Gupta, MohitChhabra, Damini2022-12-042022-12-042022Chhabra, Damini (2022). Study of Calendar Anomalies in Indian Stock and Commodity Markets (Unpublished Ph.D. Dissertation). Punjab Agricultural University, Ludhiana, Punjab, India.https://krishikosh.egranth.ac.in/handle/1/5810190310The present study was undertaken to test the presence of calendar anomalies in returns, trading volume and volatility in returns of stocks, stock indices, commodities and commodity indices; impact of market microstructure events on calendar anomalies and evaluation of trading strategy designed on basis of presence of calendar anomalies in stocks and commodities. The study analyzed secondary data collected from 2008 to 2018 and 15 anomalies were investigated. With respect to returns in most of the stock market indices, calendar anomalies namely month of the year effect, turn of the month effect, turn of the tax year effect and day after future option expiry effect were found to be present. In most of the commodity market indices, calendar anomalies namely week of the month effect, month of the year effect and semi-month effect were found to be present. In most of the commodities, calendar anomalies namely month of the year effect and day after future option expiry effect were found to be present. With respect to volume major calendar anomalies namely month of the year effect, quarter of the year effect, day of future option expiry effect, turn of the year effect, week of the month effect and turn of the month effect were found to be present. With respect to volatility major calendar anomalies namely day of the week effect, weekend effect, month of the year effect, January effect, week of the month effect and quarter of the year effect, were found to be present. Significant results have been found in calendar anomalies namely day of the week effect, week of the month effect, month of the year effect and quarter of the year effect in selected stock market indices as a result of selected microstructure events. Profitability following turn of the month effect and day after future option expiry effect were observed to be significant in few of the selected stocks and commodities.EnglishThesis