The behaviour of stock returns has been extensively debated over the years. Researchers have examined the efficient market and random walk characterization of returns and alternatives to random walk. The key question investigated in this research is the return behaviour of stocks listed in the Infrastructure Sector of both Bombay Stock Exchange (BSE) and National Stock Exchange (NSE). In this research to analyse whether the selected stocks returns of the companies will provide the satisfactory return to the investor and the market efficiency. The researcher studies the stock return behaviour and analyse the existence of seasonal anomalies in the selected Indian companies. The data have been processed through appropriate statistical techniques such as Descriptive Statistics, Dummy Variable Regression, Autocorrelation and Frequency Distribution Analysis. Return pattern gives awareness for an investment strategy and it will enhance the profit or minimize the loss for an investor.
