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February 25, 2026International Journal of Emerging Markets0 citations

Comparative Study of Calendar Anomalies: GFC and COVID-19

Anomaly within the calendar anomalies: a comparative study of the GFC and COVID-19

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Authors

SKSatish KumarNRNikhil RastogiRPRajesh Pathak

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Overview

Examines calendar anomalies in the Indian stock market, showing unique patterns during two crises periods.

Key Points

  • The aim is to investigate the presence and behavior of calendar anomalies in the Indian stock market during the COVID-19 and GFC periods.
  • Analyzed daily stock data from January 2004 to December 2023.
  • Utilized Generalized Autoregressive Conditional Heteroskedastic models to control for volatility.
  • Focused on small-, medium-, and large-cap stock indices.
  • January effect observed only in small-cap stocks.
  • Turn-of-the-month effect significant in small- and medium-cap stocks.
  • Positive returns on Wednesdays, with other days not showing significant differences.

Cite This Study

Kumar et al. (2026) studied this question.

synapsesocial.com/papers/699e912ef5123be5ed04e7a4https://doi.org/10.1108/ijoem-12-2024-2225
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