Series. They are called Anomalies because they cannot be explained by traditional asset pricing models. Examples of such patterns include e.g. the January Effect, the Day-of-the Week Effect and the Week of the Month Effect etc. Studies on the Seasonal Effects in the Indian Stock Market are limited. In an attempt to fill this gap, this study explores the Indian Stock Market's Efficiency in the 'weak form' in the context of Seasonal Effects. The objective of this paper is to explore the Seasonal Effect on the Indian Stock Market. For the purpose this analysis BSE Sensex index was chosen for a period of ten years from 1st April 2000 to 31st March 2010. The study found that the Day of the Week Effect and Monthly Effect Pattern did not appear to exist in the Indian Stock Market during the study period.

Download or read book Stock Market Seasonality written by Mustafa N. Gültekin and published by . This book was released on 1983 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Seasonality in Stock Returns written by Kalu O. Emenike and published by . This book was released on 2017 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the existence of stock returns seasonality on the Nigerian Stock Exchange (NSE). Regression-based approach was used to analyse the monthly stock return data for seasonal pattern from January 1985 to March 2011. The full sample was divided into three sub-sample periods which covers stock market events in Nigeria. Results obtained from the study indicate that the highest return occurs in the month of May. The sub-sample III results support the month of May highest return. Results from sub-sample I and II periods however show that the highest return occur in June. Further analysis reveals that the coefficients of the twelve months of the year are jointly statistically equal to zero, indicating evidence against January effects or any monthly pattern in the NSE returns.

Download or read book Calendar Return Seasonality Across Sectors Sizes and Styles Evidence From the Indian Equity Markets written by Subhransu Mohanty and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: As literature shows, market anomalies in their various forms exist in different markets around the globe. Evidence of seasonality of returns in any form, whether based on time period such as over specific days, weeks and months, or over size, such as large, medium or small or over different classifications such style (growth/value/momentum), or across various sectors or triggered by material announcements such as earnings, dividend, etc., are all contradictory to any of the three forms of efficient market hypothesis (EMH). In this paper we have made an attempt to find out calendar seasonality of returns in the Indian stock markets. We find that return seasonality exists in the Indian markets across sectors, sizes and styles during a 'month of the year' and during a 'day of the week'. These findings can be attributed to many behavioral aspects of investors and can be used by them in predicting the future returns, or in defining investment strategies in order to benefit from abnormal returns.

Download or read book Seasonality in Stock Returns written by Mostafa Seif and published by . This book was released on 2019 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite an extensive number of studies documenting evidence of seasonal anomalies in developed markets, only a few studies have comprehensively examined these anomalies within emerging markets. Testing the robustness of seasonal anomalies in emerging markets would first, help to examine the theoretical explanations that have been proposed and second, provide an out-of-sample result for these seasonality anomalies. This study examines the efficiency of advanced emerging markets by testing five seasonal anomalies: the month of the year, other January, day-of-the-week, holiday, and week 44. Evidence is reported that is consistent with all of these seasonal anomalies with the exception of the other January effect; supporting the argument that advanced emerging markets are less than perfectly efficient.

Download or read book Monday Effect and Stock Return Seasonality written by Dr. Rengasamy Elango and published by . This book was released on 2010 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates whether the anomalous 'weekend effect' found in many developed and developing markets around the world is also present in the rapidly emerging Indian equity market. We use the real-time data of three of the major indices of the National Stock Exchange of India (NSE) for 1999-2007 period. Standardizing the data, we apply a set of descriptive and inferential statistics on the above three indices. Our analysis produced mixed results indicating that the Monday returns are negative and low in the case of two out of three indices. The K-W test, which is a non-parametric test applied to examine whether the ranks of mean returns for each day of the week are equal, shows evidence of a statistically significant difference in the case of one sample index, CNX Samp;P Nifty Junior. The implication is that the weekend effect is present in small stocks. Dummy variable regression, which again examines the weekend effect shows that Monday returns are negative in one of the bench-mark indices, the NSE Samp;P Nifty confirming that the Indian Market is inefficient and could be exploited to maximize returns. Surprisingly, Wednesdays have yielded the highest mean returns across indices. However, volatility is also higher in these stocks. These findings offer interesting opportunities for individual investors and portfolio managers to place bid/ask orders in order to maximize their returns. However, due caution needs to be exercised while making the above decisions.

Download or read book Seasonality in Common Stock Returns Evidence in China s Stock Markets written by Qian Hu and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Seasonal Effects in the Turkish Stock Market written by Alper Erdogan and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We test for seasonality in returns of various industry indices in the Istanbul Stock Exchange. The residual returns for all the industry indices in the Turkish stock market are computed and analyzed using the CAPM model. The empirical evidence based on monthly return data from MATRİKS points out to weak evidence of return seasonality in some industries, especially in IT, leasing, holding and tourism. Interestingly, the timing of these returns confirms prior work done in developed markets, where returns are generally positive during the first half of the year and negative during the 3rd and 4th quarters. For robustness, we repeat the same procedure with the Fama - French 3 factor model and obtain similar results. Other industry indices show no evidence of seasonality.

Download or read book Seasonality in National Stock Exchange Indices and Pharmaceutical Industry written by Selvarani Mariappan and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Seasonality is a repeatable tendency of a financial instrument to move in relation to a particular influencing factor. That factor could be the time of year, the year of a decade, changes in interest rates, inflation, energy prices, etc. We focus on stock price action and seasonal cycles derived from the time of the calendar year. Seasonal cycles do not cause prices to move a certain way. They simply reflect a measure of tendency. Seasonality is based on both fundamental and technical elements. The present study examines empirically the day of the week effect and Month of the year effect anomaly in the NSE Indices and selected pharmaceutical companies for the period from 2002 to 2007. A nonparametric test Kruskal-Wallis is used to test mean returns are equal across the days of the week. The findings on the mean returns in NSE indices and Pharmaceutical companies could be useful in designing trading strategies and drawing investment decisions. After the introduction of the rolling settlement, Friday has become significant. This also indicates that Fridays, being the last days of the weeks have become significant after rolling settlement. Mondays were found to have higher standard deviations followed by Fridays. The existence of market inefficiency is clear. The market inefficiency still exists and market is yet to price the risk appropriately.

Download or read book A Systematic Guide to Write a Research Paper written by and published by Excel Books India. This book was released on with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Handbook of Equity Market Anomalies written by Leonard Zacks and published by John Wiley & Sons. This book was released on 2011-08-24 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.

Download or read book Stock Market Seasonality and the Turn of the Tax year Effect written by Mustafa N. Gültekin and published by . This book was released on 1983 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Markets Investments And Corporate Behavior A Conceptual Framework Of Understanding written by Michael Joseph Dempsey and published by World Scientific. This book was released on 2015-10-29 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock Markets, Investments and Corporate Behavior examines the nature of stock market growth and decline, the function of financial markets, and their implications for commercial companies. Traditionally, finance academics have attempted to understand financial markets and commercial companies as physicists approach their subject matter: with a set of laws in mind that govern the field. But finance is not physics. The academic's approach falsely assumes that financial markets can be understood as systems within which self-interested maximizers behave in logical ways that are coordinated by the invisible hand of the price mechanism. This book demonstrates that finance is more appropriately understood as a field in which investors and finance managers may or may not use rational calculations as the basis of their decision making.This book opens with an effective dismantling of the traditional mathematical approach used to understand and describe markets and corporate financial behavior. In its place, the mathematics of growth and decline is developed anew, while holding to the realization that the decisions of organizations rely on the choices of real people with limited information available to them. The book will appeal to all students who wish to reappraise their knowledge of finance in a thoughtful manner. Specifically, this book is designed to appeal to anyone who wishes to refine their understanding of the nature of stock markets and financial growth, optimal portfolio allocation, option pricing, asset valuation, corporate financial behavior, and what it means to be ethical in our financial institutions.

Download or read book Emerging Issues in Finance written by Dr Saif Siddiqui and published by Dr Saif Siddiqui. This book was released on 2017-10-11 with total page 845 pages. Available in PDF, EPUB and Kindle. Book excerpt: Edited Conference Proceedings Volume I