Stock market Anomalies: A study of Combined Effect of Seasonality and Size Effect in Indian Stock Market Ms. Kansal Priya1, Dr. Singh Seema2 1Research Scholar Delhi Technological University Delhi-110042 2Head and Associate Professor Department of Humanities Delhi Technological University Delhi-110042 JEL Classification: G12, G15, G31 Online published on 8 August, 2018. Abstract With the continuous release and rapid dissemination of new information, maintaining efficient markets are hard to achieve. There are many market anomalies, which occur once and disappear, while others are continuously observed. These anomalies usually relate to either macroeconomic factors, such as competition, lack of market transparency, regulatory actions or behavioral biases committed by economic agents. Anomalies could be fundamental, technical, or calendar related. Anomalies which are associated to a particular time are called seasonal effects. And the anomalies which are related to size of the stocks are called size effects. The present study investigates the seasonality and size effect in Indian stock Market. Along with this, the combined effect of seasonality and size has also studied. The results indicate that when these two anomalies combine, the returns are extremely abnormal. Top Keywords Market efficiency, efficient market hypothesis, tax-loss selling hypothesis, information hypothesis, size effect, seasonality. Top |