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Semi-Month Effect in S&P CNX NIFTY Turnover and Retail Participation in Indian Capital Market

S. Periyasamy
DOI: http://dx.doi.org/10.21013/jmss.v3.n3.p22
Abstract

NIFTY is the bellwether index followed by most of the traders in Indian stock markets. The turnover in the S&P CNX NIFTY constituent shows that the scripts are mostly traded on every session of trading. The study is carried out to check the semi moth effect in S&P CNX NIFTY which may helpful for retail investors to make investment decision. This study is carried out using the monthly movement of S&P CNX NIFTY index of NSE India Ltd for the period April 01, 2004 to March 31, 2015. The statistical significance of semi month effect is tested using descriptive statistics and paired “t” test. The outcome of the analysis shows that there is the presence of semi-month effect in index returns and suggestions to retail investors to time the investments based on the market movement.

 

Keywords
Capital Market, Seasonal effects / Calendar Anomalies, Monthly Effects, Semi-month Effect, S&P CNX NIFTY – Market Index of National Stock Exchange India Ltd
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