A Study of Holiday Effect on Sensex Returns in the Indian Market

The purpose of this study is to investigate the existence of the holiday effect in Indian BSE Sensex Indices. This study expands the literature on the developing and developed financial markets and the holiday effect in their respective stock indices. This study examines the holiday effect in Indian BSE Sensex returns from 31 December 2009 to 28 December 2015. This study considered the preholiday sensex return and the post holiday sensex return and the influence of National holiday on the sensex return. The six National holidays considered for the study are New Years Day, Republic Day, May Day, Independence Day, Gandhi Jayanthi and Christmas Day. The Wilcoxon signed-rank test of non-parametric statistical hypothesis test is used to compare the two related samples to assess whether their population means ranks differ. From the results it is found that there is a significant change in the post holiday sensex returns for the above mentioned period.