Structural Breaks and Market Anomalies in Indian Stock Markets during Catastrophic Periods
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 analysing market behaviour.
© 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.
Article’s history: Received 27th of August, 2025; Revised 24th of September, 2025; Accepted for publication 30th of September, 2025; Available online: 7th of October, 2025; Published as article in Volume I, Issue 2(2), 2025.
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 2(2), 115-138. https://doi.org/10.57017/ajelg.v1.i2(2).01
Acknowledgments: The authors are thankful to anonymous referees for valuable comments and helpful suggestions in the earlier draft of the article. After careful revisions, if any error is found in the article, the responsibility solely lies on authors themselves.
Conflict of Interest Statement: The authors declare that the research was conducted in the absence of any commercial or financial relationships that could be construed as a potential conflict of interest.
Data Availability Statement: Data available on request: The data presented in this study are available on request from the corresponding author.
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