Modelling The Effect Of Calendar Anomalies On Stock Price Volatility Using Tgarch: Comparison Between NSE All Share Index And NSE 20 Share Index Markets.

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.