Empirical Study on Seasonality and Volatility in Indian Stock Market: A Comprehensive Study of Calendar Effects and Market Behavior

This book provides a comprehensive study of the Indian stock market, its historical evolution, structural framework, and the intriguing phenomenon of seasonality in stock returns. A central theme of the book is the analysis of calendar anomalies—patterns in stock returns that challenge the Efficient Market Hypothesis (EMH). It explores well-known effects such as the January Effect, Weekend Effect, Sell in May and Go Away, and Holiday Effect, along with the Month-of-the-Year and Day-of-the-Week effects. Using rigorous quantitative methods, including dummy variable regression, stationarity tests, and normality checks, the research evaluates whether these anomalies persist in the Indian context. Beyond seasonality, the book examines volatility dynamics, investor types, stock valuation techniques, and the role of indices and regulatory authorities. This book bridges theory and practice by combining historical context with empirical evidence. It equips readers with a nuanced understanding of market anomalies, their relevance in modern trading environments, and their implications for investment strategies.