Does Seasonality Persists in Indian Stock Markets?

The ‘conventional wisdom ’ about efficient markets is that there are little excess returns, relative to the market returns (and the level of risk) that one can make by analysing historical data. But researchers have gathered systematic evidence about markets violating this con-ventional wisdom. Some of these are calender effects, small-firm or size effect etc. This paper examines a calender effect known as ‘the-month-of-the-year-effect ’ and examine whether this much-hyped anomaly is a persisting feature in the Indian market. The paper shows that the pre-vious evidence on seasonality could be the result of the very nature of parametric methods, that it gets influenced by extreme observa-tions. Otherwise, seasonality is not a feature of the current Indian stock markets. 1 Market Anomalies: A Discussion It is possible that if the data is torchured with sufficient intensity, one might find systematic patterns and apparent relations that he is looking for (Sul-livan et al., 1998)! So if one is keen on discovering an anomaly in the stock market to earn a quick buck, he just might discover unusual patterns emerg-ing out of the most unusual of occurances. For instance investopedia 1 cir-culated among its subscribers a list of what they called the ‘world’s wackies