Anomalies In The Indian Stock Markets: The December Effect | Garima Gupta

This paper investigates the ‘month of the year events’ for the Indian stock market.
A Generalised Auto Regressive Conditional Heteroskelasticity (GARCH) framework has been applied to test the existence of calendar month anomalies in the Indian stock market. This model is applied to test if any of the months generate higher mean returns, when compared to other months of the financial year. Data used for this study is from the Bombay Stock Exchange’s Sensex for a period of 15 years. The findings indicate the presence of December effect for the period of study; from 2001 to 2015.The contribution of this paper to existing literature is the suggestion, of an investment strategy which the investors can adopt, in order to gain above average returns from the Indian stock markets.