Publication Title
IIMB Management Review
Document Type
Article
Abstract/Description
The study examines the leading Indian stock market indices all of which reflect the “Santa Claus rally” effect where significantly higher daily returns accrue to investors in the last five trading days of December and the first two trading days of the following January. The study also reveals that the BSE SENSEX started exhibiting this effect only during the post-1991 period. Additionally, the results indicate that there is a size effect associated with the Santa Claus rally effect wherein small-cap companies outperform mid-cap and large-cap companies. The evidence also suggests that the effect is prominent in eight industry-specific sub-sectors.
Department
Accounting and Finance
First Page
15
Last Page
27
DOI
10.1016/j.iimb.2021.03.002
Volume
33
Issue
1
ISSN
0970-3896
Date
3-1-2021
Citation Information
Nippani, Srinvias and Shetty, Shekar, "Santa Claus Rally and the Indian Stock Market: A Comprehensive Analysis" (2021). Faculty Publications. 3.
https://digitalcommons.tamuc.edu/busi-faculty-publications/3
