Seasonality index in different asset classes in India

Abstract

Seasonality fluctuations in a time series affect the asset classes in a particular way in terms of returns and movement trends for different asset classes. A time series may vary from being minute-wise, hourly, daily, weekly, monthly, quarterly, and annually.This study has attempted to understand the coupled outcome of seasonality index, the standard deviation in monthly seasonality patterns, and the correlation of different asset classes to check the time series model’s applicability and determine whether the time series model is stationary not. It has analyzed trends in the asset classes when the series is deseasonalized if seasonality is present. Usually, seasonal and non-seasonal components are already enbibed as values follow random-walk, so the time series is majorly categorized as non-stationary. The paper discovers and forms any available relation between asset classes and seasonality at regular intervals. Analyzing seasonal patterns is vital. It provides valuable information to potential investors, and analyzing seasonality concerning the Indian market is vital. Trend analysis of various stock markets has been incorporated in many studies, but considering all asset classes for the Indian economy is rare. It helps readers understand how an asset’s monthly and yearly seasonality will affect asset classes’ movement. The paper uses four major asset categories for the study. The seasonality between asset classes is not that evident across all the asset classes. However, certain assets tend to show the correlation between periods and the price of a certain asset.