Stock Market Anomaly: Evidence from Holiday Effect of Indian Stock Market

Abstract :

This paper analyses the presence of the calendar anomaly, like Holiday effect in the Indian stock market over a
past decade during 2006 to 2015 based on market returns. The sample constitutes of the BSE Sensex and NSE Nifty. The study empirically defines the existence of the Holiday effects on the returns of the index. In this study Regression test were used to find the significant difference among the returns of Pre, Post-Holidays and weekdays. In the findings of the study the returns among the Post-Holidays and Pre-Holiday are significant in the BSE Sensex and there was no significant difference between the returns of Pre-Holiday and weekdays in NSE Nifty. The significant F-value (2.357) clearly indicates that the overall fit is moderate. The Pre-Holiday was recorded good returns in Sensex and Nifty during the study period. Hence, the investor considers and note evidences before investing the market.

Author Name : Abreha, G. Rufael & Dr. V. Prabakaran

DOI: https://doi.org/10.5281/zenodo.266928

Keywords: Market Anomalies, Holiday-effect, Efficient Market Hypothesis.