Investigating Stock Price Seasonality effect and Trading strategy in selected IT companies in India

Abstract

The primary objective of the study is to investigate the existence of seasonality in stock price behavior in Indian stock market and more specifically in the IT sector: The period of the study is from 3rd November 1994to31 st December 2010. For the purpose analysis, the study has employed daily price series that have been obtained from the official website of National Stock Exchange (NSE). The daily price series of selected seven IT companies were selected for this study, and used Kruskal Wallis for trading strategy, multiple regression technique to examine the significance of the regression coefficient for investigating day of week effects and week of the month effect. It is found that all the seven selected IT companies evidenced day of the week effect and mostly either on Monday, Tuesday or Wednesday. Only Patni and Wipro evidenced significant Thursday effect. Similarly, evidence on week of month effect mostly either on 1st week, 2nd week or 3rd week. Only Polaris and Wipro evidenced significant 4th week effect