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1Ashish Garg, Assistant Professor at Lal Bahadur Shastri Institute of Management, New Delhi. He can be reached at ashishgarg_lbs@rediffmail.com
2B.S.Bodla, Professor, Department of Management, Kurukshetra University, Kurukshetra (Haryana) India. He has published more than 60 research papers in National/International Journals and magazines. He has authored four books. He can be reached at bsgju@yahoo.co.in
3Sangeeta Chhabra, Associate Professor at National Institute of Financial Management, Faridabad. She was Chief Coordinator of a sponsored nationwide research project titled “Management of National Rural Employment Guarantee Scheme: Issues and Challenges” a study of six states. She can be reached at sang.chhabra@gmail.com
Seasonal anomalies are reported by researchers for developed as well as emerging stock markets. Day of the week effect is the most talked anomaly. However, due to the increased use of the information technology and on-going stock market reforms in emerging economies, investors might expect the stock markets to be free from such anomalies. This paper is an attempt to examine whether seasonal anomalies still persist in the developed and developing markets. For the study, the Indian and US markets are taken as the representative of emerging and developed markets, respectively. The reference period of the study ranges from January 1998 to December 2007, which is further broken into two sub periods: (i) January 1998 to December 2001, and (ii) January 2002 to December 2007. The study examines five types of anomalies namely, turn of the month effect, semi-monthly effect, monthly effect, Monday effect and Friday effect. The analysis provides the evidence about the presence of the Monday effect only in India but the semi monthly and turn of the month effect are found in both the markets. In contrast, month effect does not exist in any of the two countries. Hence, the stock markets are not yet free from seasonal anomalies despite increased use of information technology and numerous regulatory developments.
Seasonal, Monthly, Day, Stock, Stock
JEL CLASSIFICATION: G10, G12, G14
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