Semi-monthly effect in stock returns: new evidence from Bombay Stock Exchange
Semi-monthly effect is a kind of calendar anomalies which is less explored in the financial literature. The main objective of this paper to investigate the presence of semi-monthly effect in selected sectoral indices of Bombay Stock Exchange (BSE). The study uses the daily stock returns of five s...
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doaj-d0907374ba6b47fa980a975faaddafa92020-11-25T02:15:54ZengLLC "CPC "Business Perspectives"Investment Management & Financial Innovations 1810-49671812-93582017-10-0114316017210.21511/imfi.14(3-1).2017.019267Semi-monthly effect in stock returns: new evidence from Bombay Stock ExchangeShakila B.0A K M Nazrul Islam1Assistant Professor and Research Scholar, Department of Business Administration, St. Joseph Engineering CollegeAssociate Professor, Dhaka School of Economics, University of Dhaka, Dhaka Semi-monthly effect is a kind of calendar anomalies which is less explored in the financial literature. The main objective of this paper to investigate the presence of semi-monthly effect in selected sectoral indices of Bombay Stock Exchange (BSE). The study uses the daily stock returns of five sectoral indices viz S&P BSE Auto Index, S&P BSE Bankex, S&P BSE Consumer Durables Index, S&P BSE FMCG Index and S&P BSE Health Care Index for the period of 10 years starting from 1st April 2007 to 31st March 2017. The data were analyzed using two approaches namely calendar days approach and trading days approach. To test the equality of mean returns for the two halves of the month, Mann-Whitney U test is used. The empirical results of the study did not provide any evidence for the presence of semi-monthly effect in the selected sectoral indices. Nevertheless, BSE Auto Index showed significant difference in the mean returns of first half and second half of trading month during the study period.https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/9267/imfi_2017_03cont1_Shakila.pdfBombay Stock Exchangecalendar anomaliescalendar days approachsemi-monthly effecttrading days approach |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Shakila B. A K M Nazrul Islam |
spellingShingle |
Shakila B. A K M Nazrul Islam Semi-monthly effect in stock returns: new evidence from Bombay Stock Exchange Investment Management & Financial Innovations Bombay Stock Exchange calendar anomalies calendar days approach semi-monthly effect trading days approach |
author_facet |
Shakila B. A K M Nazrul Islam |
author_sort |
Shakila B. |
title |
Semi-monthly effect in stock returns: new evidence from Bombay Stock Exchange |
title_short |
Semi-monthly effect in stock returns: new evidence from Bombay Stock Exchange |
title_full |
Semi-monthly effect in stock returns: new evidence from Bombay Stock Exchange |
title_fullStr |
Semi-monthly effect in stock returns: new evidence from Bombay Stock Exchange |
title_full_unstemmed |
Semi-monthly effect in stock returns: new evidence from Bombay Stock Exchange |
title_sort |
semi-monthly effect in stock returns: new evidence from bombay stock exchange |
publisher |
LLC "CPC "Business Perspectives" |
series |
Investment Management & Financial Innovations |
issn |
1810-4967 1812-9358 |
publishDate |
2017-10-01 |
description |
Semi-monthly effect is a kind of calendar anomalies which is less explored in the financial literature. The main objective of this paper to investigate the presence of semi-monthly effect in selected sectoral indices of Bombay Stock Exchange (BSE). The study uses the daily stock returns of five sectoral indices viz S&P BSE Auto Index, S&P BSE Bankex, S&P BSE Consumer Durables Index, S&P BSE FMCG Index and S&P BSE Health Care Index for the period of 10 years starting from 1st April 2007 to 31st March 2017. The data were analyzed using two approaches namely calendar days approach and trading days approach. To test the equality of mean returns for the two halves of the month, Mann-Whitney U test is used. The empirical results of the study did not provide any evidence for the presence of semi-monthly effect in the selected sectoral indices. Nevertheless, BSE Auto Index showed significant difference in the mean returns of first half and second half of trading month during the study period. |
topic |
Bombay Stock Exchange calendar anomalies calendar days approach semi-monthly effect trading days approach |
url |
https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/9267/imfi_2017_03cont1_Shakila.pdf |
work_keys_str_mv |
AT shakilab semimonthlyeffectinstockreturnsnewevidencefrombombaystockexchange AT akmnazrulislam semimonthlyeffectinstockreturnsnewevidencefrombombaystockexchange |
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