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Author(s): Haritika Arora


DOI: 10.5958/2321-5763.2017.00138.X   

Address: Haritika Arora
Assistant Professor, C K D Institute of Management and Technology, Opp. Model Town, Near Railway Station, G.T. Road, Amritsar
*Corresponding Author

Published In:   Volume - 8,      Issue - 3,     Year - 2017

This paper examines Intraday market return patterns for Nifty 50 on the Indian stock market for the search of time and seasonal anomalies for Pre-Rolling settlement period and Post rolling settlement period. In light of all the consequences, it has been concluded from this study that there exists a significant time of the day effect exposed in two effects - the open jump effect and persistent end of session effect. The first 20 minutes of opening is significant for all days of the week, additionally, for Wednesday first 35 minutes is evident for pre-rolling settlement period. But in post rolling settlement period, only the first 20 minutes are found to have significant returns for all trading days. Further, the persistent end of session effect is seen for all trading days except for Monday (for Pre-Rolling settlement period) and Wednesday (for Post-Rolling settlement period).

Cite this article:
Haritika Arora. Intra-Daily Patterns of Nifty 50 Returns before and after Rolling Settlement on the National Stock Exchange. Asian J. Management; 2017; 8(3):893-900. doi: 10.5958/2321-5763.2017.00138.X

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DOI: 10.5958/2321-5763 

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