Capturing the month of the year effect in the Indian stock market using GARCH models
Purpose – In the research of stock market efficiency, it is argued that the stock market moves randomly and absorbs all the available information. As a result, it is quite impossible to make predictions about the possible future movement by the investors. But literatures have detected certain calend...
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Emerald Publishing
2024-03-01
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| Series: | Vilakshan (XIMB Journal of Management) |
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| Online Access: | https://www.emerald.com/insight/content/doi/10.1108/XJM-08-2021-0204/full/pdf |
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| author | Pramath Nath Acharya Srinivasan Kaliyaperumal Rudra Prasanna Mahapatra |
| author_facet | Pramath Nath Acharya Srinivasan Kaliyaperumal Rudra Prasanna Mahapatra |
| author_sort | Pramath Nath Acharya |
| collection | DOAJ |
| description | Purpose – In the research of stock market efficiency, it is argued that the stock market moves randomly and absorbs all the available information. As a result, it is quite impossible to make predictions about the possible future movement by the investors. But literatures have detected certain calendar anomalies where a day(s) in a week or month(s) in a year or a particular event in a year becomes conducive for investors to earn more than the normal. Hence, the purpose of this study is to find out the month of the year effect in the Indian stock market. Design/methodology/approach – In this study, daily time series data of Sensex and Nifty from 1996 to 2021 is used. The study uses month dummies to capture the effect. Different variants of generalised autoregressive conditional heteroskedasticity (GARCH) models, both symmetric and asymmetric, are used in the study to model the conditional volatility in the presence month effect. Findings – This study found the September effect in the return series of both the stock market. Apart from that, asymmetric GARCH models are found to be the best fit model to estimate conditional volatility. Originality/value – This study is an endeavour to study month of the year effect in the Indian context. This research will provide valuable insight for studying the different calendar anomalies. |
| format | Article |
| id | doaj-art-6f1196b4bf0345a0807bb5ec8889d595 |
| institution | Kabale University |
| issn | 0973-1954 2633-9439 |
| language | English |
| publishDate | 2024-03-01 |
| publisher | Emerald Publishing |
| record_format | Article |
| series | Vilakshan (XIMB Journal of Management) |
| spelling | doaj-art-6f1196b4bf0345a0807bb5ec8889d5952024-12-20T13:02:32ZengEmerald PublishingVilakshan (XIMB Journal of Management)0973-19542633-94392024-03-0121121410.1108/XJM-08-2021-0204Capturing the month of the year effect in the Indian stock market using GARCH modelsPramath Nath Acharya0Srinivasan Kaliyaperumal1Rudra Prasanna Mahapatra2Department of Management Studies, National Institute of Science and Technology, Berhampur, IndiaFaculty of Business Studies, Higher Colleges of Technology, Muscat, OmanDepartment of Commerce, Berhampur University, Berhampur, IndiaPurpose – In the research of stock market efficiency, it is argued that the stock market moves randomly and absorbs all the available information. As a result, it is quite impossible to make predictions about the possible future movement by the investors. But literatures have detected certain calendar anomalies where a day(s) in a week or month(s) in a year or a particular event in a year becomes conducive for investors to earn more than the normal. Hence, the purpose of this study is to find out the month of the year effect in the Indian stock market. Design/methodology/approach – In this study, daily time series data of Sensex and Nifty from 1996 to 2021 is used. The study uses month dummies to capture the effect. Different variants of generalised autoregressive conditional heteroskedasticity (GARCH) models, both symmetric and asymmetric, are used in the study to model the conditional volatility in the presence month effect. Findings – This study found the September effect in the return series of both the stock market. Apart from that, asymmetric GARCH models are found to be the best fit model to estimate conditional volatility. Originality/value – This study is an endeavour to study month of the year effect in the Indian context. This research will provide valuable insight for studying the different calendar anomalies.https://www.emerald.com/insight/content/doi/10.1108/XJM-08-2021-0204/full/pdfStock marketReturnVolatilityMonth of the year effectGARCHCalendar anomalies |
| spellingShingle | Pramath Nath Acharya Srinivasan Kaliyaperumal Rudra Prasanna Mahapatra Capturing the month of the year effect in the Indian stock market using GARCH models Vilakshan (XIMB Journal of Management) Stock market Return Volatility Month of the year effect GARCH Calendar anomalies |
| title | Capturing the month of the year effect in the Indian stock market using GARCH models |
| title_full | Capturing the month of the year effect in the Indian stock market using GARCH models |
| title_fullStr | Capturing the month of the year effect in the Indian stock market using GARCH models |
| title_full_unstemmed | Capturing the month of the year effect in the Indian stock market using GARCH models |
| title_short | Capturing the month of the year effect in the Indian stock market using GARCH models |
| title_sort | capturing the month of the year effect in the indian stock market using garch models |
| topic | Stock market Return Volatility Month of the year effect GARCH Calendar anomalies |
| url | https://www.emerald.com/insight/content/doi/10.1108/XJM-08-2021-0204/full/pdf |
| work_keys_str_mv | AT pramathnathacharya capturingthemonthoftheyeareffectintheindianstockmarketusinggarchmodels AT srinivasankaliyaperumal capturingthemonthoftheyeareffectintheindianstockmarketusinggarchmodels AT rudraprasannamahapatra capturingthemonthoftheyeareffectintheindianstockmarketusinggarchmodels |