Business, Management and Accounting, Finance, Economics and Econometrics, General Business, Management and Accounting
2
Scopus Publications
Scopus Publications
Religious Holiday Anomaly: Evidence from the Indian Equity Market Nang Biak Sing, Lal Ropuii, Rajkumar Giridhari Singh Indian Journal of Finance, 2025 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.
Investor attention and reaction in COVID-19 crisis: sentiment analysis in the Indian stock market Nang Biak Sing, Rajkumar Giridhari Singh Managerial Finance, 2023 PurposeThis paper aims to investigate the influence of attention and sentiment in the Indian stock market during the unusual COVID-19 crisis in the first and second waves of the pandemic.Design/methodology/approachIn this study, the capital asset pricing model (CAPM) is used to estimate the expected return. The autoregressive distributed lag (ARDL) model with optimal lag value selection and Granger causality using the vector autoregressive (VAR) estimation model were applied to find out whether there is a causal relationship between investors' attention and sentiment that influence stock returns across 14 sectors.FindingsThe results show that increased attention to COVID-19 substantially varied in the first wave and second wave market reactions. The upsurge attention of COVID-19 shows a negative influence with lower expected returns in the second wave. The sentiment of investors contrasts from the lower expected return in the first wave to the higher expected return in the second wave of the pandemic. Moreover, investors’ sentiment in a state of fear is associated with lower returns.Originality/valueThe authors capture sentiment based on attention and investors mood using novel data set during the COVID-19 pandemic shock. The study is among a few which take a comprehensive stock market response during initial and subsequent waves across sector returns.
