Month-of-the-Year Effect: Empirical Evidence from Indian Stock Market

The present study aims to examine the existence of month-of-the-year effects in Indian stock market. For analysis, we selected BSE Ltd and NSE broad market cap indices, namely S&P 500 NIFTY 500, which are a comprehensive representation time for this is from April 1, 2011, March 31, 2021 (i.e., ten years). used secondary data collected 'monthly open, high, low closing prices indices through official websites ( www.bseindia.com ; www.nseindia.com ). study's findings indicate that ADF PP test confirms presence unit root return series Indices. results KPSS confirm stationarity both regression coefficients were negative significant indices. These suggest month-the-of-the-year effect 'March effect.'