This study is focused to determine if calendar anomaly exist in stock market of both developed and developing countries. The former is represented by S&P 500(Standard and Poor) from USA while the latter is represented by BSE (Bombay Stock Exchange) from India. The daily data of stock return was collected for the time – period of July 1998 to December 2013, and analyzed using single factor ANOVA (Analysis of Variance) and two sample t-test of equal variance. Our Null Hypothesis for this study states that the calendar anomaly does not exist in stock market of US and India. As a result of our analysis, there were enough evidence to not reject our Null Hypothesis.
Many studies have been made to see if seasonal effect…show more content… Some examples of seasonal effect are January effect, Monday effect, Friday effect, and others. January effect means that stock prices are higher in the month of January than any other month. According to Friday and Monday effect, stock prices falls on Friday while rise on Monday respectively.
There is a dispute of seasonal effect (calendar anomaly) exists in financial stock market. This paper analyses the historical information and data to determine the existence of calendar anomaly in India and United State. According to Forbes- 2015, United State holds the first position in World’s Biggest Stock Exchange while India stands at ninth. USA Stock market is the first choice for many leading enterprises of other countries to list upon. In the case of India, its stock market is emerging strongly due to rapid economic growth.
Literature Review Numerous researches have provided the evidence of seasonal anomalies in Stock market, but different types of anomalies were found during the study. Patterns of anomalies varied from one study to another. According to Fama (1965), existing of seasonality in security market has made it difficult for the study of market efficiency and tests involving return models. Rozeff and Kinney (1976) found that seasonality existed in monthly rates of return on New York Stock Exchange (NYSE) during the time period of 1904-1974.