Table 5. Changing effect on markets...

Table 5.

Changing effect on markets return using ARIMAX model

Period/Events	Buddha Purnima	Christmas	Diwali	Dussehra	Eid al-Fitr	Ganesh Chaturthi	Good Friday	Gurunanak Jayanti	Holi	Maha Shivratri	Mahavir Jayanti	Muharram
SENSEX
Panel A: Before the Asian Financial crisis (1 January 1990 to 31 December 1996)
Pre-holiday (3,0,4)	0.537	0.308	−1.648**	−1.088***	−0.498	−0.242	−0.482	0.554	−0.700	0.549	−0.404	0.327
Post-holiday (4,0,4)	0.792	−0.541	−0.343	0.644	−0.642	0.703	−0.187	−0.145	−0.376	0.170	0.524	−0.182
Panel B: Before the GFC (1 January 1999 to 31 December 2006)
Pre-holiday (4,0,4)	0.011	−0.318	0.212	−0.191	0.403	0.162	−1.083**	0.041	0.309	−0.216	−0.715**	−0.784**
Post-holiday (3,0,2)	−0.304	0.130	0.120	−0.688	0.579	0.466	0.548***	0.630	−0.240	−0.321	−0.459	−0.334
Panel C: Before the global pandemic (1 January to 31 December 2019)
Pre-holiday (4,0,4)	0.266	−0.167	0.269	−0.067	−0.189	0.785*	0.312	−0.435**	−0.163	0.414**	0.279	0.014
Post-holiday (4,0,4)	0.072	0.136	0.239	0.295	−0.184	0.311	0.150	0.046	0.275	0.269	−0.275	−0.403
Panel D: Full sample
Pre-holiday (3,0,4)	0.331**	−0.108	−0.283	−0.304	−0.106	0.360	−0.252	−0.082	−0.139	0.130	−0.288	−0.106
Post-holiday (2,0,3)	0.088	−0.019	−0.015	0.042	−0.062	0.494**	0.108	0.078	−0.067	0.039	−0.121	−0.340**
NIFTY 50
Panel A: Before the Asian financial crisis (7 March 1990 to 31 December 1996)
Pre-holiday (3,0,4)	0.722***	0.140	−0.087	0.022	−0.616	0.178	−0.365	0.586	−0.439	1.848*	0.435	0.122
Post-holiday (3,0,4)	0.306	0.133	−0.188	1.234	−0.331	0.604	0.392	−0.336	0.517	−0.513	0.603	0.293
Panel B: Before the GFC (1 January to 31 December 2006)
Pre-holiday (2,0,3)	0.266	−0.242	0.470	−0.288	0.205	0.332	−0.624	0.364	−0.334	−0.060	−0.483	−1.290*
Post-holiday (2,0,3)	−0.655**	−0.005	0.023	−0.684	0.255	0.395	0.199	0.550	−0.679	−0.406	−0.504	−0.079
Panel C: Before the Global Pandemic (1 January to 31 December 2019)
Pre-holiday (4,0,4)	−0.010	−0.067	0.059	−0.467	0.329	0.409	0.159	−0.441**	−0.214	0.181	0.477**	0.202
Post-holiday(3,0,4)	0.100	0.208	−0.162	−0.086	−0.141	0.671**	0.201	0.063	0.216	0.101	−0.041	−0.557
Panel D: Full sample
Pre-holiday (4,0,3)	0.214	−0.052	0.149	−0.175	0.100	0.322	−0.210	0.065	−0.147	0.617*	0.084	−0.355**
Post-holiday (2,0,3)	−0.137	0.071	−0.108	0.040	−0.144	0.546**	0.164	0.074	−0.026	−0.252	−0.093	−0.167

Period/Events	Buddha Purnima	Christmas	Diwali	Dussehra	Eid al-Fitr	Ganesh Chaturthi	Good Friday	Gurunanak Jayanti	Holi	Maha Shivratri	Mahavir Jayanti	Muharram
SENSEX
Panel A: Before the Asian Financial crisis (1 January 1990 to 31 December 1996)
Pre-holiday (3,0,4)	0.537	0.308	−1.648**	−1.088***	−0.498	−0.242	−0.482	0.554	−0.700	0.549	−0.404	0.327
Post-holiday (4,0,4)	0.792	−0.541	−0.343	0.644	−0.642	0.703	−0.187	−0.145	−0.376	0.170	0.524	−0.182
Panel B: Before the GFC (1 January 1999 to 31 December 2006)
Pre-holiday (4,0,4)	0.011	−0.318	0.212	−0.191	0.403	0.162	−1.083**	0.041	0.309	−0.216	−0.715**	−0.784**
Post-holiday (3,0,2)	−0.304	0.130	0.120	−0.688	0.579	0.466	0.548***	0.630	−0.240	−0.321	−0.459	−0.334
Panel C: Before the global pandemic (1 January to 31 December 2019)
Pre-holiday (4,0,4)	0.266	−0.167	0.269	−0.067	−0.189	0.785*	0.312	−0.435**	−0.163	0.414**	0.279	0.014
Post-holiday (4,0,4)	0.072	0.136	0.239	0.295	−0.184	0.311	0.150	0.046	0.275	0.269	−0.275	−0.403
Panel D: Full sample
Pre-holiday (3,0,4)	0.331**	−0.108	−0.283	−0.304	−0.106	0.360	−0.252	−0.082	−0.139	0.130	−0.288	−0.106
Post-holiday (2,0,3)	0.088	−0.019	−0.015	0.042	−0.062	0.494**	0.108	0.078	−0.067	0.039	−0.121	−0.340**
NIFTY 50
Panel A: Before the Asian financial crisis (7 March 1990 to 31 December 1996)
Pre-holiday (3,0,4)	0.722***	0.140	−0.087	0.022	−0.616	0.178	−0.365	0.586	−0.439	1.848*	0.435	0.122
Post-holiday (3,0,4)	0.306	0.133	−0.188	1.234	−0.331	0.604	0.392	−0.336	0.517	−0.513	0.603	0.293
Panel B: Before the GFC (1 January to 31 December 2006)
Pre-holiday (2,0,3)	0.266	−0.242	0.470	−0.288	0.205	0.332	−0.624	0.364	−0.334	−0.060	−0.483	−1.290*
Post-holiday (2,0,3)	−0.655**	−0.005	0.023	−0.684	0.255	0.395	0.199	0.550	−0.679	−0.406	−0.504	−0.079
Panel C: Before the Global Pandemic (1 January to 31 December 2019)
Pre-holiday (4,0,4)	−0.010	−0.067	0.059	−0.467	0.329	0.409	0.159	−0.441**	−0.214	0.181	0.477**	0.202
Post-holiday(3,0,4)	0.100	0.208	−0.162	−0.086	−0.141	0.671**	0.201	0.063	0.216	0.101	−0.041	−0.557
Panel D: Full sample
Pre-holiday (4,0,3)	0.214	−0.052	0.149	−0.175	0.100	0.322	−0.210	0.065	−0.147	0.617*	0.084	−0.355**
Post-holiday (2,0,3)	−0.137	0.071	−0.108	0.040	−0.144	0.546**	0.164	0.074	−0.026	−0.252	−0.093	−0.167

Notes: The estimate coefficient output on stock returns using dummy variables. The entire period into three sub-period: before the Asian financial crisis (AFC) in Panel A, between the Asian financial crisis and Global Financial Crisis (GFC) in Panel B, after the Global Financial Crisis (GFC) or before the global pandemic in Panel C and full samples are shown in Panel D. The selected ARIMAX model (p,d,q) are depicted in parenthesis. *, ** and ***represent statistical significance at 1, 5 and 10% levels, respectively

Source: Table created by authors

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