Footnote:
In: Indian Journal of Finance, 11(1), 11-28, 2017
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 10, 2017 erstellt
Description:
The present study divides the past 25 years (from 1990 till the present) into three almost equal time periods and studies 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 observes that the 'month of the year' effect is different in each of the three time periods - 'February' effect for the period January 01, 1990-December 31, 1998, 'November' effect for the period January 01, 1999-December 31, 2006 and 'April' effect for the period 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 is also observed that the ‘month of the year' effect is stronger for small caps when compared to large caps