Indian Journal of Finance October
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Investigating the 'Month of the Year' Effect in India

Affiliations

  • Associate Professor, Symbiosis Institute of Business Management, Symbiosis International University, Symbiosis Knowledge Village, Gram: Lavale, Tal: Mulshi, Dist: Pune - 412 115, Maharashtra, India

Abstract


The present study divided the past 25 years (from 1990 till the present) into three almost equal time periods and studied the 'month of the year' effect within them in the Indian context by use of the indices - BSE Sensex, BSE 500, BSE MidCap, and BSE SmallCap. The study observed that the 'month of the year' effect is different in each of the three time periods - 'February' effect for the period from January 01, 1990 – December 31, 1998 ; the 'November' effect for the period from January 01, 1999 – December 31, 2006 ; and the 'April' effect for the period from January 01, 2007 – April 01, 2015. However, for a given time period, the same 'month of the year' effect is present for all the indices studied. It was also observed that the 'month of the year' effect is stronger for small caps when compared to large caps.

Keywords

'April' Effect, BSE 500, BSE MidCap, BSE Sensex, BSE SmallCap, January Effect

G11, G12, G14

Paper Submission Date : April 1, 2016 ; Paper sent back for Revision : September 12, 2016 ; Paper Acceptance Date : November 26, 2016.


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