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The purpose of this study is to investigate the existence of monthly effect or turn-of-the-month effect in the Indian stock market and its consistency from its initial establishment until recent times.This paper aims to report the current state of the market efficiency and take a closer look at the Turn-Of-the-Month Effect (TOME) and its economic relevance by scrutinizing the exploitability and persistence of the Turn of the month effect.While there are studies in the past on the Indian stock market [Hamid and Dhakar (2003)] that reported that its seasonality did not remain consistent over time, this paper goes beyond most of the previous studies and explains the probable reason behind this seasonality.
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Kashvi Jain (2023) studied this question.
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