Santa Claus rally and the Indian stock market: A comprehensive analysis

• Main Authors: Srinivas Nippani, Shekar Shetty
• Format: Article
• Language: English
• Published: Elsevier 2021-03-01
• Series: IIMB Management Review
• Subjects: Santa Claus rally effect; Indian stock market
• Online Access: http://www.sciencedirect.com/science/article/pii/S0970389621000173

The study examines the leading Indian stock market indices all of which reflect the “Santa Claus rally” effect where significantly higher daily returns accrue to investors in the last five trading days of December and the first two trading days of the following January. The study also reveals that the BSE SENSEX started exhibiting this effect only during the post-1991 period. Additionally, the results indicate that there is a size effect associated with the Santa Claus rally effect wherein small-cap companies outperform mid-cap and large-cap companies. The evidence also suggests that the effect is prominent in eight industry-specific sub-sectors.