Nang Biak Sing, Lalropuii and Rajkumar Giridhari Singh
The study aims to investigate the persistence of seasonal anomalies during religious holidays in emerging markets.
Abstract
Purpose
The study aims to investigate the persistence of seasonal anomalies during religious holidays in emerging markets.
Design/methodology/approach
The authors select the Bombay Stock Exchange and National Stock Exchange stock returns from January 1990 to December 2022. The GARCH family models were adopted to examine the mean-variance returns associated with symmetric and asymmetric effects. The ARIMAX model is used to investigate the exogenous order during the pre-mandated and post-mandated trading holidays.
Findings
The results show that the persistence of returns and volatility during religious holidays significantly when subjected to specific religious holidays. The authors also found that volatility during religious festivals dipped during the pre-holiday and gradually increased after the events. The findings suggest that religious holiday anomalies exhibit a trivial significant effect on stock market returns and this effect is waning.
Research limitations/implications
The findings provide investors and market regulators with a better understanding of market anomalies related to religious practices. During these periods, investors may experience substantial fluctuations in their portfolios, potentially leading to significant losses or payoffs. Investors can sustain substantial losses or payoffs and market manipulation by adjusting their strategies around religious holidays to account for potential volatility, albeit temporarily.
Originality/value
This study contributes to behavioural finance literature that suggests that beliefs and cultural aspects determine a country’s stock market inefficiency. To the best of the authors’ knowledge, no previous study has comprehensively examined threshold religious holidays across diverse religions in Indian market using long-memory data.
Details
Keywords
Nang Biak Sing and Rajkumar Giridhari Singh
This paper aims to investigate the influence of attention and sentiment in the Indian stock market during the unusual COVID-19 crisis in the first and second waves of the pandemic.
Abstract
Purpose
This paper aims to investigate the influence of attention and sentiment in the Indian stock market during the unusual COVID-19 crisis in the first and second waves of the pandemic.
Design/methodology/approach
In this study, the capital asset pricing model (CAPM) is used to estimate the expected return. The autoregressive distributed lag (ARDL) model with optimal lag value selection and Granger causality using the vector autoregressive (VAR) estimation model were applied to find out whether there is a causal relationship between investors' attention and sentiment that influence stock returns across 14 sectors.
Findings
The results show that increased attention to COVID-19 substantially varied in the first wave and second wave market reactions. The upsurge attention of COVID-19 shows a negative influence with lower expected returns in the second wave. The sentiment of investors contrasts from the lower expected return in the first wave to the higher expected return in the second wave of the pandemic. Moreover, investors’ sentiment in a state of fear is associated with lower returns.
Originality/value
The authors capture sentiment based on attention and investors mood using novel data set during the COVID-19 pandemic shock. The study is among a few which take a comprehensive stock market response during initial and subsequent waves across sector returns.