Gyan Management

Capturing Monthly Anomaly from Outbreak of COVID-19 on Indian Stock Market: A Sectoral Analysis

Dinesh K¹ and Janet Jyothi D’souza¹

First Published 9 May 2025. https://doi.org/10.1177/09747621251329387

Article Information

Corresponding Author:

Dinesh K, Department of Management Studies, Ballari Institute of Technology & Management, Ballari, Karnataka 583104, India.
Email: dineshpgcentre@gmail.com

¹Department of Management Studies, Ballari Institute of Technology & Management, Ballari, Karnataka, India

Creative Commons Non Commercial CC BY-NC: This article is distributed under the terms of the Creative Commons Attribution-NonCommercial 4.0 License (http://www.creativecommons.org/licenses/by-nc/4.0/) which permits non-Commercial use, reproduction and distribution of the work without further permission provided the original work is attributed.

Abstract

This study examines the month-of-the-year effect during the global COVID-19 pandemic, which has extensively impacted financial markets worldwide, leading to unprecedented changes in volatility and causing significant domestic and global disruptions for investors for a brief period. To investigate this phenomenon, we analyzed 14 Indian sector indices selected from the Bombay Stock Exchange (BSE) Sensex. We applied an econometric model to explore the leverage effects. The outcomes show that the sector indices IT, Manufacturing, Metal, Oil & Gas, FMCG, Utilities, and PSU exhibited a December effect. However, the BSE Telecom sector demonstrates similar returns across all months. Furthermore, this confirms conflicting empirical findings regarding calendar anomalies. The commonly observed January effect did not show statistical significance for any of the 14 sectors. Additionally, the results were augmented using a conditional variance equation for residuals. These findings contribute to the diversification of investment strategies by exploring a more comprehensive range of sector stocks and by informing investment decisions.

Keywords

Global pandemic, Indian sector Indices, BSE Sensex, calendar anomalies

References

Acharya, P. N., Kaliyaperumal, S., & Mahapatra, R. P. (2022). Capturing the month of the year effect in the Indian stock market using GARCH models. Vilakshan-XIMB Journal of Management. https://api.semanticscholar.org/CorpusID:251301548

Adnan, A. T. M., & Johani, S. A. (2023). Stock market reaction to COVID-19: A cross-sectional industry analysis in frontier market. IIM Kozhikode Society & Management Review, 12(2), 157–181.

Al-Jarrah, I. M. (2011). The turn of the month anomaly in Amman Stock Exchange: Evidence and implications. Journal of Money, Investment and Bankin, 21(21), 1–7.

Al-rjoub, S. A. M., & Alwaked, A. (2010). January effect during financial crises: Evidence from the U.S. European Journal of Economics, Finance and Administrative Sciences, 24(24), 1–X.

Alam, M. M., Wei, H., & Wahid, A. N. M. (2021). COVID-19 outbreak and sectoral performance of the Australian stock market: An event study analysis. Australian Economic Papers, 60(3), 482–495.

Archana, S., & Safeer, M. (2014). A study on market anomalies in Indian stock market. International Journal of Business and Administration Research Review, 1(3), 128–137.

Balash, V., & Faizliev, A. (2024). Volatility spillovers across Russian oil and gas sector: Evidence of the impact of global markets and extraordinary events. Energy Economics, 129, 107202.

Barua, B., & Barua, S. (2020). COVID-19 implications for banks: Evidence from an emerging economy. SN Business & Economics, 1(1), 19.

Cengiz, H., Bilen, Ö., Büyüklü, A. H., & Damgacı, G. (2017). Stock market anomalies: The day of the week effects, evidence from Borsa Istanbul. Journal of Global Entrepreneurship Research, 7, 1–11.

Chen, M.-H., Jang, S. S., & Kim, W. G. (2007). The impact of the SARS outbreak on Taiwanese hotel stock performance: An event-study approach. International Journal of Hospitality Management, 26(1), 200–212.

Chia, R. C.-J., & Liew, V. K.-S. (2010). Evidence on the day-of-the-week effect and asymmetric behavior in the Bombay Stock Exchange. The IUP Journal of Applied Finance, 16(6), 17–29.

Chowdhury, E. K. (2020). Catastrophic impact of COVID-19 on tourism sector in Bangladesh: An event study approach. The Cost and Management, 48(4), 43–52.

Clark, J., Mauck, N., & Pruitt, S. W. (2021). The financial impact of COVID-19: Evidence from an event study of global hospitality firms. Research in International Business and Finance, 58, 101452.

Compton, W. S., Johnson, D. T., & Kunkel, R. A. (2006). The turn-of-the-month effect in real estate investment trusts (REITs). Managerial Finance, 32(12), 969–980. https://doi.org/10.1108/03074350610710463/FULL/HTML

Damodaran, A. (1989). The weekend effect in information release: A study of earning announcements. The Review of Financial Studies, 2(4), 607–623.

Dash, M., Sabharwal, M., & Dutta, A. (2011, March 14). Seasonality and market crashes in Indian stock markets. SSRN. Retrieved, October 23, 2021, from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1785112

Dubois, M., & Louvet, P. (1996). The day-of-the-week effect: The international evidence. Journal of Banking & Finance, 20(9), 1463–1484.

Ghosh, R., & Saima, F. N. (2021). Resilience of commercial banks of Bangladesh to the shocks caused by COVID-19 pandemic: An application of MCDM-based approaches. Asian Journal of Accounting Research, 6(3), 281–295.

Singh Harshita, S., & Yadav, S. S. (2019). Unique calendar effects in the Indian stock market: Evidence and explanations. Journal of Emerging Market Finance, 18, S35–S58. https://doi.org/10.1177/0972652719831549

He, P., Sun, Y., Zhang, Y., & Li, T. (2021). COVID-19’s impact on stock prices across different sectors—An event study based on the Chinese stock market. In S. Sharma & Y. Sha (Eds.), Research on pandemics (pp. 66–80). Routledge.

Hossain, M. A., & Biglari, V. (2020). Day of the week effect anomaly in Dhaka Stock Exchange post-crisis period: Evidence from Bangladesh capital market. Afro-Asian Journal of Finance and Accounting, 10(4), 537–553.

Huynh, N. (2021). Turn-of-the-year effect in Asia Pacific stock markets: New evidence. Available at SSRN 3799914.

Kazemi Lari, M., Mardani, A., & Aghaeiboorkheili, M. (2013). Day of the week effect, annual returns, and volatility of five stock markets in Southeast Asia. Asian Journal of Finance & Accounting, 5(1), 446–461. https://doi.org/10.5296/ajfa.v5i1.2811

Liew, V. K.-S., & Puah, C.-H. (2020). Chinese stock market sectoral indices performance in the time of novel coronavirus pandemic. Munich Personal RePEc Archive. https://mpra.ub.uni-muenchen.de/100414/

Maneenop, S., & Kotcharin, S. (2020). The impacts of COVID-19 on the global airline industry: An event study approach. Journal of Air Transport Management, 89, 101920.

Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society, 59(2), 347–370.

Pandey, I. (2002). Is there seasonality in the Sensex monthly returns? http://faculty.iima.ac.in/assets/snippets/workingpaperpdf/2002-09-08IMPandey.pdf

Schwert, W. G. (2003). Anomalies and market efficiency. Handbook of the Economics of Finance, 1(Part 2), 939–974. https://ideas.repec.org/h/eee/finchp/2-15.html

Squalli, J. (2006). A non-parametric assessment of weak-form efficiency in the UAE financial markets. Applied Financial Economics, 16(18), 1365–1373.

Tadepalli, M. S., Jain, R. K., & Metri, B. (2021). An inquiry into the persistence of holiday effect on stock markets in India: Insights and perspectives on a seasonal anomaly. FIIB Business Review, 14(4), 23197145211016896.

Waleed, D., Alrabadi, H., & Al-Qudah, K. A. (2018). Calendar anomalies: The case of Amman Stock Exchange. International Journal of Business & Management, 7(24), 120. https://doi.org/10.5539/ijbm.v7n24p120