Journal Press India^®

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Seasonality is periodical and repetitive change in a time series data. It is present in many fields such as production, sales and asset market. Seasonality in return from the stock markets has been the interesting topic for researchers and investors. Although researchers do not agree on the existence of seasonality, supporters of Efficient Market Hypothesis negate seasonality. This research paper analyses Indian and US stock market to validate the existence of any seasonality persistence in any day of the week or any month of the year interval. Data before and after the global crisis of 2008 has been analysed separately to examine if there a change in the pattern of seasonality after the crisis.

Keywords

Seasonality, Day-of-the-Week Effect, Month-of-the-Year Effect, CNX 500, S&P 500, Stock Market Index.

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