Alliance University, Bengaluru
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https://gnanaganga.inflibnet.ac.in:8443/jspui/handle/123456789/10919| Title: | The Month-Of-The-Year Effect in the Indian Stock Market |
| Authors: | Som Sankar Sen |
| Issue Date: | 2015 |
| Publisher: | Gitam Journal of Management |
| Abstract: | The present study has sought to address the issue of the month-of the-year effect in Indian Stock Market represented by BSE SENSEX. The data used in this study is daily index rectum of the BSE SENSEX for the period from January 2, 2004, to December 28, 2012. (a total of 2224 observations). The GARCH(l,l)-M model has been used to model the conditional volatility. Other necessary statistics and econometric tools have also been used in proper places. The analysis suggests the presence of the month-of-the-year effect in Indian stock market |
| URI: | http://gnanaganga.inflibnet.ac.in:8080/jspui/handle/123456789/10919 |
| Appears in Collections: | Articles to be qced |
Files in This Item:
| File | Size | Format | |
|---|---|---|---|
| The Month-of-the-Year Effect in the Indian Stock Market- A Study on BSE SENSEX- Som Sankar Sen.pdf Restricted Access | 442.38 kB | Adobe PDF | View/Open Request a copy |
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