Evidence for Seasonality and Changes

in Seasonal Trends in Indian Stock Market

Shilpa Lodha* and G Soral**

Seasonality in stock markets is a regular and repetitive phenomenon occurring at some regular intervals of time, which
may generate abnormal or excess returns. This paper explores the existence of seasonality in Indian stock market in
four forms, namely, day-of-the-week effect, month-of-the-year effect, quarterly effects, and monthly effects. For this
purpose, S&P CNX Nifty was taken as the sample. The daily closing, opening, high and low prices were collected
from November 3, 1995 to May 31, 2013. ADF test was used for checking stationarity, whereas a dummy variable
regression was used for testing seasonality. It was found that all the four effects are present in the Indian stock market.
The returns of September, Monday, first quarter and first-half of the month were significantly different. Thus the
existence of seasonality in Indian stock markets was proved. All the four effects tested for Nifty indicate that
seasonality has changed over the years.

Introduction
In finance, a positive correlation is observed between risk and return—the higher the risk,
the greater is the return. The risk in stock markets is referred to as volatility of price movements.
But risk is generally associated with the downwards price movements for those having long
positions in their stocks. On the other hand, for investors having short positions, risk is
associated with upward price movements. More precisely, risk arises only when there is a
possibility/probability of returns falling below the expected returns.
Fama (1970) was awarded the Nobel Prize in 2013 for his contribution to Efficient Market
Hypothesis (EMH). According to it, if markets are fully efficient, investors cannot earn more
than average returns from the asset because asset’s prices fully incorporate all market and
asset-related information including insider information. In the other two forms of market,
i.e., semi-strong and weak form, asset prices reflect all publicly available information and past
prices, respectively. But the existence of EMH, even in weak form, does not mean that asset’s
market value is near to its intrinsic value. Rather, it implies that any deviations of market
value from intrinsic value are random and it is not possible to predict future prices on the
basis of past prices.

* Post Doctoral Fellow, Department of Accountancy and Statistics, Mohanlal Sukhadia University, Udaipur,
Rajasthan, India; and is the corresponding author. E-mail: lodhashilpa80@gmail.com
* * Dean, University College of Commerce and Management Studies; and Professor, Department of Accountancy
and Statistics, Mohanlal Sukhadia University, Udaipur, Rajasthan, India. E-mail: drgsoral@gmail.com

© 2016 IUP
Evidence for. All Rights Reserved.
Seasonality and Changes in Seasonal Trends in Indian Stock Market 87
 In spite of that, several attempts have been made to test the EMH and forecast stock price
movements. Researchers came up with the famous size effect, value effect and seasonal effect.
More recently, the focus is shifting towards cointegration of various time series and
overreaction of stock markets at some event. Seasonality in stock markets traces its history as
back as 1942. Watchel (1942) was the first to document the seasonal effect, but it was Rozeff
and Kinney (1976) who popularized the January effect. Earlier, fundamental and technical
analyses were the only two techniques used by analysts to predict stock prices. In the early
1980s, gradually some researchers developed econometric models for estimation of stock
prices. Since then, seasonality or calendar anomalies were proved using these techniques.
Existence of seasonality challenges the weak form efficiency of stock markets. This study
aims to find out the existence of seasonal patterns in the Indian stock markets. Four types of
seasonal effects, namely, day-of-the-week, month-of-the-year, quarterly effects and monthly
effects were explored.

Literature Review
Albert et al. (2013) revealed that a pronounced month-of-the-year effect existed in both the
91-day and 182-day treasury bills rate. Shakila et al. (2013) discovered that three companies in
auto sector and four companies in pharma sector had the highest mean returns on Wednesdays.
Al-Jafari (2012) provided evidence of no presence of the day-of-the-week effect. Ray (2012)
provided evidence for a month-of-the-year effect in Indian stock markets confirming the
seasonal effect in stock returns in India and also supported the ‘tax-loss selling’ hypothesis and
‘January effect’. Debasish (2012) found that all the eight selected gas, oil and refineries companies
evidenced month-of-the-year effect and mostly either in September, August or February. Only
GAIL and HPCL evidenced significant October and July effect.
Rompotis (2009) revealed a negative Monday effect and a positive Friday effect. Monday
returns were also more volatile than the other day-of-the-week returns. Furthermore, the
paper demonstrated that the well-known January effect did not apply to Greek equity funds,
while performance was not affected by any other monthly impact either. However, a half-
monthly effect was revealed, namely, returns during the first half of each month exceeded
those in the second half. Finally, a positive holiday effect on returns was found in the week
after Easter, August 15 and Christmas. Algidede (2008) revealed that day-of-the-week effect
was not present in Egypt, Kenya, Morocco and Tunisia. However, there were significant daily
seasonality in Zimbabwe, Nigeria and South Africa. Friday average return was found to be
consistently higher than other days in Zimbabwe.
Guo and Wang (2007) showed that seasonal anomalies like day-of-the-week effect, positive
March effect, and negative July effect existed in the Chinese stock market, while semi-month
effect did not occur significantly. Contrary to a January return pattern in most markets,
Algidede and Panagiotidis (2006) reported an April effect for Ghana stock exchange. This
effect was attributed to the submission of company reports in March. But this effect disappeared
when rolling window was used. However, they failed to report day-of-the-week effect for the
exchange. Aly et al. (2004) indicated that Monday returns in the Egyptian stock market were
positive and significant on average. Pandey (2002) confirmed the existence of seasonality in

88 The IUP Journal of Applied Finance, Vol. 22, No. 3, 2016

stock returns in India and the January effect. The findings were also consistent with the “tax-
loss selling” hypothesis. Bhabra et al. (1999) documented the existence of seasonality in stock
returns in the form of November effect.
Aggarwal and Tandon (1994) found a daily seasonal in nearly all the countries, but a weekend
effect in only nine countries. Ariel (1987) found that the mean return for stocks was positive
only for days immediately before and during the first half of calendar months, and
indistinguishable from zero for days during the last half of the month. Gultekin and Gultekin
(1983) found that seasonality appeared to be caused by the disproportionately large January
returns in most countries and April returns in the UK. Rozeff and Kinney (1976) presented
evidence on the existence of seasonality in monthly rates of return on the New York Stock
Exchange from 1904-1974. With the exception of the 1929-1940 period, there were statistically
significant differences in mean returns among months due to large January returns.
In view of this discussion, a majority of researchers tried to explore two or more effects
together. Most of the studies focused on foreign stock markets and further, sectoral indices were
not studied. Almost all the studies took closing prices for calculating returns. A wide variation
was reflected in the studies in terms of the type of analysis technique used. Some studies were
based on traditional parametric and non-parametric tests while others used time-series
econometric techniques. This study aims to explore whether seasonal patterns exist in Indian
stock market and if yes, to find out whether these patterns have changed over the years.

Data and Methodology

S&P CNX Nifty of National Stock Exchange was taken as the sample. Nifty in general, is
considered to be the benchmark of the Indian stock market. In a majority of earlier studies,
only closing prices were used, but following the work of Sarma (2004), the collected data
consisted of daily open, high, low and closing prices of the index for calculating average
prices. The data ranged from November 3, 1995 to May 31, 2013. Although closing prices of
Nifty are available from July 3, 1990, it was desired to use the average of daily high, low, open
and close prices instead of using only closing prices. Therefore, the data ranges from November
3, 1995 from which the open, low and high were also available. The data was collected from
the official website of NSE.
For the analysis of stock market seasonality, time series econometric techniques were
used. Since econometric techniques involve the use of econometric software, Eviews 7.0 was
used, while data preparation was done in MS-Excel 2010. The following econometric analysis
techniques were used:
Stationarity Graphical Analysis and ADF Unit Root Test
Serial Correlation
• Detection Serial Correlation LM Test
• Removal ARMA Modeling (Auto Regressive Moving Average)
Heteroskedasticity:
• Detection ARCH-LM Test
• Removal GARCH(1, 1) Model

Evidence for Seasonality and Changes in Seasonal Trends in Indian Stock Market 89
 We measure stock return as the continuously compounded daily percentage change in the
market index as:
rt = [ln(Yt) – ln(Yt–1)]*100
where rt is the return in the period t, Yt is the daily closing share price of the Nifty for the
period t and ln is natural logarithm. OLS regression can be applied to the data but it will
result in spurious regression (Yule, 1926) if the series is non-stationary. Therefore, stationarity
has been taken care of using Unit Root ADF test.
Yt = Yt–1 + t ...(1)
where t is time and  is residuals and if the value of  is <1 then the series is stationary,
>1 then the series is exploding, and =1 then the series contains a unit root and is non-
stationary. The value of  is estimated using ADF test in three variants without drift, with
drift and with drift and trend.
The study uses the following equations:
Day-of-the-Week Effect
Yt= 1 + 2DTue + 3 DWed + 4DThu + 5DFri + 1 ...(2)
where Yt represents log return on the market index, 1 to 5 represent the mean returns for
Monday through Friday, DTue to DFri represent the dummy variables taken for Tuesday to
Friday (so that DTue = 1 if day is Tuesday, zero otherwise and so on) and 1 is an error or residual
term.
Month-of-the-Year Effect
Yt = 1 + 2DFeb + 3DMar + 4DApr + 5DMay + 6DJun + 7DJul + 8DAug
+ 9DSep + 10DOct + 11DNov + 12DDec + 1 ...(3)
where the intercept or constant term (1) is the average return for January and coefficients
2 to 12 represent the average differences between the return from February to December.
Quarterly Effect
Yt = 1 + 2DII + 3DIII + 4DIV + 1 ...(4)
where the intercept or constant term (1) is the average return for the first quarter and
coefficients 2 to 4 represent average returns for second, third and fourth quarters.
Monthly Effect
Yt = 1 + 2DII + 1 ...(5)
where the intercept or constant term (1) is the average return for the first-half and coefficient
2 represents average returns for second-half of the month.
After running the equations, the specified models were checked for any systematic process
for the disturbance term or residual term. Therefore residual autocorrelation and/or

90 The IUP Journal of Applied Finance, Vol. 22, No. 3, 2016

heteroskedasticity are primarily considered as an indication of specification errors in the
systematic part of the model (Ben, 2005).
Autocorrelation is the correlation between members of series of observations ordered in
time [as in time series data] or space [as in cross-sectional data] (Gujarati and Sangeetha,
2007). The detection of autocorrelation was done using Breusch and Godfrey-LM test
(Asteriou and Hall, 2011) and the results showed existence of autocorrelation in the residual
series. If autocorrelation persists in the time series, then the OLS estimators are still linear,
unbiased as well as consistent but they are no longer efficient, i.e., the variance is not minimum.
R2 will be overestimated (indicating a better fit than the one actually exists) and the t-
statistic will tend to be higher (indicating higher significance of our estimates than the
correct one). Therefore, it is to be removed with the help of ARMA modeling.
Several ARMA processes such as AR(1), AR(2), MA(1), MA(2), ARMA(1, 1) and so on
were considered. These estimated models are then compared on the basis of AIC, SBC and
the adjusted R2 and the parsimonious one is selected. A parsimonious model is that which has
the lowest value for AIC and SBC but the highest for adjusted R2.
In the present case ARMA(1, 2) model was found to be the most suitable one. The results
were again tested through Breusch and Godfrey-LM test and results this time showed the
removal of autocorrelation.
Besides a time-varying mean feature of a financial time-series, most of them also exhibit
changes in volatility regimes and therefore homoskedastic models cannot be used while
modeling such time series. So, as a last step results were tested for ARCH effects
(heteroskedasticity) using ARCH-LM test. The outcomes of the test confirmed the presence
of ARCH effects which was removed using GARCH(p, q) model.
Different processes of GARCH model like (0,1), (1,0), (1,1), (1,2), (2,1), (2,2) etc. were
estimated. Appropriateness of different models has been taken care of using standard model
selection criterion which includes adjusted R2, Akaike Information Criterion and Schwarz
Criterion. Then those months/days/weeks/quarters, the coefficients of which are found
significant, will be reflecting seasonal effects. It implies that these months/days/weeks/quarters
are producing excess (positive or negative) returns than others, thereby confirming seasonality
in Indian stock returns.
In the present case GARCH(1, 1) model was found to be the most parsimonious model to
test all the four effects. Further, ARCH-LM test was again applied which confirmed the
removal of heteroskedasticity.

Changing Patterns of Seasonality

Since the establishment of BSE and NSE a lot of events, significant for stock markets, have
occurred. NSE, followed by BSE, changed the trading pattern from manual to electronic
trading. India opened its gate for foreign corporations and institutions through liberalized
policies. Then equity derivatives, free-float index and currency derivatives were launched.

Evidence for Seasonality and Changes in Seasonal Trends in Indian Stock Market 91
Computerized trading has increased the trading volume of stock markets. Trading halts,
circuit-breakers, noise-trading, etc. have contributed a lot towards changes in volatility and
patterns of seasonality in stock markets over the years. Advances in technology and growth
of print and electronic media have led to strong linkages with global stock markets. Thus
many drastic changes in the environment of Indian and international stock markets have
occurred. Therefore, after confirming seasonality in Indian stock markets, an attempt was
made to explore whether patterns of seasonality have also changed over the years.
The whole data series was classified into three categories in order to facilitate comparison
and to find out changing patterns of seasonality, if any. For the purpose of categorization, it
was decided to identify two utmost important events in the history of Indian stock markets.
The first event was introduction of futures in June 2000. The key motivation for such
instruments is that they are useful in reallocating risk either across time or among people
with different risk-bearing preferences. Thus, this event was remarkable as far as volatility
and seasonal trends are concerned.
The second event was the global financial crisis around January 2008, which is considered
by many economists the worst financial crisis since the Great Depression of the 1930s. The
crisis played a significant role in the failure of key businesses, decline in consumer wealth
estimated in trillions of US dollars and a downturn in economic activity leading to the 2008-
2012 global recession. This crisis has adversely affected the stock markets all over the world.
Thus, the following three time periods were identified:
• November 3, 1995 to June 6, 2000
• June 7, 2000 to December 31, 2007
• January 1, 2008 to May 31, 2013
These periods hereinafter will be referred to as pre-futures period, post-futures period and
post-crisis period, respectively. After this classification, the same process was applied which
was adopted earlier in testing the existence of different seasonal effects.

Results and Discussion

Table 1 presents the overall descriptive statistics of NSE indices. Mean returns are positive.
Wide variations are confirmed from the high value of coefficient of variation. Returns of
Nifty are negatively skewed. Nifty demonstrates itself as Leptokurtic series which is implied
by high values of kurtosis. Also, high values of Jarque-Bera statistic are implying non-normality
in the series.

Table 1: Descriptive Statistics of Nifty Return Series (%)

Indices Mean CV Skewness Kurtosis Jarque-Bera N
Nifty 0.041 31.9295 –0.363 9.5 7,809.4 4,360

Figures 1 and 2 depict graphs of Nifty original and Nifty return series for the period 1995
to 2013.

92 The IUP Journal of Applied Finance, Vol. 22, No. 3, 2016

 Figure 1: Nifty Original Series
 103
7

Figure 2: Nifty Return Series

12

–4

–8

–12

It is clear that for the original series, initially, mean may be considered constant but after
some time the series is showing a rising trend which indicates non-stationarity of the series.
Whereas return series hints that although the series is fluctuating, it is reverting back to its
mean, i.e., it is showing mean reversion. This is a stationary series.
Then Unit Root ADF test was applied to formally confirm the stationarity of return
series. ADF test has been estimated in three different forms—random walk, random walk
with drift and random walk with drift and trend.
Table 2 clearly demonstrates that t-values for original series are higher than the critical
values, showing the non-stationarity of the series. On the other hand, for log-differenced series
all t-values are lower than the critical values. This confirms the stationarity of return series.
Table 3 presents the coefficients of different months, days, quarters and halves of month
along with their respective z-statistics in parentheses, generated using GARCH(1, 1) model.

Evidence for Seasonality and Changes in Seasonal Trends in Indian Stock Market 93
 Table 2: Results of ADF Test for Nifty Original and Return Series
t-Value Critical Values
Type
Original Series Return Series 1% 5% 10%
Intercept –0.565084 –19.38173 –3.431670 –2.862008 –2.567062
Intercept and Trend –2.298493 –19.37990 –3.960149 –3.410838 –3.127217
None 0.789010 –19.31600 –2.565494 –1.940897 –1.616651

Table 3: Different Seasonal Effects in Nifty

Month-of-the- Day-of-the- Quarterly Monthly
Year Effect Week Effect Effect Effect

January 0.003159 Monday 0.097358 I (C) 0.106279 First- 0.136809

(C) (–0.053216) (C) (3.060736)* (2.29092)** Half (C) (5.13109)*

February –0.020893 Tuesday –0.0577 II 0.015832 Second –0.071758

(–0.250858) (–1.585589) (–0.258649) -Half (–2.1301)

March 0.120664 Wednesday 0.077677 III 0.029571 Adj. R2 0.173479

(–1.356529) (1.753124) (–0.48132)
AIC 2.930629
April 0.014582 Thursday 0.01278 IV –0.072598
(–0.154993) (–0.29743) (–1.211837) SBC 2.943807

May 0.102708 Friday –0.021096 Adj. R2 0.172333

(–1.117651) (–0.658062)
AIC 2.931681
June 0.176914 Adj. R 2
0.17821 SBC 2.947787
(1.7639)
AIC 2.928712
July 0.064257
(–0.693245) SBC 2.946283

August 0.07399
(–0.767241)

September 0.244367
(2.77714)*

October –0.053327
(–0.638735)
November 0.196199
(1.98303)**
December 0.211948
(2.5773)**
Adj. R2 0.171558
AIC 2.931289
SBC 2.959109
Note: In Tables 3 to 7, * and ** denote the significant coefficients at 1% and 5% levels.

94 The IUP Journal of Applied Finance, Vol. 22, No. 3, 2016

 It is quite evident from Table 3 that all the four effects tested, are confirmed for Nifty.
Month-of-the-year effect was confirmed as returns of September, November and December
are significant at different levels of significance. Day-of-the-week effect was also confirmed
as returns of Monday at 1% level of significance were found to be significant.
Nifty manifested quarterly effects as returns of first quarter of the year were found to be
significant at 5% level. In case of monthly effects, returns of first-half of a month were
significant at 1% level. Thus, the null hypotheses of equal returns in all days of the week,
months of the year, quarters of the year and halves of the month were rejected. All the four
effects are confirmed to exist in the Indian stock market.

Changing Patterns of Day-of-the-Week Effect

The results for GARCH model for day-of-the-week effect in Nifty are presented in Table 4.
Table 4 presents the coefficients of different days along with their respective z-statistics in
parentheses classified according to the three sub-time periods. It was observed that during
each of these sub-time periods, the order of ARMA terms, ARCH effects and p and q terms
of GARCH were different. Therefore, the final values after applying GARCH(p, q) model for
adjusted R2, AIC and SBC have also been given.
It is revealed from Table 4 that for Nifty during pre-futures period only Wednesday’s
returns were significant at 1% level. In post-futures period, only significant returns were of
Monday at 1% level. Consequently, Monday effect is confirmed in this period for Nifty. In
case of post-crisis period, the returns of none of the days were significant.

Table 4: Changing Patterns of Day-of-the-Week Effect in Nifty

Variables Pre-Futures Period Post-Futures Period Post-Crisis Period
Monday (C) –0.052592 (–0.642898) 0.155830 (3.316864)* 0.074471 (1.436716)
Tuesday –0.181944 (–1.7075) –0.066524 (–1.332535) 0.001092 (0.017989)
Wednesday 0.565836 (4.855965)* –0.039714 (–0.602305) 0.067731 (0.921040)
Thursday 0.222907 (1.936144) –0.003218 (–0.051382) –0.039616 (–0.524054)
Friday –0.095973 (–1.016171) 0.045909 (1.026479) –0.074342 (–1.293445)
Adj. R 2
0.155487 0.230077 0.197292
AIC 3.409274 2.644139 2.868162
SBC 3.453787 2.676450 2.903175

Changing Patterns of Month-of-the-Year Effect

Next, month-of-the-year effect was found for all the three sub-time periods or Nifty. The
generated results have been presented in Table 5 which has the same presentation as in
Table 4. It is revealed from Table 5 that in pre-futures period, returns of March, April and
December are significant at 5% level. In case of post-futures period, Nifty has significant
returns in November at 5% level. For post-crisis period, Nifty has September as significant
returns providing month at 1% level.

Evidence for Seasonality and Changes in Seasonal Trends in Indian Stock Market 95
 Table 5: Changing Patterns of Month-of-the-Year Effect in Nifty

Variables Pre-Futures Period Post-Futures Period Post-Crisis Period

January (C) –0.150674 (–0.953571) 0.064603 (0.793255) 0.008099 (0.084495)
February 0.379888 (1.645923) –0.038012 (–0.312223) –0.076328 (–0.578464)
March 0.519893 (2.442976)** –0.123490 (–0.918107) 0.159495 (1.126148)
April 0.472191 (1.973938)** –0.212632 (–1.6961) 0.060050 (0.398367)
May 0.148453 (0.632400) 0.218468 (1.616848) –0.090473 (–0.68985)
June 0.411716 (1.625607) 0.161107 (1.114946) 0.077807 (0.504888)
July 0.220883 (0.917913) 0.012041 (0.100134) 0.070123 (0.449919)
August 0.034325 (0.139078) 0.083822 (0.623411) 0.028672 (0.194759)
September 0.145725 (0.582217) 0.177147 (1.442902) 0.484795 (3.493682)*
October –0.026470 (–0.108729) –0.034749 (–0.260265) –0.151965 (–1.262148)
November –0.183061 (–0.746369) 0.328794 (2.409553)** 0.037434 (0.241609)
December 0.488228 (2.228582)** 0.177543 (1.701287) 0.116628 (0.745869)
Adj. R 2
0.107705 0.230588 0.191212
AIC 3.459002 2.640331 2.868629
SBC 3.534673 2.693203 2.930874

Changing Patterns of Quarterly Effects

In the next step, quarterly effects were examined in all the three sub-time periods for Nifty
and the results are presented in Table 6. Similar to previous presentation has been adopted.
Table 6 shows that for Nifty, in the pre-futures period, none of the quarters has significant
returns. In the post-futures period, returns of the first quarter were significant at 5% level.
While for post-crisis period, returns of neither of the quarters were significant.

Table 6: Changes in Quarterly Effects in Nifty

Variables Pre-Futures Period Post-Futures Period Post-Crisis Period

Quarter I (C) 0.172084 (–1.514525) 0.147685 (2.264739)** 0.022877 (–0.346089)
Quarter II –0.18909 (–1.176743) 0.003747 (–0.043522) 0.130218 (–1.460588)
Quarter III –0.178233 (–1.149564) 0.084113 (–0.962105) 0.018203 (–0.197762)
Quarter IV –0.062837 (–0.426251) –0.120467 (–1.436076) 0.014189 (–0.156084)
Adj. R2 0.109236 0.23267 0.196592
AIC 3.460624 2.641681 2.868145
SBC 3.500686 2.671054 2.899267

96 The IUP Journal of Applied Finance, Vol. 22, No. 3, 2016

Changing Patterns of Monthly Effects
Finally, monthly effects were analyzed for all the three sub-time periods for Nifty and the
outcome of the analysis is presented in Table 7. Table 7 discloses that for Nifty, in the pre-
futures period, returns of neither half are significant. In the post-futures period, returns of
first-half are significant at 1% level likewise returns of first-half again are significant in the
post-crisis period at 5% level.

Table 7: Changes in Monthly Effects in Nifty

Variables Pre-Futures Period Post-Futures Period Post-Crisis Period
First-Half (C) 0.125282 (1.708674) 0.182746 (4.517019)* 0.087926 (2.208067)**
Second-Half –0.141604 (–1.524356) –0.079581 (–1.638549) –0.044435 (–0.771236)
Adj. R 2
0.11199 0.232819 0.197977
AIC 3.457269 2.641252 2.86672
SBC 3.488428 2.664751 2.890062

There have been drastic changes in the pattern of seasonality over the years. For all the
four effects tested, there has been a great shift in terms of significant returns generating days,
months, quarters and halves of a month.

Conclusion
The existence of seasonality in Indian stock markets was proved by the study. The changes
were also confirmed for all the four effects tested for Nifty. It can be concluded that January
effect is no more existing in Indian stock market. Two possible reasons behind significant
returns in September may be the end of first six months and beginning of festive seasons in
India. Significant Monday returns are associated with well-known Monday effect. Since
Monday is the trading day on which market opens after two days long holiday, market absorbs
all the news, whether positive or negative for Saturday or Sunday, on stock prices on Monday.
Therefore any good or bad information (company-related, industry-specific, economic,
political, national or international) affects significantly the returns earned on Monday.
Individually the returns of April, May and June are not significant; in spite of that, the first
quarter provides significant returns may be due to tax loss selling hypothesis and ‘Sell in May
and Go Away’ phenomenon. The first-half of the month is providing significant returns.
This is probably due to the volatility illusion from expiry of futures and option at the end of
every month, and market responds calmly in the beginning of month.
These findings of confirmation of seasonal or calendar anomalies may have important
implications for individual as well as institutional investors and analysts. They can better
time their trading strategies as per these seasonal effects and earn abnormal or excess returns.
These findings also lead to employment opportunities for researchers who are studying these
seasonal effects. They may be able to suggest their clients the trading strategies to be adopted
in view of the seasonal effects.

Evidence for Seasonality and Changes in Seasonal Trends in Indian Stock Market 97
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