Calendar Effects In The Indian Stock Market

Abstract

We find two distinct calendar effects in returns for the Indian stock market. More specifically, we find a November-December effect in which we document that mean returns for November and December are significantly greater than those of the other ten months. We also identify a March-to-May effect in which mean returns for the months March to May are significantly less than those during the other nine months. We further demonstrate that these are two distinct effects that are independent of each other.