Festivity Anomaly in Indian Stock Market

Abstract

This research is the first to investigate the holiday anomaly in the Indian stock market, one of the largest stock markets in the world, during the financial crisis. This paper examines the presence of holiday effects in the Indian stock market, before and during the financial crisis. Our results indicate very strong post-holiday effects for most of the indices from the Bombay Stock Exchange. Furthermore, while the pre-holiday effect was completely missing, the post-holiday effect became even stronger during the financial crisis.