Dublin Core The Dublin Core metadata element set is common to all Omeka records, including items, files, and collections. For more information see, http://dublincore.org/documents/dces/. Title A name given to the resource Articles Article Faculty Publications -Articles Dublin Core The Dublin Core metadata element set is common to all Omeka records, including items, files, and collections. For more information see, http://dublincore.org/documents/dces/. Title A name given to the resource Calendar anomalies in the Indian stock markets: Monsoon effect Subject The topic of the resource ADF test; Anomaly; EGARCH models; EMH; Monsoon effect Description An account of the resource This paper deals with identifying the presence of monsoon effect in the Indian stock market using EGARCH model as well as the impact on the volatility of returns of the selected indices during the monsoon months in India. Daily time series data of closing price of four major indices i.e. Nifty 50, Nifty Smallcap 100, Nifty Midcap 100 and Nifty 500 over a period of sixteen years (April 2002 to March 2018) were collected and analysed. The results substantiate the fact that monsoon effect is present in the Indian equity market. The returns of Nifty 50 and Nifty 500 indices during the month of September were significantly higher. There was also a significant increase in the volatility during the month of September. No significant change was detected during the monsoon months for Midcap 100 and Nifty Smallcap 100. Monsoon effect was found in indices tracking top performing 50 stocks and 500 stocks listed in NSE. Hence, it can be inferred that monsoon effect is present in the Indian stock market. 2019, Allied Academies. Creator An entity primarily responsible for making the resource Bajaj A.; Natchimuthu N.; Mary L. Source A related resource from which the described resource is derived Academy of Accounting and Financial Studies Journal, Vol-23, No. 2 Publisher An entity responsible for making the resource available Allied Business Academies Date A point or period of time associated with an event in the lifecycle of the resource 2019-01-01 Identifier An unambiguous reference to the resource within a given context <a href="" target="_blank" rel="noreferrer noopener"></a> <br /><br /><a href="https://www.scopus.com/inward/record.uri?eid=2-s2.0-85066258382&amp;partnerID=40&amp;md5=0fbbecbda2178cd1a47fa9f93de5944a" target="_blank" rel="noreferrer noopener">https://www.scopus.com/inward/record.uri?eid=2-s2.0-85066258382&amp;partnerID=40&amp;md5=0fbbecbda2178cd1a47fa9f93de5944a</a> Rights Information about rights held in and over the resource Restricted Access Relation A related resource ISSN: 10963685 Format The file format, physical medium, or dimensions of the resource Online Language A language of the resource English Type The nature or genre of the resource Article Coverage The spatial or temporal topic of the resource, the spatial applicability of the resource, or the jurisdiction under which the resource is relevant Bajaj A., Christ University, India; Natchimuthu N., Christ University, India; Mary L., Christ University, India