文档介绍：IIMB Management Review (2021) 33, 2–4
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IPPANI and Shekar SHETTY
Santa Claus rally refers to statistically than their larger counterparts in the 1991 period; (2) It was not evident in
higher positive returns in the stock mar- . market over the period 1926–2014. the pre-liberalisation period in the BSE
kets for the last five trading days of This study extends their analysis by SENSEX; (3) There is a size effect associ-
December and the first two days of the examining, in depth, the Indian stock ated with the Santa Claus rally in eight
following January. Nippani, Washer, and market. The MSCI SMALL, BSE 100, BSE sector-based sub-indices of Energy,
Johnson (2015) were the first to study 500, NIFTY and the BSE SENSEX are ana- Finance, Health Care, Infotech, Oil,
this phenomenon. Using difference of lysed separately to examine for the Power, Telecom and Utilities. The
means tests, the authors found statisti- Santa Claus rally effect. In case of the results are robust based on mean differ-
cally significant positive returns in the BSE SENSEX, the study also examines ence tests, non-parametric Mann-Whit-
stock markets of eight Christian-based for the effect during the years 1979– ney tests, which check for differences
and eight non-Christian-based c