Seasonal variation and calendar anomalies are known phenomena in equity markets worldwide. Many researchers have studied day-of-the-month, day-of-the-week, month-of-the-year, tax loss hypothesis and SAD cycle in equity markets across countries. There have been many evidences of calendar anomalies in Indian equity market. India being an agriculture driven developing nation, is heavily dependent on monsoon for economic growth. Equity market being lead indicator of economy should be influenced by monsoon in India. This paper attempts to understand the impact of monsoon on Indian equity market. We have used OLS Regression and Logit Regression Models to study the monsoon effect on Indian equity market return. We found presence of month-of-the-year anomaly in the study. We also found monsoon period return to be statistically significant and positive bias during monsoon months in Indian equity market indices Sensex.
