Unique Calendar Effects in the Indian Stock Market: Evidence and Explanations (Record no. 52334)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01558nam a2200217 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20190801180006.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 190801b ||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Singh,Harshita, Shveta |
| 9 (RLIN) | 34002 |
| 245 ## - TITLE STATEMENT | |
| Title | Unique Calendar Effects in the Indian Stock Market: Evidence and Explanations |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 35S-58S p. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | Covering 20 years (1995–2015), the article ascertains the presence of the month-of-the-year effect in the Indian stock market, for the raw returns series as well as after adjusting for non-linearities of the market. Whether the effect is the same for portfolios of different sizes and values is also ascertained. The threshold generalised autoregressive conditionally heteroskedastic (TGARCH) model is employed to address non-linearity. The results suggest the presence of higher returns in November/December at the index level. Further, only firms with a size smaller than the average exhibit seasonality in the form of the April/May and November/December effect. The value-sorted portfolios exhibit weaker evidence of the December effect. Tax-loss selling, window dressing and behavioural aspects seem to provide the explanation. |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Market efficiency, |
| Uncontrolled term | Anomalies, |
| Uncontrolled term | Calendar effect, |
| Uncontrolled term | ARCH models, |
| Uncontrolled term | Indian stock market |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Yadav, Surendra S. |
| 9 (RLIN) | 34003 |
| 773 0# - HOST ITEM ENTRY | |
| Host Biblionumber | 29445 |
| Host Itemnumber | 74853 |
| Main entry heading | GANGOPADHYAY, SHUBHASIS |
| Place, publisher, and date of publication | NEW DELHI SAGE PUBLICATION PVT. LTD. |
| Other item identifier | 55510429 |
| Title | JOURNAL OF EMERGING MARKET FINANCE |
| International Standard Serial Number | 0972-6527 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Koha item type | Journal Article |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Date acquired | Total Checkouts | Full call number | Barcode | Date last seen | Price effective from |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Main Library | Main Library | 01/08/2019 | Vol 18, No 1S/ 55510429JA2 | 55510429JA2 | 01/08/2019 | 01/08/2019 |