Security Returns Spectrum - An Analysis of Seasonality and Sensitivity of Indian Stock Markets

Abstract

Calendar anomalies have been found to be prevalent in major markets throughout the world. The thesis extends the existing literature on calendar anomalies by considering indices (broad and sectoral) over a longer time frame. The specific comparisons between multiple indices helped retest the conclusions on several calendar anomalies examined previously in other countries but not analyzed in Indian Stock markets to reach conclusion with few confounding factors. The results were modelled using econometric models to handle the issues of normality in the univariate time series analysis. The results obtained show 360 degree causal relationship, interlinking one calendar anomaly results with other anomalies more so in the recent times. The results obtained also show calendar anomalies converging with patterns observed across major global economies.