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Financial Astrology and Behavioral Bias: Evidence from India
Asia-Pacific Financial Markets ( IF 2.5 ) Pub Date : 2020-07-02 , DOI: 10.1007/s10690-020-09310-8
Ashish Mahendra , Shiba Prasad Mohanty , S. Sudalaimuthu

Purpose of the study is to analyse the retrograde effect of mercury on Indian stock indices, i.e., Nifty50 and BSE Sensex. This paper presents and probes, whether the usually described phenomenon of the retrogratory effect of planets in Indian astrology persists in Indian stock indices. This research utilizes secondary data retrieved from Bloomberg from 1998 through 2018 of Nifty50 and BSE Sensex on a daily closing basis. Further, the study employs EGARCH (1,1) models to inspect the leverage effect in the market returns and the impact of the retrogratory movement of mercury on market returns. The interdisciplinary studies relating to Indian astrological concepts and financial trading strategy are very scant, wherefore, this study helps to unearth an anomaly-based trading strategy for the individual and institutional investors in the capital market. The study culminates that Indian stock indices observe the presence of asymmetry or the leverage effect during the retrogratory movement of Mercury, and a positive impact of Mercury retrograde movement on market returns. The scope of the study is limited to major stock indices of India and considers only the retrogratory movement of mercury to trace the evidence of behavioral bias in the financial market. This paper furnishes a unique empirical approach to investigate the influence of cultural variable on behavioral bias in Indian stock indices under the influence of the retrograde movement of mercury inciting asymmetric information and market anomaly.

中文翻译:

金融占星术和行为偏见:来自印度的证据

该研究的目的是分析汞对印度股票指数的逆行效应,即 Nifty50 和 BSE Sensex。本文提出并探讨了印度占星术中通常描述的行星逆行现象是否在印度股票指数中持续存在。这项研究利用了从 1998 年到 2018 年的 Nifty50 和 BSE Sensex 每日收盘时从彭博社检索的二手数据。此外,该研究使用 EGARCH (1,1) 模型来检查市场回报中的杠杆效应以及汞逆向运动对市场回报的影响。与印度占星术概念和金融交易策略相关的跨学科研究非常少,因此,本研究有助于为资本市场的个人和机构投资者发掘基于异常的交易策略。该研究最终表明,印度股票指数观察到水星逆行期间存在不对称性或杠杆效应,以及水星逆行对市场回报的积极影响。该研究的范围仅限于印度的主要股票指数,并且仅考虑汞的回溯运动以追踪金融市场中行为偏差的证据。本文提供了一种独特的实证方法,以研究在汞逆行引起信息不对称和市场异常的影响下,文化变量对印度股票指数行为偏差的影响。以及水星逆行对市场回报的积极影响。该研究的范围仅限于印度的主要股票指数,并且仅考虑汞的回溯运动以追踪金融市场行为偏差的证据。本文提供了一种独特的实证方法,以研究在汞逆行引起信息不对称和市场异常的影响下,文化变量对印度股票指数行为偏差的影响。以及水星逆行对市场回报的积极影响。该研究的范围仅限于印度的主要股票指数,并且仅考虑汞的回溯运动以追踪金融市场行为偏差的证据。本文提供了一种独特的实证方法,以研究在汞逆行引起信息不对称和市场异常的影响下,文化变量对印度股票指数行为偏差的影响。
更新日期:2020-07-02
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