Semi-monthly effect in stock returns: new evidence from Bombay Stock Exchange

  • Received June 13, 2017;
    Accepted September 14, 2017;
    Published October 25, 2017
  • Author(s)
    Shakila B. , ORCID ,
    E-mail:
    Iqbal Thonse Hawaldar
    ORCID Researcher ID
  • DOI
    http://dx.doi.org/10.21511/imfi.14(3-1).2017.01
  • Article Info
    Volume 14 2017, Issue #3, pp. 160-172
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Semi-monthly effect is a kind of calendar anomalies which is less explored in the financial literature. The main objective of this paper to investigate the presence of semi-monthly effect in selected sectoral indices of Bombay Stock Exchange (BSE). The study uses the daily stock returns of five sectoral indices viz S&P BSE Auto Index, S&P BSE Bankex, S&P BSE Consumer Durables Index, S&P BSE FMCG Index and S&P BSE Health Care Index for the period of 10 years starting from 1st April 2007 to 31st March 2017. The data were analyzed using two approaches namely calendar days approach and trading days approach. To test the equality of mean returns for the two halves of the month, Mann-Whitney U test is used. The empirical results of the study did not provide any evidence for the presence of semi-monthly effect in the selected sectoral indices. Nevertheless, BSE Auto Index showed significant difference in the mean returns of first half and second half of trading month during the study period.

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    • Table 1. Results of descriptive statistics for the first half of the calendar month and second half of the calendar month and Mann-Whitney U (Z-score) for the difference of these two means of S&P BSE Auto Index from April 2007 to March 2017
    • Table 2. Results of descriptive statistics for the first half of the calendar month and second half of the calendar month and Mann-Whitney U (Z-score) for the difference of these two means of S&P BSE BANKEX from April 2007 to March 2017
    • Table 3. Results of descriptive statistics for the first half of the calendar month and second half of the calendar month and Mann-Whitney U (Z-score) for the difference of these two means of S&P BSE Consumer Durables Index from April 2007 to March 2017
    • Table 4. Results of descriptive statistics for the first half of the calendar month and second half of the calendar month and Mann-Whitney U (Z-score) for the difference of these Two Means of S&P BSE FMCG Index from April 2007 to March 2017
    • Table 5. Results of descriptive statistics for the first half of the calendar month and second half of the calendar month and Mann-Whitney U (Z-score) for the difference of these two means of S&P BSE Health Care Index from April 2007 to March 2017
    • Table 6. Results of descriptive statistics for the first half of the trading month and second half of the trading month and Mann-Whitney U (Z-score) for the difference of these two means of S&P BSE AUTO from April 2007 to March 2017
    • Table 7. Results of descriptive statistics for the first half of the trading month and second half of the trading month and Mann-Whitney U (Z-score) for the difference of these two means of S&P BSE BANKEX from April 2007 to March 2017
    • Table 8. Results of descriptive statistics for the first half of the trading month and second half of the trading month and Mann-Whitney U (Z-score) for the difference of these two means of S&P BSE Consumer Durables from April 2007 to March 2017
    • Table 9. Results of descriptive statistics for the first half of the trading month and second half of the trading month and Mann-Whitney U (Z-score) for the difference of these two means of S&P BSE FMCG Index from April 2007 to March 2017
    • Table 10. Results of descriptive statistics for the first half of the trading month and second half of the trading month and Mann-Whitney U (Z-score) for the difference of these two means of S&P BSE Health Care Index from April 2007 to March 2017