FACTORS AFFECTING SEASONALITY IN THE STOCK MARKET: A SOCIAL NETWORK ANALYSIS APPROACH
Keywords:
Seasonality Effect; Stock Market; Social Network Analysis (SNA); Efficient Market Hypothesis (EMH)
Abstract
The study aims at identifying the factors influencing the seasonality effect in the stock market and further identifying the relationship between the influencing factors. The study aims at conducting a complete analysis of the influencing factors along with measuring their impact on seasonality using Social Network Analysis (SNA). The factors affecting the seasonality effect in the stock market were identified through the literature review. Experts’ opinions were sought for determining the relationship among the factors and finally, the importance of those factors was analyzed using Social Network Analysis (SNA). It was found that volatility is the most important factor affecting the other factors of seasonality and consequently seasonality effect finally. Besides, earning announcements, dividend, and January effects strongly influence the effect of seasonality in the stock market because of their higher in-degree and out-degree. To understand the mechanism of the stock market, the policymakers need to impart training to the investors through awareness campaign or by opening learning investors’ Club at different places. With this they can evaluate their standing in the stock market and the capability of bearing the risk which, in the long run, will be reflected in their investment behavior along with that the culture of equity investing will also be promoted among the investors.
References
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Al-Hajieh, H., Redhead, K. & Rodgers, T. (2011). Investor sentiment and calendar anomaly effects: A case study of the impact of Ramadan on Islamic Middle Eastern markets. Research in International Business and Finance, 25(3), 345-356.
Anjum, S. (2020). Impact of market anomalies on the stock exchange: a comparative study of KSE and PSX. Future Business Journal, 6(1), 1-11.
Bhattacharjee, J. & Singh, R. (2017). Awareness about equity investment among retail investors: a kaleidoscopic view. Qualitative Research in Financial Markets, 9 (4), 310-324
Białkowski, J., Etebari, A. & Wisniewski, T. P. (2012). Fast profits: Investor sentiment and stock returns during Ramadan. Journal of Banking & Finance, 36(3), 835-845.
Bialkowski, J., Etebari, A. & Wisniewski, T.P. (2010). Piety and Profits: Stock Market Anomaly during the Muslim Holy Month. Finance and Corporate, 44(0), 1-49.
Bordoloi, D., Singh, R., Bhattacharjee, J. & Bezborah, P. (2020). Assessing the Awareness of Islamic Law on Equity Investment in State of Assam, India. Journal of Islamic Finance, 9(1), 001-012.
Boudreaux, D. O. (1995). The monthly effect in international stock markets: evidence and implications. Journal of Financial and Strategic Decisions, 8(1), 15-20.
Choudhury, M., Singh, R., & Saikia, H. (2016). Measuring Customer Experience in Bancassurance: An Empirical Study. Trziste, 28(1), 47.
Chowdhury, S. S. H., Sadique, M. S., & Rahman, M. A. (2001). Capital market seasonality: The case of Dhaka stock exchange (DSE) returns. South Asian Journal of Management, 8(3), 1-7.
Cooper, M. J., McConnell, J. J., & Ovtchinnikov, A. V. (2006). The other January effect. Journal of financial economics, 82(2), 315-341.
Das, P., & Rao, S. P. (2011). Value Premiums and The January Effect: International Evidence. The International Journal of Business and Finance Research, 5(4), 1-15.
Dash, M., Sabharwal, M., & Dutta, A. (2011). Seasonality and market crash in Indian Stock Markets. Available at SSRN 1785112.
De Bondt, W. F., & Thaler, R. H. (1985). Does the stock market overreact? The Journal of Finance, 40(3), 793-805.
De Bondt, W. F., & Thaler, R. H. (1987). Further evidence on investor overreaction and stock market seasonality. The Journal of Finance, 42(3), 557-581.
Easterday, K. E., Sen, P. K., & Stephan, J. A. (2009). The persistence of the small firm/January effect: is it consistent with investors’ learning and arbitrage efforts? The Quarterly Review of Economics and Finance, 49(3), 1172-1193.
Elsewarapu, V. R., & Reinganum, M. (1993). The Seasonal Behavior of Liquidity Premium in Asset pricing. Journal of Financial Economics, 34(3), 373-386.
Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance, 25(2), 383-417.
Frankfurter, G. M., & McGoun, E. G. (2001). Anomalies in finance: What are they and what are they good for? International review of financial analysis, 10(4), 407-429.
Gultekin, M. N., & Gultekin, N. B. (1983). Stock market seasonality: International evidence. Journal of financial economics, 12(4), 469-481
Guo, S., & Wang, Z. (2008). Market efficiency anomalies: A study of seasonality effect on the Chinese stock exchange (full-textbook).
Hayati, R., Irman, M., & Agia, L. N. (2020). Sell in May and Go Away or Just Another January Effect? Studied of Anomaly in Indonesia Stock Exchange. International Journal of Economics Development Research (IJEDR), 1(1), 45-56.
Heston, S. L., & Sadka, R. (2008). Seasonality in the cross-section of stock returns. Journal of Financial Economics, 87(2), 418-445.
Husain, F. (1998). Seasonality in the Pakistani equity market: The Ramadhan effect. The Pakistan Development Review, 37(1) 77-81.
Jebran, K., & Chen, S. (2017). Examining anomalies in the Islamic equity market of Pakistan. Journal of Sustainable Finance & Investment, 7(3), 275-289.
Kajol, K., Biswas, P., Singh, R., Moid, S., & Das, A. K. (2020). Factors affecting disposition effect in equity investment: A Social Network Analysis approach. International Journal of Accounting & Finance Review, 5(3), 64-86.
Kang, M. (2010). Probability of information-based trading and the January effect. Journal of Banking & Finance, 34(12), 2985-2994.
Keim, D. B. (1983). Size-related anomalies and stock return seasonality: Further empirical evidence. Journal of financial economics, 12(1), 13-32.
Keim, D. B. (1985). Dividend yields and stock returns: Implications of abnormal January returns. Journal of Financial Economics, 14(3), 473-489.
Keim, D. B., & Stambaugh, R. F. (1984). A further investigation of the weekend effect in stock returns. The journal of finance, 39(3), 819-835.
Kim, D. (2006). On the information uncertainty risk and the January effect. The Journal of Business, 79(4), 2127-2162.
Kok, K. L., & Wong, Y. C. (2004). Seasonal anomalies of stocks in ASEAN equity markets. Sunway Academic Journal, 1,1-11.
Kuria, A. M., & Riro, G. K. (2013). Stock market anomalies: A study of seasonal effects on average returns of Nairobi securities exchange. Research journal of finance and accounting, 4(7), 207-215.
Kushwah, S. V., & Munshi, M. S. (2018) The Effect of Seasonality over Stock Exchanges in India. Amity Journal of Management, 4(2) 46-53.
Lakonishok, J., & Smidt, S. (1988). Are seasonal anomalies real? A ninety-year perspective. The review of financial studies, 1(4), 403-425.
Latif, M., Arshad, S., Fatima, M., & Farooq, S. (2011). Market efficiency, market anomalies, causes, evidence, and some behavioral aspects of market anomalies. Research journal of finance and accounting, 2(9), 1-13.
Loosemore, M. (1998). Social network analysis: using a quantitative tool within an interpretative context to explore the management of construction crises. Engineering Construction and Architectural Management, 5(4), 315-326.
Majeed, U., Raheman, A., Sohail, M. K., Bhatti, G. A., & Zulfiqar, B. (2015). Islamic calendar events and stock market reaction: Evidence from Pakistan. Science International, 27(3), 2559-2567.
Milošević-Avdalović, S., & Milenković, I. (2017). January effect on stock returns: Evidence from emerging Balkan equity markets. Industrija, 45(4), 7-21.
Mustafa, K., & Nishat, M. (2008). Trading volume and serial correlation in stock returns in Pakistan. Philippine Review of Economics, 45(2), 1-11.
Reinganum, M. R. (1983). The anomalous stock market behavior of small firms in January: Empirical tests for tax-loss selling effects. Journal of financial economics, 12(1), 89-104.
Rozeff, M. S., & Kinney Jr, W. R. (1976). Capital market seasonality: The case of stock returns. Journal of financial economics, 3(4), 379-402.
Safeer, M., & Kevin, S. (2014). A study on market anomalies in the Indian stock market. International Journal of Business Administration Research Review, 1(3),128-137.
Schabek, T., & Castro, H. (2017). “Sell not only in May”. Seasonal Effect on Emerging and Developed Stock Markets. Dynamic Econometric Models, 17(1), 5-18.
Seyyed, F. J., Abraham, A., & Al-Hajji, M. (2005). Seasonality in stock returns and volatility: The Ramadan effect. Research in International Business and Finance, 19(3), 374-383.
Singh, R. & Barman, H. (2011). Learning Investors’ Club. IMT Case Journal, 1(2), 39-47.
Singh, R. & Bhowal, A. (2009b). Marketing Mix Driven Measure of Risk Perception in Respect of Equity Shares. Pacific Business Review, 2(2), 1-12
Singh, R. (2009). Behavioural Finance-A Kaleidoscopic View. BVIMSR’s Journal of Management Research, 1(3), 313-321.
Singh, R. (2010a). Investors’ Psychology and Equity Investment Decisions. Invertis Journal of Management, 2(2), 89-95
Singh, R. (2010b). Behavioural Finance Studies: Emergence and Developments. Journal of Contemporary Management Research, 4(2).
Singh, R. (2011). Equity investment culture and entrepreneurship culture-initiation and adaptation. Pacific Business Review International, 4(1), 66-71.
Singh, R., & Bhattacharjee, J. (2019). Measuring Equity Share Related Risk Perception of Investors in Economically Backward Regions. Risks, 7(1), 12.
Singh, R., & Bhowal, A. (2008). Risk Perception. The Theoretical Kaleidoscope. Vanijya, 18, 54-63.
Singh, R., & Bhowal, A. (2009a). Risk perception dynamics and equity share investment behavior. Indian Journal of Finance, 3(6), 23-30.
Singh, R., & Bhowal, A. (2010). Imparting investment education to employees by the employer: an expectation-experience gap study. Amity Management Analyst, 5(2), 57-65.
Singh, R., & Bhowal, A. (2011). Development of a marketing‐driven measure of risk perception. The Journal of Risk Finance, 12(2), 140-152.
Singh, R., & Bhowal, A. (2012). Marketing dimension of equity-related risk perception of employees: Own company’s shares vs other company’s shares. Management Insight, 6(2), 22-36
Singh, R., & Kar, H. (2011). Do the highly educated subscribers aware of it? New pension scheme in India. SIBACA Management Review, 1(1), 8-16.
Singh, S., & Das, C. (2020). Calendar Anomalies in the Banking and it Index: The Indian Experience. Asian Economic and Financial Review, 10(4), 439-448.
Thaler, R. H. (1987). Anomalies: The January effect. Journal of economic perspectives, 1(1), 197-201.
Ullah, I., Ullah, S., & Ali, F. (2016). Market Efficiency Anomalies: A Study of January Effect In Karachi Stock Market. Journal of Managerial Sciences 10(1), 32-44.
Umadevi, V. (2013). Case study–centrality measure analysis on co-authorship network. Journal of Global Research in Computer Science, 4(1), 67-70.
Varadharajan, P., & Vikkraman, P. (2011). Impact of Pre and Post Budget on Stock Market Volatility Between 2001 to 2011. Journal of contemporary research in management, 6(4), 49-64.
Wachtel, S. B. (1942). Certain observations on seasonal movements in stock prices. The journal of business of the University of Chicago, 15(2), 184-193.
Wasserman, S., & Faust, K. (1994). Social network analysis: Methods and applications. Cambridge: Cambridge University Press.
Woo, K. Y., Mai, C., McAleer, M., & Wong, W. K. (2020). Review on efficiency and anomalies in stock markets. Economies, 8(1), 20.
Ahsan, A. M. & Sarkar, A. H. (2013). Does January Effect Exist in Bangladesh? International Journal of Business and Management, 8(7), 82-89.
Al-Hajieh, H., Redhead, K. & Rodgers, T. (2011). Investor sentiment and calendar anomaly effects: A case study of the impact of Ramadan on Islamic Middle Eastern markets. Research in International Business and Finance, 25(3), 345-356.
Anjum, S. (2020). Impact of market anomalies on the stock exchange: a comparative study of KSE and PSX. Future Business Journal, 6(1), 1-11.
Bhattacharjee, J. & Singh, R. (2017). Awareness about equity investment among retail investors: a kaleidoscopic view. Qualitative Research in Financial Markets, 9 (4), 310-324
Białkowski, J., Etebari, A. & Wisniewski, T. P. (2012). Fast profits: Investor sentiment and stock returns during Ramadan. Journal of Banking & Finance, 36(3), 835-845.
Bialkowski, J., Etebari, A. & Wisniewski, T.P. (2010). Piety and Profits: Stock Market Anomaly during the Muslim Holy Month. Finance and Corporate, 44(0), 1-49.
Bordoloi, D., Singh, R., Bhattacharjee, J. & Bezborah, P. (2020). Assessing the Awareness of Islamic Law on Equity Investment in State of Assam, India. Journal of Islamic Finance, 9(1), 001-012.
Boudreaux, D. O. (1995). The monthly effect in international stock markets: evidence and implications. Journal of Financial and Strategic Decisions, 8(1), 15-20.
Choudhury, M., Singh, R., & Saikia, H. (2016). Measuring Customer Experience in Bancassurance: An Empirical Study. Trziste, 28(1), 47.
Chowdhury, S. S. H., Sadique, M. S., & Rahman, M. A. (2001). Capital market seasonality: The case of Dhaka stock exchange (DSE) returns. South Asian Journal of Management, 8(3), 1-7.
Cooper, M. J., McConnell, J. J., & Ovtchinnikov, A. V. (2006). The other January effect. Journal of financial economics, 82(2), 315-341.
Das, P., & Rao, S. P. (2011). Value Premiums and The January Effect: International Evidence. The International Journal of Business and Finance Research, 5(4), 1-15.
Dash, M., Sabharwal, M., & Dutta, A. (2011). Seasonality and market crash in Indian Stock Markets. Available at SSRN 1785112.
De Bondt, W. F., & Thaler, R. H. (1985). Does the stock market overreact? The Journal of Finance, 40(3), 793-805.
De Bondt, W. F., & Thaler, R. H. (1987). Further evidence on investor overreaction and stock market seasonality. The Journal of Finance, 42(3), 557-581.
Easterday, K. E., Sen, P. K., & Stephan, J. A. (2009). The persistence of the small firm/January effect: is it consistent with investors’ learning and arbitrage efforts? The Quarterly Review of Economics and Finance, 49(3), 1172-1193.
Elsewarapu, V. R., & Reinganum, M. (1993). The Seasonal Behavior of Liquidity Premium in Asset pricing. Journal of Financial Economics, 34(3), 373-386.
Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance, 25(2), 383-417.
Frankfurter, G. M., & McGoun, E. G. (2001). Anomalies in finance: What are they and what are they good for? International review of financial analysis, 10(4), 407-429.
Gultekin, M. N., & Gultekin, N. B. (1983). Stock market seasonality: International evidence. Journal of financial economics, 12(4), 469-481
Guo, S., & Wang, Z. (2008). Market efficiency anomalies: A study of seasonality effect on the Chinese stock exchange (full-textbook).
Hayati, R., Irman, M., & Agia, L. N. (2020). Sell in May and Go Away or Just Another January Effect? Studied of Anomaly in Indonesia Stock Exchange. International Journal of Economics Development Research (IJEDR), 1(1), 45-56.
Heston, S. L., & Sadka, R. (2008). Seasonality in the cross-section of stock returns. Journal of Financial Economics, 87(2), 418-445.
Husain, F. (1998). Seasonality in the Pakistani equity market: The Ramadhan effect. The Pakistan Development Review, 37(1) 77-81.
Jebran, K., & Chen, S. (2017). Examining anomalies in the Islamic equity market of Pakistan. Journal of Sustainable Finance & Investment, 7(3), 275-289.
Kajol, K., Biswas, P., Singh, R., Moid, S., & Das, A. K. (2020). Factors affecting disposition effect in equity investment: A Social Network Analysis approach. International Journal of Accounting & Finance Review, 5(3), 64-86.
Kang, M. (2010). Probability of information-based trading and the January effect. Journal of Banking & Finance, 34(12), 2985-2994.
Keim, D. B. (1983). Size-related anomalies and stock return seasonality: Further empirical evidence. Journal of financial economics, 12(1), 13-32.
Keim, D. B. (1985). Dividend yields and stock returns: Implications of abnormal January returns. Journal of Financial Economics, 14(3), 473-489.
Keim, D. B., & Stambaugh, R. F. (1984). A further investigation of the weekend effect in stock returns. The journal of finance, 39(3), 819-835.
Kim, D. (2006). On the information uncertainty risk and the January effect. The Journal of Business, 79(4), 2127-2162.
Kok, K. L., & Wong, Y. C. (2004). Seasonal anomalies of stocks in ASEAN equity markets. Sunway Academic Journal, 1,1-11.
Kuria, A. M., & Riro, G. K. (2013). Stock market anomalies: A study of seasonal effects on average returns of Nairobi securities exchange. Research journal of finance and accounting, 4(7), 207-215.
Kushwah, S. V., & Munshi, M. S. (2018) The Effect of Seasonality over Stock Exchanges in India. Amity Journal of Management, 4(2) 46-53.
Lakonishok, J., & Smidt, S. (1988). Are seasonal anomalies real? A ninety-year perspective. The review of financial studies, 1(4), 403-425.
Latif, M., Arshad, S., Fatima, M., & Farooq, S. (2011). Market efficiency, market anomalies, causes, evidence, and some behavioral aspects of market anomalies. Research journal of finance and accounting, 2(9), 1-13.
Loosemore, M. (1998). Social network analysis: using a quantitative tool within an interpretative context to explore the management of construction crises. Engineering Construction and Architectural Management, 5(4), 315-326.
Majeed, U., Raheman, A., Sohail, M. K., Bhatti, G. A., & Zulfiqar, B. (2015). Islamic calendar events and stock market reaction: Evidence from Pakistan. Science International, 27(3), 2559-2567.
Milošević-Avdalović, S., & Milenković, I. (2017). January effect on stock returns: Evidence from emerging Balkan equity markets. Industrija, 45(4), 7-21.
Mustafa, K., & Nishat, M. (2008). Trading volume and serial correlation in stock returns in Pakistan. Philippine Review of Economics, 45(2), 1-11.
Reinganum, M. R. (1983). The anomalous stock market behavior of small firms in January: Empirical tests for tax-loss selling effects. Journal of financial economics, 12(1), 89-104.
Rozeff, M. S., & Kinney Jr, W. R. (1976). Capital market seasonality: The case of stock returns. Journal of financial economics, 3(4), 379-402.
Safeer, M., & Kevin, S. (2014). A study on market anomalies in the Indian stock market. International Journal of Business Administration Research Review, 1(3),128-137.
Schabek, T., & Castro, H. (2017). “Sell not only in May”. Seasonal Effect on Emerging and Developed Stock Markets. Dynamic Econometric Models, 17(1), 5-18.
Seyyed, F. J., Abraham, A., & Al-Hajji, M. (2005). Seasonality in stock returns and volatility: The Ramadan effect. Research in International Business and Finance, 19(3), 374-383.
Singh, R. & Barman, H. (2011). Learning Investors’ Club. IMT Case Journal, 1(2), 39-47.
Singh, R. & Bhowal, A. (2009b). Marketing Mix Driven Measure of Risk Perception in Respect of Equity Shares. Pacific Business Review, 2(2), 1-12
Singh, R. (2009). Behavioural Finance-A Kaleidoscopic View. BVIMSR’s Journal of Management Research, 1(3), 313-321.
Singh, R. (2010a). Investors’ Psychology and Equity Investment Decisions. Invertis Journal of Management, 2(2), 89-95
Singh, R. (2010b). Behavioural Finance Studies: Emergence and Developments. Journal of Contemporary Management Research, 4(2).
Singh, R. (2011). Equity investment culture and entrepreneurship culture-initiation and adaptation. Pacific Business Review International, 4(1), 66-71.
Singh, R., & Bhattacharjee, J. (2019). Measuring Equity Share Related Risk Perception of Investors in Economically Backward Regions. Risks, 7(1), 12.
Singh, R., & Bhowal, A. (2008). Risk Perception. The Theoretical Kaleidoscope. Vanijya, 18, 54-63.
Singh, R., & Bhowal, A. (2009a). Risk perception dynamics and equity share investment behavior. Indian Journal of Finance, 3(6), 23-30.
Singh, R., & Bhowal, A. (2010). Imparting investment education to employees by the employer: an expectation-experience gap study. Amity Management Analyst, 5(2), 57-65.
Singh, R., & Bhowal, A. (2011). Development of a marketing‐driven measure of risk perception. The Journal of Risk Finance, 12(2), 140-152.
Singh, R., & Bhowal, A. (2012). Marketing dimension of equity-related risk perception of employees: Own company’s shares vs other company’s shares. Management Insight, 6(2), 22-36
Singh, R., & Kar, H. (2011). Do the highly educated subscribers aware of it? New pension scheme in India. SIBACA Management Review, 1(1), 8-16.
Singh, S., & Das, C. (2020). Calendar Anomalies in the Banking and it Index: The Indian Experience. Asian Economic and Financial Review, 10(4), 439-448.
Thaler, R. H. (1987). Anomalies: The January effect. Journal of economic perspectives, 1(1), 197-201.
Ullah, I., Ullah, S., & Ali, F. (2016). Market Efficiency Anomalies: A Study of January Effect In Karachi Stock Market. Journal of Managerial Sciences 10(1), 32-44.
Umadevi, V. (2013). Case study–centrality measure analysis on co-authorship network. Journal of Global Research in Computer Science, 4(1), 67-70.
Varadharajan, P., & Vikkraman, P. (2011). Impact of Pre and Post Budget on Stock Market Volatility Between 2001 to 2011. Journal of contemporary research in management, 6(4), 49-64.
Wachtel, S. B. (1942). Certain observations on seasonal movements in stock prices. The journal of business of the University of Chicago, 15(2), 184-193.
Wasserman, S., & Faust, K. (1994). Social network analysis: Methods and applications. Cambridge: Cambridge University Press.
Woo, K. Y., Mai, C., McAleer, M., & Wong, W. K. (2020). Review on efficiency and anomalies in stock markets. Economies, 8(1), 20.
Published
2020-11-24
How to Cite
Kajol, K., Nath, M., Singh, R., Singh, H. R., & Das, A. K. (2020). FACTORS AFFECTING SEASONALITY IN THE STOCK MARKET: A SOCIAL NETWORK ANALYSIS APPROACH. International Journal of Accounting & Finance Review, 5(4), 39-59. https://doi.org/10.46281/ijafr.v5i4.888
Section
Regular Research Article/ Short Communication Article
Copyright (c) 2020 K. Kajol, Mausami Nath, Ranjit Singh, H. Ramananad Singh, Amit Kumar Das
This work is licensed under a Creative Commons Attribution 4.0 International License.
