The Size Effect Anomaly in the Indian Stock Market
DOI:
https://doi.org/10.33423/jabe.v26i3.7169Keywords:
business, economics, size effect, Indian stock market, anomalies, small-firm effect, calendar effects, January effect, April effect, December effectAbstract
The size effect in stock market implies that small firm stocks generate higher risk-adjusted returns from that of large firm stocks. We did not find a size effect in the Indian stock market for the period of October 2005 to September 2023. We also examined the prevalence of size effect separately by calendar months. Small firm stocks generated significantly higher returns from than of large firms in April and December. Alternately, we did not find a size effect during January, November-December and March to May. We conclude only April and December months’ exhibit a size effect in the Indian stock market.
References
BSE Website. (2023). Retrieved from www.bseindia.com
Cheung, Y., Leung, Y., & Wong, K. (1994). Small firm effect: Evidence from Korean Stock Exchange. Small Business Economics, 6, 373–379.
Gharghori, P., Lee, R., & Veeraraghavan, M. (2009). Anomalies and stock returns: Australian evidence. Accounting and Finance, 49, 555–576.
Hadi, A., Pyeman, J., & Mahmood, W. (2011). A quest for small firm effect: Evidence from KLSE Second Board. The IUP Journal of Financial Economics, 9(3), 28–39.
Harshita, Singh, S., & Yadav, S. (2018–2019). Size effect in Indian stock market: An anomaly or a methodological artifact. Journal of Financial Management and Analysis, 31, 71–81.
Leong, K.K., & Zaima, J.K. (1991). Further evidence of the small firm effect: A comparison of NYSE-AMEX and OTC stocks. Journal of Business Finance and Accounting, 18(1), 117–124.
Marquering, W., Nisser, J., & Valla, T. (2006). Disappearing Anomalies: A Dynamic Analysis of the Persistence of Anomalies. Applied Financial Economics, 16, 291–302.
Patel, J.B. (2003). Inter-temporal relationship between the U.S. stock market and the emerging markets of Asia. Journal of Business and Economics Research, 1(10), 1–6.
Patel, J.B. (2008). Calendar effects in the Indian stock market. International Business and Economics Research Journal, 7(3), 61–70.
Patel, J.B. (2012). A further analysis of small firm stock returns. Managerial Finance, 38(7), 653–659.
Patel, J.B. (2016). The January effect anomaly reexamined in stock returns. Journal of Applied Business Research, 32(1), 317–324.
Raj, M., & Kumari, D. (2006). Day-of-the-week and other market anomalies in the Indian stock market. International Journal of Emerging Markets, 1(3), 235–246.
Rogalski, R.J., & Tinic, S.M. (1986). The January size effect: Anomaly or risk mismeasurement? Financial Analysts Journal, pp. 63–70.
