Impact of Month of the Year Anomaly on Indian Stock Market: A Sectoral Analysis

Abstract

Stock market anomalies refer to instances where certain securities or groups of securities deviate from the efficient market hypothesis, which posits that security prices should always reflect all available information and incorporate new information rapidly. Seasonal variations in the stock market are a well-established phenomenon in different sectors of the economy. Within a time frame of less than one year, time series data often display periodic fluctuations characterized by regular and repetitive seasonal patterns. Consequently, stock returns may reveal systematic patterns at specific times of the day, week, or month. This paper explores the month-of-the-year effect across the financial services sector of the economy by analyzing monthly performance patterns and determining whether any particular month exhibits performance levels that significantly surpass those of other months. The sector indices of Nifty Financial Services from 2016 to 2024 have been used to achieve the objective of this study. The findings of this study will provide investors with insights to develop strategies that capitalize on these temporal variations, potentially enhancing returns during specific months.