WWW.DISSERTATION.XLIBX.INFO
FREE ELECTRONIC LIBRARY - Dissertations, online materials
 
<< HOME
CONTACTS



«ISSN: 2321-7782 (Online) Impact Factor: 6.047 Volume 4, Issue 8, August 2016 International Journal of Advance Research in Computer Science and ...»

ISSN: 2321-7782 (Online)

Impact Factor: 6.047

Volume 4, Issue 8, August 2016

International Journal of Advance Research in

Computer Science and Management Studies

Research Article / Survey Paper / Case Study

Available online at: www.ijarcsms.com

Semi Month and Turn of the Month Effect in Indian Stock

Market with Reference to NSE Nifty Index

J. Sudarvel1 Dr. R. Velmurugan2

(FT) Ph.DResearch Scholar Associate Professor, Department of Management Studies and Research, Department of Commerce, Karpagam University, Coimbatore- 641021, Karpagam University, Coimbatore- 641021, Tamilnadu – India Tamilnadu – India Abstract: This study investigates the existence of a Semi month effect and Turn of the month effect in Indian stock market.

The study uses the daily return data of the National Stock Exchanges (NSE) for the period ranging between April 2005 and March 2016. After examining the random of the return series, we insist on Descriptive statistics & paired „t” test to find the semi month effect and Turn of the month effect in India. The outcomes confirm the Semi month effect does not exists in India. The findings are also reliable with the turn of the month effect which exists in the NSE Nifty index. The results of the study imply that the NSE Nifty index is inefficient, and hence, Indian investors are advised to buy shares during the rest of the month and sell them on a First half of the month period which will give better returns.

Keywords: Indian stock market, Semi month effect, Turn of the month effect, National Stock Exchange and Anomalies.

I. INTRODUCTION

Efficient market hypothesis (EMH) is the foundation of Market theory on the basis of this many other expectations are formulated mainly, no arbitrage opportunity and independent and identically distributed. On the basis of this many financial products are formulated like options, derivatives and Value at Risk. When the main throaty has anomalies then subsequent financial models are also having anomalies. The 2007 financial crisis that originates in the derivative market caused because the every one blindly believed that EMH is correct. When you find anomalies in the theory then you have to modify it and make the theory and not modify the data. These studies mostly have shown that stock prices behave randomly. More recently, however, researchers have collected evidence opposing to the EMH. They have identified systematic variations in the stock returns. The important anomalies include the Semi Month Effect and the Turn of the MonthEffect. The existence of the seasonal effect denies the weak form of the EMH and implies market inefficiency. In an inefficient market investor would be able to earn abnormal profits, that is, returns that are not appropriate with risk.

1.1 SEMI- MONTH EFFECT

Semi-month Effect, the mean return of the First Half Month has been compared to the rest ofthe day of the month. The purpose of studying Semi-Month Effect is to find appropriateinvestment time during fortnight month. The first study on semi month effect was carried out by Ariel (1987) reports that in the USA stocks appear to earn positive average returns during the first half of calendar months, and zero average returns during the second half.

1.2 TURN-OF-THE- MONTH EFFECT

–  –  –

EleftheriosGiovanis (2009) in his study entitled “Calendar Effects and Seasonality on Returns and Volatility”found that the semi-month effect, where in 7 and 2 cases accept for both first and second half of the month returns are significant lower and higher, both India and Canada first half of the month noticed higher returns and lower returns noticed in the second half of the month. Nageswari. P and Dr.M. Selvam (2011) in their study entitled “Calendar Anomalies in the Indian Stock Market”found that the Semi Month Effect did exist in the Indian Stock Market returns during the study period (2002 – 2010).Nageswari. P, Dr.M. Selvam and Dr.J. Gayathri (2011) in their study entitled “An Empirical Analysis of Semi-Month and Turn ofthe Month Effects in Indian Stock Market” foundthat higher mean returns was recorded for the first half month than the rest of the day of the month. It is found that the semi month effect does not exist in BSE Sensex and S&P CNX Nifty index returns during the study period. SiqiGuo and Zhiqiang Wang (2007) in his study entitled “Market efficiency anomalies A study of seasonality effect on the Chinese stock exchange”found that the semi-month effect does not exist in Chinese stock market.

UshadSubadarAgathee (2009) in his study entitled “Semi-Monthly Effect: Evidence from the Maurtian Official Stock Market” found that the semi month does exists in The Maurtian Official Stock Market. Amy Dickinson and David R. Peterson (1995) in their study entitled “Expectations of weekend and Turn-of-the-Month Mean Return Shifts Implicit in Index Call Option Prices” proves turn-of-the-month effect are at least partially anticipated in United States. FiroozehKolahi (2006) in his Study entitled “Turn-of-the-Month Effect for the European Stock Market” Confirmed that the Turn-of-the-Month Effect does exists in MSCI Euro indices January 2001 to December 2005.PolinaHeininen and VesaPuttonen (2008) in their study entitled“Stock Market Efficiency in the Transition Economies through the Lens of Calendar Anomalies”found that the stock returns of predictable based on the turn-of-the-month effect exists in Croatia, Hungary, Poland, Romania, Russia and Slovenia.Silva. PM (2010) in his study entitled “Calendar “Anomalies” in the Portuguese stock market” found that the Turn of the month effect does exists in the Portuguese stock market.





–  –  –

This study is analytical in nature. Secondary data collected from the NSE web portal for the period ranging between April 2005 and March 2016.

–  –  –

The collected data have been analyzed by making use of Descriptive statistics like as Mean, Standard Deviation, Variance, Skewness, Kurtosis and Shapiro-Wilk test and paired ‘t’ test.

–  –  –

Considering the continuity of data, the only NSE Nifty has been selected for the study. Hence, utmost care is exercised while generalizing the result.

–  –  –

Result of the Skewness test disclosed that positive value were noticed during the first half of the month (0.081) returns, which implies that most of the first half of the month returns were more than the average returns. The second half of the month (-.087) returns was noticed negative Skewness, which implies that most of the second half of the month returns were less than the average returns. The Kurtosis results of the NSE Nifty index returns were found leptokurtic on both the First half of the month (3.592) and the second half of the month (3.089). Since, Kurtosis values are more than 3, thus, it is inferred that the level of risk associated with the NSE Nifty index was high, which means investors may obtain either high level of profit or loss.

As the calculated P value of the Shapiro-Wilk testis less than 0.01, it is clearly proved that the data are not normally distributed. Hence, anomaly exists inthe NSE Nifty index returns.

The following table depicts, whether first half and second half returns differ in NSE Nifty index.

–  –  –

High mean returns were noticed during the First half of the month (0.1993) and low mean returns were found during the rest of the month (-0.0052). While comparing the variance, high level of volatility was noticed on the First half of the month (0.458) and low level of volatility was noticed in rest of the month (0.183).

Result of the Skewness test disclosed that negative returns were noticed in the First half of the month and rest of the month returns, which implies that most of the first half of the month and rest of the month returns were less than the average returns.

The Kurtosis results of the NSE Nifty index returns were found leptokurtic in the rest of the month (3.947). Since, Kurtosis values are greater than 3, thus, it is inferred that the level of risk associated with the rest of the month returns of the NSE Nifty Index was high, which means investors may obtain either high level of profit or loss. The first half of the month return were found platykurtic (1.905). Since, Kurtosis values are less than 3, thus, it is inferred that the level of risk associated with the first half of the month returns of the NSE Nifty index was low, which means investors may obtain either low level of profit or loss.

As the calculated P value of the Shapiro-Wilk test is less than 0.01, it is clearly proved that the data are not normally distributed. Hence, anomaly exists inthe NSE Nifty index returns.

The following table depicts, whether first half and rest of the month returns differ in NSE Nifty Index.

–  –  –

As the calculated P value is less than 0.01, it is inferred that NSE Teck index returns differs between the first half and rest of the month. Hence turn of the month effect prevails in the NSE Nifty Index.

–  –  –

The NSE Nifty found that the highest mean returns were noticed in the Second half of themonth. Hence, Indian investors are advised to buy scriptsduring the First half of the month and sell them on a Second half of the month period which itwill give better returns.

–  –  –

The NSE Nifty found that the highest mean returns were noticed in the first half of the month.Hence, Indian investors are advised to buy scripts during the rest of the month and sell theshares during the First half of the month, which will give better returns. Investors couldtrial the above strategy to start with on small stocks and spread the similar on blue-chipsbased on the risks and rewards.

IX. CONCLUSION

The study focused on the existence of a Semi Month Effect and Turn of the month effect inthe NSE Nifty index in India.

The analysis Semi Month Effect of descriptivestatistics displayed that the highest mean return wasnoticed in the Second half of the month, then the First half of the month.Hence, Indian investors are advised to buy scripts during the First half of the month and sell them on a Second half of the month period which it will give better returns. The analysis of Turn ofthe Month Effect of descriptive statistics displayed that the highest mean return was noticed in the First half of the month, then the rest of the month.

Hence, Indian investors are advised to buy scripts during the rest of the month and sell the shares during the First half of the month, which will give better returns. TheCalculated paired ‘t’ test value is Not significant the Semi Month Effect in NSE Nifty index.The Calculated paired ‘t’ test value is significant the turn of the month effect which exists in the NSE Nifty index. The study points out that stockreturns in India are not entirely random. This suggests that the Indian stock market is not efficient.

References

Amy Dickinson and David R. Peterson “Expectations of Weekend and Turn-Of-The-Month Mean Return Shifts Implicit in Index Call Option Prices” 1.

Journal of Financial And Strategic Decisions Volume 8 Number 3 Fall 1995 EleftheriosGiovanis (2009) “Calendar Effects and Seasonality on Returns and Volatility”MPRA Paper No. 64404, posted 17. May 2015 19:37 UTC 2.

Lan Liu (2013) The Turn-Of-The-Month Effect in The S&P 500 (2001-2011) Journal of Business & Economics Research – June 2013 Volume 11, 3.

Number 6 P. Nageswari, Dr. M. Selvam and Dr. J. Gayathri (2011) “An Empirical Analysis of Semi-Month and Turn Of The Month Effects In Indian Stock Market” 4.

International Journal Of Research In Commerce, Economics & Management VOLUME NO. 1 (2011), ISSUE NO. 3 (JULY) ISSN 2231-4245.

P. Nageswari (2011) “Calendar Anomalies in the Indian Stock Market” un published thesis Bharathidasan University, Tiruchirappalli.

5.

SIQI GUO AND ZHIQIANG WANG (2007) “Market efficiency anomalies A study of seasonality effect on the Chinese stock exchange” Umeå 6.

University, Umeå School of Business Master Thesis Autumn Semester 2007 Silva PM (2010)“Calendar “anomalies” in the Portuguese stock market” Investment Analysts Journal – No. 71 2010(P.No 37-50) 7.

8. J. Sudarvel, and R. Velmurugan. "Indian Stock Market Anomalies: A Literature Review." (2015).

WEBSITES

1. http://web.williams.edu/Mathematics/sjmiller/public_html/341/handouts/Fama_RandomWalksStockPrices.pdf

2. http://BrownMath.com/stat/shape.htm

3. http://www.nseindia.com/indices/IndexArchiveData.aspx

4. http://thismatter.com/money/investments/market-anomalies.htm

5. http://finance.wharton.upenn.edu/~keim/research/NewPalgraveAnomalies(May302006).pdf

–  –  –

© 2016, IJARCSMS All Rights Reserved ISSN: 2321-7782 (Online) Impact Factor: 6.047 239 | P a g e



Similar works:

«Brookfield / OVERCOMING ADULT EDUCATION QUARTERLY / February 2002 ALIENATION OVERCOMING ALIENATION AS THE PRACTICE OF ADULT EDUCATION: THE CONTRIBUTION OF ERICH FROMM TO A CRITICAL THEORY OF ADULT LEARNING AND EDUCATION STEPHEN BROOKFIELD University of St. Thomas Erich Fromm’s analysis of the commodification of contemporary life, his description of automaton conformity, and his call for the overcoming of alienation represent important, though ignored, elements of the critical tradition that...»

«El Cucalambé en Santiago de Cuba Por Carlos Tamayo Rodríguez uneactun@uneac.co.cu Juan Cristóbal Nápoles Fajardo, El Cucalambé,1 residió en Santiago de Cuba durante los últimos tres años y ocho meses de su vida, y fue de esa ciudad que desapareció sin dejar huellas. Alrededor de esta etapa final en la existencia del poeta y de su misteriosa desaparición se ha acumulado un gran número de versiones contradictorias, errores, leyendas y juicios infundados. Este trabajo intenta enmendar...»

«1 2012 UTKARSA OSA NEWSLETTER June Issue Vol 44 From the Editor’s desk: The June issue of Utkarsa is a window to the Seattle OSA 2012 convention. In addition to the convention highlights, we have the information on OSA 2012 symposiums, quarterly reports from office bearers, chapter reports and the literary section. Buddhism and Odisha, a must read, is also included in this issue. Enjoy your summer break. Editors: Sridhar Rana and Julie Acharya Ray (Photo: Silex Spring Geyser at Yellowstone...»

«Annual Report of the Town of Brookfield VERMONT January 1, 2014 to December 31, 2014 EMERGENCY TELEPHONE NUMBERS Fire...911 White River Valley Ambulance..911 (802-234-6800) Williamstown Rescue Unit..911 (476-4111) Sheriff-Orange County..685-4875 State Police..911 (802-234-9933) Fire Warden..728-5739 Town Garage...276-3090 Town Clerk..276-3352 Sheriff – Orange County..685-4875 Town Clerk’s Office Hours: Tuesday, Wednesday and Thursday: 8:30 A.M. – 12:00 P.M., 1:00 P.M. – 4:30 P.M....»

«IN THE SUPREME COURT OF TEXAS 444444444444 NO. 13-0175 444444444444 MAGDALENA ADRIENNA ABUTAHOUN, INDIVIDUALLY AND AS PERSONAL REPRESENTATIVE OF THE HEIRS AND ESTATE OF ROBERT WAYNE HENDERSON, DECEASED, AND TANYA ELAINE HENDERSON, INDIVIDUALLY IN HER OWN RIGHT AND AS NEXT FRIEND OF Z.Z.H., A MINOR, PETITIONERS, v. THE DOW CHEMICAL COMPANY, RESPONDENT 4444444444444444444444444444444444444444444444444444 ON PETITION FOR REVIEW FROM THE COURT OF APPEALS FOR THE FIFTH DISTRICT OF TEXAS...»

«C13 Capital works The Directorate’s capital works management program for 2010-11, detailing the completed projects and works still in progress at the year end is shown in Table C13.1. Overview In 2010-11, the Directorate once again delivered a large capital works program totalling $187.5 million, following on from the $204.1 million program delivered in 2009-10. Between 2005-06 and 2011-12 the Directorate has delivered ACT Government capital investments at ACT public schools valued at $650...»

«Informing Science: the International Journal of an Emerging Transdiscipline Volume 19, 2016 Cite as: Christozov, D., Chukova, S., & Mateev, P. (2016). Warranty of misinforming as an option in product utilization process. Informing Science: the International Journal of an Emerging Transdiscipline, 19, 75-87. Retrieved from http://www.informingscience.org/Publications/3494 Warranty of Misinforming as an Option in Product Utilization Process Dimitar Christozov Stefanka Chukova American University...»

«MANAGEMENT SCIENCE Vol. 14, No. 4, Deoembn', 1967 Pntited in U.S.A. MANAGEMENT MISINFORMATION SYSTEMS* RUSSELL L. ACKOFF University of Pennsylvania Five asffumptioDS commonly made by designers of management information systems are identified. It is argued that these are not justified in many (if not most) cases and hence lead to major deficiencies in the resulting systems. These assumptions are: (1) the critical deficiency under which most managers operate is the lack of relevant information,...»

«COMPUTER WARGAMES, FANTASIES AND ADVENTURES BRIAN MURPHY CREATNE COMPUTING PRESS MORRIS PLAINS, NEW JERSEY Photographs of video displays generated by Wizardry are the copyright property of Robert Woodhead, Inc. and Andrew Greenberg, Inc. and are used with their permission. Photographs of video displays and graphic materials from North A tlanfic '8 6, Germany 19 8 5, Bomb Alley, Pursuit of the Graf Spee, Computer Bismarck, Baffle for Normandy, Tigers in the Snow, Knights of the Desert,...»

«OWNER’S MANUAL Congratulations on purchasing Molten MIDI 2™ by Molten Voltage Molten MIDI 2 is designed to control the Digitech™ Whammy™ 4 and as a synchronized or independent MIDI Clock and Tempo source. When configured for Whammy & Clock output, Molten MIDI 2 also sends corresponding MIDI Program Change and Song Select data. (A) MIDI Port (B) DC Power Jack (C) LED Indicator (D) Tempo/Select Knob (E) Tap/Program Button (Button 1) (F) Start Stop Step Button (Button 2) CONNECTING Plug in...»

«Project Management Institute Code of Ethics and Professional Conduct CHAPTER 1. VISION AND APPLICABILITY 1.1 Vision and Purpose As practitioners of project management, we are committed to doing what is right and honorable. We set high standards for ourselves and we aspire to meet these standards in all aspects of our lives—at work, at home, and in service to our profession. This Code of Ethics and Professional Conduct describes the expectations that we have of ourselves and our fellow...»

«Marlene McCarty American, b. 1957 Lives and works in New York 1988-95 Member of Gran Fury 1989-2001 Co-founder of Bureau EDUCATION 1975-77 University of Cincinnati, College of Design, Architecture, and Art 1978-83 Schule für Gestaltung, Basel Switzerland SOLO EXHIBITIONS 2013 Royal Hibernian Academy, Dublin, Ireland. (ex. cat.) [forthcoming] 2010 “i’m into you now: some work from 1980-2010” 80WSE, NYU Steinhardt School of Culture, Education, and Human Development, New York, NY (ex. cat.)...»





 
<<  HOME   |    CONTACTS
2016 www.dissertation.xlibx.info - Dissertations, online materials

Materials of this site are available for review, all rights belong to their respective owners.
If you do not agree with the fact that your material is placed on this site, please, email us, we will within 1-2 business days delete him.