Abstract
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.
Highlights
The present study focuses on the semi-monthly effect in Indian Stock Market which is relatively less explored than other types of calendar anomalies in the literature
Semi-monthly effect refers to the stock returns for the first half of the month is significantly greater than second half of the month and vice versa
H0: There is no significant difference between the The present study analyzes the semi-monthly in mean returns of the first half and second half a more recent context
Summary
The following hypotheses are tested in this study:. – rank of the sample size*. The first half of the calendar the results of Mann-Whitney test month for the S&P BSE Auto Index documents (P = 0.917 > 0.05) confirm that there is no statistimean returns of 0.0752 (median = 0.0866, mini- cally significant difference between mean returns mum = –6.342 and maximum = 6.190), standard of the first half of calendar month and the second deviation 1.441. The first half of the calendar month for the S&P BSE Bankex documents the results of Mann-Whitney test mean returns of 0.0411 (median = 0.05303, mini- (P = 0.516 > 0.05) confirm that there is no statistimum = –8.975 and maximum = 11.60), standard cally significant difference between mean returns deviation 1.913. 75th percentile denotes 25% of the days have returns above 0.972
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