DAY-OF-THE-WEEK AND MONTH OF THE YEAR ANOMALIES IN THE INDIAN STOCK MARKET USING MULTIPLE REGRESSION TECHNIQUE

According to Kuhn (1970), Financial Market anomalies are cross-sectional and time series patterns in security returns that are not predicted by a central paradigm or theory. The term anomalies in financial markets refer to the situations when a security or group of securities performs differently, and contradicts the trend of efficient markets. The study indicates that Indian stock market shows the both the calendar and week effect. The Monday effect is visible and the Friday effect is also visible. They also support the constructs. The Calendar effect shows that the Indian stock market shows the March and October anomalies. However, the standard January and December effect are not visible in the market. The Indian stock market shows inefficiency and calendar anomalies. However, these anomalies are not commensurate with the European and the American market