An Examination of Seasonality in Indian Stock Markets with Reference to NSE

The capital market in India is a market for securities, where companies and governments can raise long term funds. It is a market designed for the selling and buying of stocks and bonds. Stocks and bonds are the two major ways to generate capital and long term funds. Thus, the bond markets and stock markets are considered as capital markets. The capital markets consist of the primary market, where new issues are distributed to investors, and the secondary market, where existing securities are traded. In order to achieve the objectives of the study closing prices and stock returns of CNX Nifty and Nifty Junior were obtained from NSE data files and the Handbook of Statistics on Indian Economy published by the Reserve Bank of India. To test the presence of seasonality in stock returns of Nifty and Nifty Junior, the researchers have used one technique called dummy variable regression model.