Presence of calendar anomalies in Indian commodity markets: Empirical evidence on Nkrishi and MCX-Agri

The presence of calendar anomalies infinancial markets challenges the notion of market efficiency and provides opportunities to the market participants for earning abnormal returns based on past prices and the available information. The present study deals with testing of wide range of 12 different calendar anomalies in Indian commodity market using daily closing prices of 2 commodity market indices namely Nkrishi of NCDEX and MCX-Agri of MCX commodity exchanges over a period from 2009 to 2019. The results from dummy regression analysis revealed the presence of week of the month effect, month of the year effect, semi-month effect and turn of the tax year effect in Indian commodity market and indicates that Indian commodity market is weakly inefficient.