Study of Seasonality in the Indian Stock Market

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FINANCE

TESTING SEASONALITY IN THE INDIAN
STOCK MARKET

A Project Report submitted in partial fulfillment of the requirements for the Degree of Master of Business Administration

Under the guidance of:
Dr. S.K. Tuteja

Submitted by:
Sachin Garg
F-045, MBA(FT) 2011-13

Faculty of Management Studies
University of Delhi
Delhi – 110007

CERTIFICATE

This is to certify that this project report titled “Testing Seasonality in the Indian Stock Market”, submitted in partial fulfilment of the requirements for the degree of Master of Business Administration, is based on my original research work under the guidance of Dr. S.K. Tuteja. The report has not been submitted elsewhere for any other purpose. All references used have been duly acknowledged.

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Dr. S.K. Tuteja Sachin Garg
Project Guide F-045, MBA (FT) 2011-13
Faculty of Management Studies Faculty of Management Studies
University of Delhi University of Delhi

ACKNOWLEDGEMENT

I am deeply indebted to my project guide Dr. S.K. Tuteja for being a constant source of encouragement throughout the course of this project. The project would not have been a possibility without his guidance and support at each stage of the project. His mentoring helped me to structure my thoughts well and conduct the research following appropriate techniques.

Sachin Garg
F-045, MBA (FT) 2011-13
Faculty of Management Studies
University of Delhi

CONTENTS Exexutive Summary 5 Chapter 1: Introduction 6 1.1 Statement of the Problem 10 1.2 Need for the Present Study 10 1.3 Objectives of the study 11 1.4 Hypotheses 11 1.5 Methodology of the Study 11 Sample Selection: 11 Sources of Data: 12 Period of the Study: 12 Tools used for Analysis: 12 1.6 Chapter Scheme 13 Chapter 2: Literature review 14 Chapter 3: Theoretical Background 30 The BSE Sensex: A brief Introduction 33 S&P CNX

References: 3) Ariel, Robert A.(1987), “A Monthly Effect in Stock Returns,” Journal of Financial Economics, Vol 4) Pandey I M (2002). "Is There Seasonality in the Sensex Monthly Returns," Working Paper, IIM Ahmedabad. 16) Agrawal, Anup, and Kishore Tandon (1994), “Anomalies or Illusions? Evidence from Stock Markets in Eighteen Countries,” Journal of International Money and Finance. 17) Ariel, Robert A.(1987), “A Monthly Effect in Stock Returns” 18) Ariel, Robert 19) Bodla, B.S.and Kiran Jindal (2006), “Seasonal Anomalies in Stock Returns: Evidence from India and the US 20) Brooks, Chris, and Gita Persand (2001), “Seasonality in Southeast Asian Stock Markets Some New Evidence on Day-of-the-Week Effects,”