Indian Journal of Finance


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The present study is an endeavour to investigate seasonal anomalies, if any, existing in stock returns in India. The daily closing prices of two indices- BSE 500 and S&P CNX 500 have been used to examine the presence of month-of-the-year and day-of-the-week effects in the Indian stock market. The reference period ranges from January 2002 to December 2009. The findings show presence of month-of-the-year effect but absence of day-of-the-week effect in Indian stock market. This indicates that the Indian stock market is not fully efficient yet. Its implication is that the existence of month-of-the-year effect may provide opportunities to formulate profitable trading strategies so as to earn the increased return that does not commensurate with the risk.