印度股市独特的日历效应：证据与解释

IF 1.2 Q3 BUSINESS, FINANCE

Journal of Emerging Market Finance Pub Date : 2019-04-09 DOI:10.1177/0972652719831549

Harshita, Shveta Singh, Surendra S. Yadav

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引用次数: 7

摘要

文章涵盖了20年（1995-2015年），确定了印度股市中存在的月度效应，包括原始回报率系列以及市场非线性调整后的月度效应。对于不同规模和价值的投资组合，效果是否相同也有待确定。采用阈值广义自回归条件异方差（TGARCH）模型来解决非线性问题。结果表明，在指数水平上，11月/12月的回报率较高。此外，只有规模小于平均水平的公司才会表现出4月/5月和11月/12月效应的季节性。价值排序的投资组合显示出12月效应的较弱证据。税务损失销售、橱窗装饰和行为方面似乎提供了解释。JEL分类：C58、G14

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Unique Calendar Effects in the Indian Stock Market: Evidence and Explanations

Covering 20 years (1995–2015), the article ascertains the presence of the month-of-the-year effect in the Indian stock market, for the raw returns series as well as after adjusting for non-linearities of the market. Whether the effect is the same for portfolios of different sizes and values is also ascertained. The threshold generalised autoregressive conditionally heteroskedastic (TGARCH) model is employed to address non-linearity. The results suggest the presence of higher returns in November/December at the index level. Further, only firms with a size smaller than the average exhibit seasonality in the form of the April/May and November/December effect. The value-sorted portfolios exhibit weaker evidence of the December effect. Tax-loss selling, window dressing and behavioural aspects seem to provide the explanation. JEL Classification: C58, G14

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来源期刊

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.