JMGT_V5_N4_RP2 Jagdish R. Raiyani Journal on Management 2230 – 715X 5 4 31 39 Indian Stock Markets, Anomalous Behavior, FIIs, ANOVA Analysis, t-Statistic, Kruskal-Wallis H Test The efficiency of the capital market has raised various debatable issues all over the world. Numerous studies give evidence that the capital markets are informationally efficient and hence, cannot outperform the market consistently on the basis of price change predictions. However, some researchers have also brought into light seasonal effects/calendar anomalies in the developed markets. The present paper is focused towards the identification of anomalous behavior of the stock indices return series during particular months of the year. For this, the daily price index (BSE 100, BSE 200) data have been collected and analyzed for the period from July 1997 to December 2007. The validity of the null hypothesis has been examined by t-statistic and Kruskal-Wallis H Test. The F-statistic has also been applied to test the joint hypothesis that all the coefficients for February through December are simultaneously equal to zero and alike is also done for other calendar anomalies. The result of this study shows that the investors and fund managers may get significantly higher, returns even by a short term buy and sell strategy (as lowest returns in the months of mean April and March and highest returns in the months of December and November). The anomalous behavior of the return series of the stock indices may be a result of or seasonality of derivative markets in India. March - May 2011 Copyright © 2011 i-manager publications. All rights reserved. i-manager Publications http://www.imanagerpublications.com/Article.aspx?ArticleId=1428