Calendar Anomalies in the stock market are those patterns that cannot be explained by traditional asset pricing models. Examples of such patterns include the January Effect, the Day-of-the-Week Effect, and the Week of the Month Effects. These anomalies allow investors to develop trading strategies to earn abnormal profits. Recent liberalization policies have led to significant capital flows from investors into India seeking to capitalize on promising and profitable business opportunities. The results of this study will be useful to such investors, traders, and arbitrageurs who can formulate profitable trading strategies to capitalize on calendar anomalies. The Securities and Exchange Board of India (SEBI) introduced the Compulsory Rolling Settlement System for stocks on January 02, 2002. This was expected to boost liquidity and thereby reduce the market risk of stocks to a considerable extent. The introduction of Rolling Settlement was also expected to lead to higher equity turnover and thereby potentially impact the anomalous behavior of stock prices. In this context, the study provides further evidence on the anomalous behavior of stocks in the Indian Stock Market during the Post Rolling Settlement Period from April 2002 to March 2010. The post rolling settlement testing period distinguishes this study from other contemporaneous studies on anomalous behavior of stocks in the Indian stock market that have overlapped both the pre and post rolling settlement period (7 & 16) and thereby provides a more robust basis for drawing conclusions.
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