Janet Jyothi D'souza

Calendar Anomalies and Volatility in the Indian Equity Market: Insight from 2008 Financial Crisis and COVID-19 Pandemic

Dinesh K & Janet Jyothi D'souza · Asian Journal of Economics, Business and Accounting · 2024

This study explores the presence of calendar anomalies in the Indian equity market during two economic shocks: the 2008 Global Financial Crisis and the COVID-19 pandemic. This study employed Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and Threshold GARCH mod...