Abstract:
Inefficiency in the market may be explained by the volatility of the stock prices. This study
was conducted with the main objective being to establish the effect of calendar anomalies on
stock price volatility in NSE 20 Share Index market and NSE All Share Index market using
TGARCH model. The scope of study was NSE20 share Index Companies from 1994-2015
and NSE All Share Index Companies from 2008-2015 daily observations and designed first
by descriptive analysis then OLS lastly through Time series analysis. Results from NSE All
Share Index market from descriptive analysis to TGARCH model indicated market efficiency
concept and the time series as well as conditional variance plots showed response to political
instability unlike NSE 20 Share Index market results which showed the presence of DOW
effect and Calendar Month effect in time series analysis, OLS and descriptive analysis. On
the other hand, conditional variance and time series plots for NSE 20 Share Index only
identified postelection violence and not elections.
