Calendar Anomalies in the Banking and it Index: The Indian Experience

Asian Economic and Financial Review

article

Shikta Singh¹  Chandrabhanu Das¹ 

[1] Department of Finance KIIT ,(Deemed to be University) Bhubaneswar

关键词: Calendar anomalies;    GARCH family;    Volatility patterns;    January effect;    Turn of the month;    Service sector;    India.;   

DOI  :  10.18488/journal.aefr.2020.104.439.448

学科分类：社会科学、人文和艺术（综合）

来源: Asian Economic and Social Society

【 摘 要 】

The present study seeks to inspect the calendar effects in major service sector indices in the Indian securities market. The Banking sector and Information technology sector are identified as the prominent service sectors in the Indian economy. BSE Information Technology Index and BSE Bankex are considered as a proxy for the Information Technology and Banking sector. Period of study is chosen from the year 2010 to 2019 to examine the impact of calendar anomalies post-recession. Daily index returns are considered during the period of study .GARCH family models and OLS regression techniques were utilized for the study. Empirical findings indicate the presence of the January effect and turn of the month effect on the index returns and volatility. The study also suggests the possibility of a weak form of efficiency for the IT sector. Significant volatility persistence is observed in both the indices. The study has benefits for regulators to understand the price movements of the service sector after the global recession and frame their policies accordingly. Investors will benefit from this study for effective portfolio management.

【 授权许可】

CC BY