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Xing Lu and Neel Patel
 
''Festivity Anomaly in Indian Stock Market''
( 2016, Vol. 36 No.2 )
 
 
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.
 
 
Keywords: Holiday Anomalies, Efficient Market Hypothesis, Indian Stock Market
JEL: C3 - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
G1 - (G11, G13, G13) Portfolios, Investments, Asset and Futures Pricing, Trading Volume & Bond Interest Rates
 
Manuscript Received : Apr 03 2016 Manuscript Accepted : May 18 2016

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