Religious Holiday Anomaly : Evidence from the Indian Equity Market

Authors

  •   Nang Biak Sing Doctoral Student (Corresponding Author), Department of Management, Mizoram University, Aizawl, Tanhril - 796 004, Mizoram
  •   Lal Ropuii Assistant Professor, Department of Management, Mizoram University, Aizawl, Tanhril - 796 004, Mizoram
  •   Rajkumar Giridhari Singh Professor, Department of Commerce, North Eastern Hill University, Meghalaya - 793 022

DOI:

https://doi.org/10.17010/ijf/2025/v19i3/174848

Keywords:

seasonal anomalies

, Indian stock market, behavior finance, GARCH model, religion.

JEL Classification Codes

, C22, G10, G14, G40

Paper Submission Date

, September 5, 2024, Paper sent back for Revision, January 28, 2025, Paper Acceptance Date, February 15, Paper Published Online, March 15, 2025

Abstract

Purpose : Investments in financial markets are intended to provide higher returns. However, this complex market is influenced by a large number of events, creating a disruptive effect on price movements and potentially leading to market distortions. In this context, the present study examined the persistence of seasonal anomalies during religious holidays in the Indian stock market.

Design/Methodology/Approach : The model employed symmetric and asymmetric GARCH models. The symmetric GARCH model captured volatility clustering, whereas the asymmetric PGARCH model included long-memory and leverage effects. Additionally, a robustness test using the ARIMAX model was conducted to assess temporal pre- and post-holiday effects. The period from July 2020 to December 2022 was selected based on the BSE Sensex and NSE Nifty 50 indices.

Findings : The results revealed that Christian and Jainist holidays showed significant pre-holiday returns, while Hindu and Sikh holidays showed stronger post-holiday return effects. No significant effects were found for Islamic holidays. Volatility clustering patterns exhibited distinct holiday-specific market characteristics. Finally, the robustness test confirmed the persistence of the time-varying pre- and post-religious holiday effects.

Practical Implications : Market participants could enhance their profit trading strategy by carefully considering the timing and position of religious holidays. Regulatory measures could enhance the limits of circuits around major religious holidays to prevent excessive volatility and market manipulation.

Originality/Value : To the best of our knowledge, no previous study has examined the market impact of mandated religious observations. This study added value to the behavioral finance literature on how religious beliefs influence stock market behavior.

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Published

2025-03-15

How to Cite

Sing, N. B., Ropuii, L., & Singh, R. G. (2025). Religious Holiday Anomaly : Evidence from the Indian Equity Market. Indian Journal of Finance, 19(3), 26–43. https://doi.org/10.17010/ijf/2025/v19i3/174848

Issue

Volume 19, Issue 3, March 2025

Section

Articles
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