Santa Claus rally and the Indian stock market: A comprehensive analysis

Srinivas Nippani; Shekar Shetty

IIMB Management Review (Mar 2021)

Santa Claus rally and the Indian stock market: A comprehensive analysis

Srinivas Nippani,
Shekar Shetty

Affiliations

Srinivas Nippani: Regents Professor and Professor of Finance, Department of Accounting and Finance, College of Business, Texas A&M University-Commerce, Commerce, Texas, USA
Shekar Shetty: Associate Professor of Finance, Department of Economics and Finance, College of Business Administration, Gulf University for Science & Technology, Kuwait; Corresponding author: Phone: 965 67682932.

Journal volume & issue: Vol. 33, no. 1
pp. 15 – 27

Abstract

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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.

Published in IIMB Management Review

ISSN: 0970-3896 (Print)
Publisher: Elsevier
Country of publisher: India
LCC subjects: Social Sciences: Commerce: Business
Website: http://www.journals.elsevier.com/iimb-management-review/

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