Stock price seasonality effect and trading strategy – an empirical study of selected it companies in India
The primary objective of the study is to investigate the existence of seasonality in stock price behavior in Indian stock market and more specifically in the IT sector. The period of the study is from 3rd November 1994 to 31st December 2010. The study has employed daily price series of selected seven IT companies obtained from the official website of National Stock Exchange (NSE). The study used multiple regression technique to examine the significance of the regression coefficient for investigating day of week effects and week of the month effect, and Kruskal Wallis for analysis of trading strategy. It is found that all the seven selected IT companies evidenced day of the week effect and mostly either on Monday, Tuesday or Wednesday. Only Patni and Wipro evidenced significant Thursday effect. Similarly, evidence on week of month effect mostly either on 1st week, 2nd week or 3rd week. This implies that active portfolio management taking into account the findings will provide superior returns on investment in the IT sector in India.