Seasonality and sensitivity of Nse nifty - an econometric analysis

Deepak, R and Viswanath, N S (2012) Seasonality and sensitivity of Nse nifty - an econometric analysis. International journal of research in management, economics and commerce, 2 (11). ISSN 2250-057X

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Abstract

Movement of stock prices reflects the trade and its practices. The existence of seasonal patterns is manifested in its size, density and variety. The present study is aimed at analyzing the movement of stock prices in India between 1999-2011. The study has revealed that stock prices in India exhibit change in FAMA weak form and that seasonality is present in its variety- day of the week, turn of the month, holiday effects and intra-month effects. The price series is heteroscedastic and mean returns are statistically significant although mixed results are observed in the Intra-month period. The price series were corrected for autocorrelation and heteroscedasticity and mean returns for the specific effects were found to be statistically significant during entire period and sub-period 1999-2001 and 2002-2011. Thus investors adapt to such patterns while the vice versa is not true.

Item Type: Article
Uncontrolled Keywords: Seasonality, Sensitivity, effects, auto-correlation, Serial correlation and Heteroscedasticity.
Subjects: Research > Research Center - Technical
Depositing User: MIT Library
Date Deposited: 02 Jul 2016 09:45
Last Modified: 02 Jul 2016 09:45
URI: http://eprints.manipal.edu/id/eprint/146460

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