The study examines the leading Indian stock market indices all of which reflect the “Santa Claus rally” effect where significantly higher daily returns accrue to investors in the last five trading days of December and the first two trading days of the following January. The study also reveals that the BSE SENSEX started exhibiting this effect only during the post-1991 period. Additionally, the results indicate that there is a size effect associated with the Santa Claus rally effect wherein small-cap companies outperform mid-cap and large-cap companies. The evidence also suggests that the effect is prominent in eight industry-specific sub-sectors.

该研究考察了主要的印度股市指数，所有这些指数都反映了“圣诞老人反弹”效应，即在 12 月的最后五个交易日和次年 1 月的前两个交易日，投资者的每日回报显着提高。该研究还表明，BSE SENSEX 仅在 1991 年之后才开始表现出这种效果。此外，结果表明存在与圣诞老人集会效应相关的规模效应，其中小型股公司的表现优于中型股和大型股公司。证据还表明，这种影响在八个特定行业的子行业中表现突出。