Monthly Effects in Stock Returns : New Evidence from the Indian Stock Market

The efficiency of the capital market has raised various debatable issues all over the world. Numerous studies give evidence that the capital markets are informationally efficient and hence, cannot outperform the market consistently on the basis of price change predictions. However, some researchers have also brought into light seasonal effects/calendar anomalies in the developed markets. This paper investigates one of such anomalies (monthly effects) in an emerging capital market (Indian). For this, the daily price index (S&P CNX NIFTY) data have been collected and analyzed for the period from January 1998 to August 2005 by segmenting it into three sets, i.e., 1998-01, 2002-05, and 1998-05. The result of this study shows that the turn of the month effect and semi-monthly effect are prevalent in the Indian stock market.