Analysis of Calendar anomalies in National Stock Exchange of India "NSE"

Ing. Danial Hasan

Master's thesis

Abstract:

This study examined whether calendar anomalies existed in the National Stock Exchange of India (NSE). The observations spanned six years, from 2010 to 2015. We tested daily and monthly returns for evidence of Monday, Friday, January, April, and semi-monthly effects in three indices (NIFTY 500, NIFTY Small-Cap 250, and NIFTY Mid-Cap 150). The thesis contains three principal chapters. The introduction provides the problem statement and the hypotheses. The first chapter discusses the relevant theoretical background, and it also defines certain statistical terms, thus making the methodology easier to understand. The next chapter covers the existing literature on each type of anomaly, while the third chapter describes this study’s methods. We employed a descriptive analysis, ANOVA tests, correlograms, a simple linear regression, and a GARCH (1,1) model. The results revealed the significance in Friday returns, but only for the NIFTY Small-Cap 250 index. Other irregularities were not observed.

Keywords

Calendar anomalies, January effect, Friday effect, GARCH, autocorrelation, linear regression, efficient market hypothesis

Language used: English

Date on which the thesis was submitted / produced: 10. 1. 2017

Thesis defence

• Date of defence: 6. 2. 2017
• Supervisor: Ing. Dagmar Linnertová, Ph.D.
• Reader: Ing. Luděk Benada, Ph.D.

Masaryk University

Faculty of Economics and Administration

Master programme / field:
Finance and Accounting / Finance (eng.)