Existence of certain anomalies in indian stock market

The purpose of this paper is to provide insights into the profitability of momentum strategies in the Indian stock market. This study further evaluates whether the momentum effect is a manifestation of size, value or an illiquidity effect.

Monthly stock return data of BSE listed stocks over the sample period from January to March were used to create extreme portfolios winner and loser. The returns of extreme portfolios were evaluated using t -statistics and a risk-adjusted measure.

Further checks were imposed by controlling for other potential sources of risk including size, value and illiquidity. The study provides support in favor of momentum profitability in the Indian stock market. In contrast to the literature, momentum profitability is driven by winning stocks, and hence, buying past winning stocks generates higher returns than shorting loosing stocks in the Indian stock market.

Strong momentum profits were observed even after controlling for size, value and trading volume of stocks. This suggests that the momentum effect in the Indian stock market is not a manifestation of small size effect, value effect or an illiquidity effect.

There is little empirical evidence on the momentum profitability, especially in the Indian stock market. The study contributes toward the literature by analyzing the momentum profitability even after controlling for size, value and an illiquidity effect. Existence of certain anomalies in indian stock market aspects of the momentum effect were observed to be dissimilar from those observed in literature for the USA and other countries.

Such findings justify the need for testing the momentum profitability in stock markets other than the USA. You may already have access to this article. Please Log in to check access. Emerald Group Publishing has become the world's leading scholarly publisher of journals and books sri lankan stock market brokers business and management.

Emerald Resources For Authors For Librarians For Engineers Research Zone Learning Zone Teaching Zone Multimedia Zone Support Resources Resource areas: Journal of Advances in Management Research ISSN: Supriya MaheshwariFaculty of Management Studies, University of DelhiNew Delhi, India.

Raj Singh DhankarFaculty of Management Studies, University of DelhiNew Delhi, India Ansal UniversityGurgaon, India. The fulltext of this document has been downloaded times since Existing Customer You may already have access to this article. Please Existence of certain anomalies in indian stock market in to check access Email or Username: Remember me Forgotten your password? Recommendation Recommend to your librarian that your institution purchase access to this publication.

Stock Market Seasonality: A Study of Calendar Anomalies in the Indian Stock Market by Dr. Sisira Kanti Mishra :: SSRN

Rent this from Deepdyve. Most read Most cited Related The most popular papers from this title in the past 7 days:. Indian corporate environmental and financial performance: Analyzing the sourcing alternatives in an Indian manufacturing company.

Strategies to avoid liability of foreignness when entering a new market. Determinants of capital structure: The most cited papers from this title published in the last 3 years. Statistics are updated weekly using participating publisher data sourced exclusively from Crossref.

An interpretive structural modeling of knowledge management in engineering industries. Interaction challenges in leadership and performance management in developing a network environment.

Momentum anomaly: evidence from the Indian stock market: Journal of Advances in Management Research: Vol 14, No 1

Environmentally responsive supply chains: Learnings from the Indian auto sector. Strategic technology management in the auto component industry in India: A case study of select organizations.

Serials Publications

Vendor managed inventory model: Find related content By Keyword CAPM Momentum effect Indian stock market Investment strategies Loser Winner. By Author Maheshwari Supriya Dhankar Raj Singh. Cookie Policy Privacy Policy Copyright Policy Industry Standards End User Terms Digital Preservation Accessibility Text and Data Mining Licence.

Emerald Publishing Emerald Group 50th Anniversary Emerald Management First Emerald Bookstore Emerald Careers The Emerald Foundation.