Capturing Monthly Anomaly from Outbreak of COVID-19 on Indian Stock Market: A Sectoral Analysis

This study examines the month-of-the-year effect during the global COVID-19 pandemic, which has extensively impacted financial markets worldwide, leading to unprecedented changes in volatility and causing significant domestic and global disruptions for investors for a brief period. To investigate this phenomenon, we analyzed 14 Indian sector indices selected from the Bombay Stock Exchange (BSE) Sensex. We applied an econometric model to explore the leverage effects. The outcomes show that the sector indices IT, Manufacturing, Metal, Oil & Gas, FMCG, Utilities, and PSU exhibited a December effect. However, the BSE Telecom sector demonstrates similar returns across all months. Furthermore, this confirms conflicting empirical findings regarding calendar anomalies. The commonly observed January effect did not show statistical significance for any of the 14 sectors. Additionally, the results were augmented using a conditional variance equation for residuals. These findings contribute to the diversification of investment strategies by exploring a more comprehensive range of sector stocks and by informing investment decisions.