Structural Breaks and Market Anomalies in Indian Stock Markets during Catastrophic Periods

Article DOI: https://doi.org/10.57017/ajelg.v1.i1(1).04

Author(s):

Arshi FIRDOUS Department of Commerce, University of Calcutta, India
Ray SARBAPRYA Department of Commerce, Vivekananda College, Thakurpukur, India

Abstract:

This study analyses the existence of structural breaks and market anomalies in the Indian stock market during catastrophic periods from 1990 to 2023. We employ OLS dummy variable techniques to identify seasonal anomalies and the Chow breakpoint test to detect structural breaks in the BSE and NSE indices. Our findings reveal a significant December effect in the NSE, while the BSE shows no such significant monthly anomalies. The Chow test results indicate that major crises, including the 1992 security scam, the 2008 global meltdown, the 2009 political regime change, and the 2020-21 pandemic, were significant catalysts for a continuing swing in the level of Indian stock indices.

This research contributes to the literature by demonstrating that while market anomalies can exist, structural breaks during catastrophic events are a more significant factor influencing the Indian stock market. Our findings have important practical implications for investors, policymakers, and regulators, highlighting the need to account for both seasonal effects and the impact of systemic crises when analyzing market behavior.

© The Author(s) 2025. Published by RITHA Publishing. This article is distributed under the terms of the license CC-BY 4.0., which permits any further distribution in any medium, provided the original work is properly cited maintaining attribution to the author(s) and the title of the work, journal citation and URL DOI.

How to cite:

Firdous, A. & Sarbapriya, R. (2025). Structural Breaks and Market anomalies in Indian Stock Markets during Catastrophic Periods. Applied Journal of Economics, Law and Governance, Volume I, Issue 1(1), 67-86. https://doi.org/10.57017/ajelg.v1.i1(1).04

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