Linkages Between Festivals and Stock Market Returns: A Study of Indian Stock Market


  • Kokila Kalimuthu VIT Business School Vellore Institute of Technology, Chennai, Tamil Nadu, India Author
  • Shaik Saleem VIT Business School Vellore Institute of Technology, Chennai, Tamil Nadu, India Corresponding Author



Nifty 50, Sectoral Indices, festivals, paired t-test, granger casualty test


Purpose –The aim of this paper is to analyse the performance of the Nifty 50 and selected sectoral indices. Further, an attempt is made to examine the effect of various festivals on the performance of these indices.

Design/methodology/approach – For study purposes, closing prices of Nifty 50 and selected sectoral indices have been collected from the NSE India for the period of January 1, 2016, to December 31, 2021. The study employs descriptive statistics to know about the sample mean, standard deviation, sample variance, maximum, minimum, skewness, and kurtosis. Paired t-test was used to compare the returns of indices before and after the festival. Unit root test was used to test stationarity. Finally, the Granger causality test was applied to study the relationship between the Nifty 50 and sectoral indices returns.

Findings – According to this study, higher returns have been found for indices during Ramadhan and Christmas. Investors purchasing and selling behaviour is more positive during these times. During the pre-covid 19 period, Christmas is the only festival that shows positive returns in all sectoral indices. There is a positive return of all indices on Ramadhan and Diwali days during covid 19 period. The paired sample t-test showed that among all the festivals, Diwali is the only festival, which has an impact on the Nifty 50 and Nifty Auto index. The Granger causality test discovered a bidirectional relationship between Nifty Oil & Gas and Nifty health care, as well as Nifty 50 and Nifty Bank.

Originality/value – Festivals are one of the factors that attract investors into the market. It implants a positive attitude in the minds of investors. Decision science enables investors to analyse, quantify, and track the performance of their investments in different sectors. The findings of the study would be useful to investors, to come up with some investment strategies and maximize their returns during the festival season.  Fund managers can restructure and allocate their funds based on sectoral indices performance.

Author Biography

  • Kokila Kalimuthu, VIT Business School Vellore Institute of Technology, Chennai, Tamil Nadu, India

    Research Scholar, VIT Business School, Vellore Institute of Technology,  Vandalur - Kelambakkam Road, Chennai, Tamil Nadu - 600127, India


Adebayo, T. S., Saint Akadiri, S., & Rjoub, H. (2022a). On the relationship between economic policy uncertainty, geopolitical risk and stock market returns in South Korea: a quantile causality analysis. Annals of Financial Economics, 17(1), 2250005.

Adebayo, T. S., Kirikkaleli, D., & Rjoub, H. (2022b). Time–frequency analysis between economic risk and financial risk in the mint nations: what causes what? Annals of Financial Economics, 17(02), 2250013.

Agrawal. A, Gupta.D & Gupta.S (2014). Seasonality and stock index return: A study of Diwali festival. Financial Matters in Global Perspective [Internet], Gwalior: Prestige Institute of Management, 307-11, ISBN: 978-93-85000-28-7.

Al-Hajieh, H., Redhead, K., & Rodgers, T. (2011). Investor sentiment and calendar anomaly effects: A case study of the impact of Ramadhan on Islamic Middle Eastern markets. Research in International Business and Finance, 25(3), 345-356.

Al-Ississ, M. (2015). The holy day effect. Journal of Behavioral and Experimental Finance, 5, 60-80.

Alam, M. M., Wei, H., & Wahid, A. N. (2021). COVID‐19 outbreak and sectoral performance of the Australian stock market: An event study analysis. Australian economic papers, 60(3), 482-495.

Alaoui Mdaghri, A., Raghibi, A., Thanh, C. N., & Oubdi, L. (2021). Stock market liquidity, the great lockdown and the COVID-19 global pandemic nexus in MENA countries. Review of Behavioral Finance, 13(1), 51-68.

Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A., & Alhammadi, S. (2020). Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of behavioral and experimental finance, 27, 100326.

Ali, I., Akhter, W., & Ashraf (2017). Impact of Muslim Holy Days on Asian stock markets: Empirical evidence. Cogent Economics & Finance, 5:1311096, http:/

Ali, M., Alam, N., & Rizvi, S. A. R. (2020). Coronavirus (COVID-19)—An epidemic or pandemic for financial markets. Journal of Behavioral and Experimental Finance, 27, 100341.

Aravind (2017). The Dynamic Linkage Among Sectoral Indices: Evidence from Indian Stock Market. Rajagiri Management Journal, 11(2),

Ashari & Y. Soesetio (2021). Does Ramadhan affect abnormal return? Halal Development: Trends. Opportunities and Challenges, 26-31, ISBN 978-1-032-03830-8.

Atoq Ur Rehman Shah & Syed Nasir Ahmed (2014). The Ramadhan Effect on Stock Market. European Academic Research, 1(11), 4712-4720.

Badru, Bazeet and Awodiran, Muideen Adeseye (2021). A Case Study on the Effects of Ramadhan on Stock Market Behaviour. The Advances in Accounting, Management, Business and Economics Journal,

Bai, Z.D., Hui, Y.C., Jiang, D.D., Lv, Z.H., Wong, W.K., Zheng, S.H. (2018). A New Test of Multivariate Nonlinear Causality. PLoS ONE 13(1): e0185155.

Bai, Z.D., Li, H., Wong, W.K., Zhang, B.Z. (2011). Multivariate Causality Tests with Simulation and Application. Statistics and Probability Letters, 81(8), 1063–1071.

Bai, Z.D., Wong, W.K., Zhang, B.Z. (2010). Multivariate linear and nonlinear causality tests. Mathematics and Computers in Simulation, 81, 5–17.

Baig, A. S., Butt, H. A., Haroon, O., & Rizvi, S. A. R. (2021). Deaths, panic, lockdowns and US equity markets: The case of COVID-19 pandemic. Finance research letters, 38, 101701.

Bialkowski, J., Etebari, A. and Wisniewski, T.P. (2012). Fast profits: investors sentiments and stock returns during Ramadhan. Journal of Banking & Finance, 36(3), 835-845.

Curto, J. D., & Serrasqueiro, P. (2022). The impact of COVID-19 on S&P500 sector indices and FATANG stocks volatility: An expanded APARCH model. Finance Research Letters, 46, 102247.

Darsono, S. N. A. C., Wong, W. K., Nguyen, T. T. H., Jati, H. F., & Dewanti, D. S. (2022). Good governance and sustainable investment: The effects of governance indicators on stock market returns. Advances in Decision Sciences, 26(1), 69-101.

Dickey, D. A., Hasza, D. P., & Fuller, W. A. (1984). Testing for unit roots in seasonal time series. Journal of the American Statistical Association, 79(386), 355-367.

Gaur, S. S., & Chapnerkar, M. (2015). Indian festivals: the contribution they make to cultural and economic wellbeing - A case study of Ganapati Festival. Worldwide Hospitality and Tourism Themes, 7(4), 367 – 376.

Gavriilidis, K., Kallinterakis, V. & Tsalavoutas, I. (2016). Investor mood, herding and the Ramadhan effect. Journal of Economic Behavior & Organization, 132, 23-38.

George S. (2013). Demographic analysis of consumer behaviour on sales promotion: A study on consumer durable retailing during festivals. i-manager’s Journal o Management, 7(4).

George, S & Chandrasekar, K. S (2015). Segmentation of Consumer Durable Market in Kerala based on Festival Buying Motives. International Journal of Academic Research in Business and Social Sciences, 5(10), ISSN: 2222-6990.

Gupta, R., Majumdar, A., Nel, J., & Subramaniam, S. (2021). Geopolitical risks and the high-frequency movements of the US term structure of interest rates. Annals of Financial Economics, 16(3), 2150012.

Hamid, S. A., & Dhakar, T. S. (2003). A new perspective on the anomalies in the monthly closings of the Dow Jones Industrial Average. working paper no. 2003-04. The Center for Financial Studies, Southern New Hampshire University, New Hampshire.

Harneeth Singh (2018). Effect of Indian festivals on Nifty returns and the Indian VIX returns. Arthniti - The Department of Economics Research Journal, 1, ISSN 2277 - 1344.

Harshita, H., Singh, S., & Yadav, S. S. (2018). Calendar anomaly: Unique evidence from the Indian stock market. Journal of Advances in Management Research, 15(1), 87-108.

Harjoto, M. A., & Rossi, F. (2021). Market reaction to the COVID-19 pandemic: evidence from emerging markets. International Journal of Emerging Markets.

Hassan M.H & Kayser, M.S (2019). Ramadhan effect on stock market return and trade volume: Evidence from Dhaka Stock Exchange (DSE). Cogent Economics & Finance,

Hismendi H., Masbar R., Nazamuddin N., Majid M. S. A., & Suriani S. (2021). Sectoral Stock Markets and Economic Growth Nexus: Empirical Evidence from Indonesia. The Journal of Asian Finance, Economics and Business, 8(4), 11–19.

Hui, Y.C., Wong, W.K., Bai, Z.D., Zhu, Z.Z., (2017). A New Nonlinearity Test to Circumvent the Limitation of Volterra Expansion with Application. Journal of the Korean Statistical Society, 46(3), 365-374.

Karatas, C., & Unal, G. (2022). Causality, Information Flow, And Co-Movement Analysis of Major Stock Indices. Annals of Financial Economics, 17(03), 2250019.

Kedia, S. G. R. K. N (2016). The study of the impact of Indian festivals on the stock market indices of BRICS countries. Amity Journal of Management, 4(1).

Kelikume, I. (2016). New evidence from the efficient market hypothesis for the Nigerian stock index using the wavelet unit root test approach. The Journal of Developing Areas, 50(5), 185-197.

Khanna. P & Sampat. B (2015). Factors Influencing Online Shopping During Diwali Festival 2014: Case Study of Flipkart and Amazon. Journal of International Technology and Information Management, 24(2), Article 5.

Khan, D., Ullah, S., & Asif, M (2016). Islamic Calendar Anomalies: A Study of Ramadhan Effect on Pakistan Stock Exchange. Journal of Managerial Sciences, 9(4).

Kiryanto, K., Kartika, I., & Zaenudin, Z. (2022). Stock price reaction on ISO 9001 certification announcement: Evidence from Indonesia. International Journal of Quality & Reliability Management, 39(2), 612-629.

Kumar, Harish and Jawa, Rachna (2017). Efficient Market Hypothesis and Calendar Effects: Empirical evidences from the Indian Stock Markets. Business Analyst, 37(2), 145-160.

Kurisetti, P., Yeldandi, S & Perumandla, S. (2018). Test of Co-integration and Equilibrium Relationship among the Selected Sectoral Indices: Empirical Evidence from NSE India. Pacific Business Review International, 10(11).

Lv, Z., Chu, A. M., McAleer, M., & Wong, W. K. (2019). Modelling economic growth, carbon emissions, and fossil fuel consumption in China: Cointegration and multivariate causality. International Journal of Environmental Research and Public Health, 16(21), 4176.

Maheta, D.D (2014). Festival effect in the Indian stock market. Peer-Reviewed International Journal, 2(5).

Misra, S. Srivastava and D.K. Banwet (2019). Do religious and conscious investors make better economic decisions? evidence from India. Journal of Behavioral and Experimental Finance,

Mohammad Salahuddin Chowdhury & Tarik Hasan (2019). Ramadhan Effect on the Stock Market: A Study on some selected Muslim Countries. Journal of Financial Services, 11(2), ISSN: 1990-5157.

Munusamy.D (2018). Islamic calendar and stock market behaviour in India. International Journal of Social Economics, 45(11), 1550-1566.

Munusamy.D & Natarajan.P (2011). Seasonal Anomalies between S&P CNX Nifty Shariah Index and S&P CNX Nifty Index in India. Journal of Social and Development Sciences, 1(3), 101-108.

Nayak K B (2003). Festivals in India: A Theoretical consideration. Discovery publishing house, 121-144, ISBN: 81-7141-640-3.

Nguyen, C. T., Hai, P. T., & Nguyen, H. K. (2021). Stock market returns and liquidity during the COVID-19 outbreak: Evidence from the financial services sector in Vietnam. Asian journal of Economics and Banking, 5(3), 324-342.

Nippani, S., Washer, K. M., & Johnson, R. R. (2015). Yes, Virginia, there is a Santa Claus Rally: Statistical evidence supports higher returns globally. Journal of Financial Planning, 28(3), 55-60.

Norvaisiene, R., Stankeviciene, J., & Lakstutiene, A (2015). Seasonality in the Baltic Stock Markets. Procedia - Social and Behavioural Sciences, 468 – 473.

Pandey, S., Samanta, A., & Kumar, D. (2017). An Empirical Study on Relationship of Nifty & Sectoral Indices of National Stock Exchange. The Indian Journal of Commerce, 70(1).

Paramati, S.R. and Gupta, R. (2011). An empirical analysis of stock market performance and economic growth: Evidence from India. International Research Journal of Finance and Economics, 73, 133-149.

Patel, J. B. (2008). Calendar effects in the Indian stock market. International Business & Economics Research Journal (IBER), 7(3).

Prakash, N., & Yogesh, L. (2021). Market reaction to dividend announcements during pandemic: An event study. Vision, 09722629211066288.

Prasad R.S & Gangineni Danaiah (2016). Volatility of Sectoral Indices in Indian Stock Market: A Study of NSE. IJEMR, 6(11), ISSN 2249–2585.

Ramya K & Bhuvaneshwari D (2021). Dynamic Interaction Between Nifty 50 and Nifty Sectoral Indices: An Empirical Study on Indian Stock Indices. NMIMS Management Review, 24(2).

Rehman, M. U., & Shahzad, S. J. H. (2016). Investors’ sentiments and industry returns: Wavelet analysis through Squared Coherency Approach. ACRN Oxford Journal of Finance and Risk Perspectives, 5, 151-162.

Rjoub, H., Odugbesan, J. A., Adebayo, T. S., & Wong, W. K. (2021). Investigating the causal relationships among carbon emissions, economic growth, and life expectancy in Turkey: evidence from time and frequency domain causality techniques. Sustainability, 13(5), 2924.

Ryu, D., Kim, H., & Yang, H. (2017). Investor sentiment, trading behavior and stock returns. Applied Economics Letters, 24(12), 826-830.

Safeer, M., & Kevin, S. (2014). A study on market anomalies in Indian stock market. International Journal of Business and Administration Research Review, 1(3),128-137.

Sahoo, S., & Kumar, S. (2021). Existence of cointegration between the public and private bank index: Evidence from indian capital market. Advances in Decision Sciences, 25(4), 152-172.

Sankararaman, G., Murugesan, P., & Thomas, T. C. (2009). A Study on Astrological Impact Like Ragu Kalam, Yama Kantam, Ashtami And Navami On Investment Decisions. Journal of Contemporary Management Research, 3(2).

Saungweme, T. & Odhiambo, N.M. (2021). Inflation and Economic Growth in Kenya: An Empirical Examination. Advances in Decision Sciences, 25(3), 1-25.

Saurabh, S., & Dey, K. (2020). Unraveling the relationship between social moods and the stock market: Evidence from the United Kingdom. Journal of Behavioral and Experimental Finance, 100300, doi: 10.1016/j.jbef.2020.100300.

Senol, Z., & Zeren, F (2020). Coronavirus (COVID-19) and stock markets: The effects of the pandemic on the global economy. Eurasian Journal of Researches in Social and Economics, 7(4), 1-16.

Singh, K., & Kumar, V (2020). Dynamic linkage between Nifty 50 and sectoral indices of National Stock Exchange. American Journal of Economics and Business Management, 3(2).

Shanmugasundram, G., and D. John Benedict (2013). Volatility of the Indian sectoral indices–A study with reference to National Stock Exchange. International Journal of Marketing, Financial Services & Management Research, 8, 1-11.

Srikanth, P., & Ram, M. R. (2013). Economic Impact of Festivals: Evidence from Diwali effect on Indian stock market. Researchers-world: Journal of Arts, Science & Commerce, 4, 27-37.

Srilakshminarayana, G. (2021). Tail Behaviour of the Nifty-50 Stocks during Crises Periods. Advances in Decision Sciences, 25(4), 1-36.

Sobti, N. (2018). Does size, value and seasonal effects still persist in Indian equity markets? Vision, 22(1), 11-21.

Tan O.F & Ozlem S (2018). Ramadhan effect on stock market, Journal of Research in Business. 3(1), ISSN: 2636-8331, 77-98, DOI: 10.23892/JRB.2018.23.

Tiwari, A. K., Bathia, D., Bouri, E., & Gupta, R. (2021). Investor sentiment connectedness: evidence from linear and nonlinear causality approaches. Annals of Financial Economics, 16(04), 2150016.

Topcu, M., & Gulal, O. S. (2020). The impact of COVID-19 on emerging stock markets. Finance Research Letters, 36, 101691.

Urquhart, A., & McGroarty, F. (2014). Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run US data. International Review of Financial Analysis, 35, 154-166,

Varma M (2013). Fast and Festivals in India. Diamond books, 1-51, ISBN: 81-7182-076-X.

Vinnie Jauhari & Sandeep Munjal (2015). Fairs and festivals in India: the cultural and economic potential. Worldwide Hospitality and Tourism Themes, 7(4), 324 – 330.

Vo, D. H., Van Tuan, Q., & Pham, T. V. T. (2019). Sectoral risks in Vietnam and Malaysia: A comparative analysis. Advances in Decision Sciences, 23(1), 1-25.

Washer, K. M., Nippani, S., & Johnson, R. R. (2016). Santa Claus Rally and firm size. Managerial Finance, 42(8), 817-829.

Waryati Waryati, S. Y., Widiyanti, N., Suwarni, M. G., & Nandhya, A. N. (2021). The Impact of the Covid-19 Pandemic on Share Prices and Trade Volume of Shares in Indonesia Stock Exchange, The 3rd International Conference on Banking. Accounting, Management and Economics (ICOBAME 2020), 107-111.

Wasiuzzaman, S. and Al-Musehel, N.A. (2018). Mood, religious experience and the Ramadhan effect. International Journal of Emerging Markets, 13(1), 290-307.

Wen, F., Xiao, J., Xia, X., Chen, B., Xiao, Z., & Li, J. (2019). Oil prices and Chinese stock market: Nonlinear causality and volatility persistence. Emerging Markets Finance and Trade, 55(6), 1247-1263.

Yang, Z., Wang, M. C., Chang, T., Wong, W. K., & Li, F. (2022). Which Factors Determine CO2 Emissions in China? Trade Openness, Financial Development, Coal Consumption, Economic Growth or Urbanization: Quantile Granger Causality Test. Energies, 15(7), 2450.

Yunus Kasim, M., Muslimin, & Dwijaya, I. K. B. (2022). Market reaction to the Covid-19 pandemic: Events study at stocks listed on LQ45 index. Cogent Business & Management, 9(1), 2024979.



How to Cite

K, kokila, & Shaik, S. (2023). Linkages Between Festivals and Stock Market Returns: A Study of Indian Stock Market. Advances in Decision Sciences, 27(1), 115-142.