文章基本信息

标题：AN EMPIRICAL STUDY ON MONTH OF THE YEAR EFFECT IN GAS, OIL AND REFINERIES SECTORS IN INDIAN STOCK MARKET
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作者：Dr.Sathya Swaroop Debasish
期刊名称：International Journal of Management and Strategy
电子版ISSN：2231-0703
出版年度：2012
卷号：3
期号：5
出版社：International Journal of Management and Strategy
摘要：The primary objective of the study is to investigate the existence of seasonality in stock price behavior in Indian stock market and more specifically in the Gas, Oil and Refineries sector. The period of the study is from 1st January 2006 to 31st December 2010. For the purpose analysis, the study has employed daily price series that have been obtained from the official website of National Stock Exchange (NSE). The daily price series of selected eight Gas, Oil and Refineries companies were selected for this study, and used multiple regression technique to examine the significance of the regression coefficient for investigating month of the year effects. It is found that all the eight selected Gas, Oil and Refineries companies evidenced month of the year effect and mostly either on September, August or February. Only GAIL, and HPCL evidenced significant October and July effect.
关键词：Indian stock market; Month of the year effect; stock price seasonality; market efficiency; regression coefficient; Significance.