000			01558nam a2200217 4500
999			_c52334 _d52334
003			OSt
005			20190801180006.0
008			190801b ||||| |||| 00| 0 eng d
100			_aSingh,Harshita, Shveta _934002
245			_aUnique Calendar Effects in the Indian Stock Market: Evidence and Explanations
300			_a35S-58S p.
520			_aCovering 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			_aMarket efficiency,
653			_aAnomalies,
653			_aCalendar effect,
653			_aARCH models,
653			_aIndian stock market
700			_aYadav, Surendra S. _934003
773	0		_029445 _974853 _aGANGOPADHYAY, SHUBHASIS _dNEW DELHI SAGE PUBLICATION PVT. LTD. _o55510429 _tJOURNAL OF EMERGING MARKET FINANCE _x0972-6527
942			_2ddc _cJA-ARTICLE