Month of the Year Effect
“Finding Month of the Year effect in Indian
Stock Market”
The aim of practical study is mainly an implementation of knowledge achieved through the learning theories. As a part of curriculum of 2nd year, I have done grand project on Month of the Year effect in Indian Stock Market.
The project culmination of my efforts and to dedicated work. In this project I have started from the monthly share price.
Really this project enhanced my knowledge substantially, as I tried to cover almost each and every sphere related to the topic.
I have tried my level best efforts, justify my study and present all key aspects and learning in this project.
The presence of seasonal effects in monthly returns has been reported in several developed and emerging stock markets. The objective of this study is to explore the interplay between the month-of-the-year effect and market crash effects on monthly returns in Indian stock markets. The study uses dummy variable multiple linear regression to assess the seasonality of stock market returns and the impact of market crashes on the same. The results of the study provide evidence for a month-of-the-year effect in Indian stock markets, particularly positive September, and December effects and a negative January effect. Further, the study suggests that the incidence of market crashes reduces the seasonal effects.
INTRODUCTION
BOMBAY STOCK EXCHANGE
Bombay Stock Exchange, commonly referred to as the BSE, (Bombay Śhare Bāzaār) is a stock exchange located on Dalal Street, Mumbai, and Maharashtra, India. It is the 10th largest stock exchange in the world by market capitalization. Established in 1875, BSE Ltd. (formerly known as Bombay Stock Exchange Ltd.), is Asia’s first Stock Exchange and one of India’s leading exchange groups. Over the past 137 years, BSE has facilitated the growth of the Indian corporate sector by providing it an efficient capital-raising platform. Popularly known as BSE, the bourse was established as "The Native
Stock Market”
The aim of practical study is mainly an implementation of knowledge achieved through the learning theories. As a part of curriculum of 2nd year, I have done grand project on Month of the Year effect in Indian Stock Market.
The project culmination of my efforts and to dedicated work. In this project I have started from the monthly share price.
Really this project enhanced my knowledge substantially, as I tried to cover almost each and every sphere related to the topic.
I have tried my level best efforts, justify my study and present all key aspects and learning in this project.
The presence of seasonal effects in monthly returns has been reported in several developed and emerging stock markets. The objective of this study is to explore the interplay between the month-of-the-year effect and market crash effects on monthly returns in Indian stock markets. The study uses dummy variable multiple linear regression to assess the seasonality of stock market returns and the impact of market crashes on the same. The results of the study provide evidence for a month-of-the-year effect in Indian stock markets, particularly positive September, and December effects and a negative January effect. Further, the study suggests that the incidence of market crashes reduces the seasonal effects.
INTRODUCTION
BOMBAY STOCK EXCHANGE
Bombay Stock Exchange, commonly referred to as the BSE, (Bombay Śhare Bāzaār) is a stock exchange located on Dalal Street, Mumbai, and Maharashtra, India. It is the 10th largest stock exchange in the world by market capitalization. Established in 1875, BSE Ltd. (formerly known as Bombay Stock Exchange Ltd.), is Asia’s first Stock Exchange and one of India’s leading exchange groups. Over the past 137 years, BSE has facilitated the growth of the Indian corporate sector by providing it an efficient capital-raising platform. Popularly known as BSE, the bourse was established as "The Native