Dissemination of Information on Investor Attention, Firm Size, and Year-End Market Dynamics: An Empirical Study of the Indian Stock Market

Abstract

This paper investigates the dissemination and presence of the “Year-End Market Surge”, commonly referred to as the “Christmas Rally”, in the Indian stock market. In developed nations, this phenomenon describes a notable increase in stock prices typically observed during the last week of December and the first two trading days of January. Recent reports in the popular press suggest that a similar trend has been witnessed in the Indian stock market over recent years. However, there remains a lack of systematic research on this subject. Therefore, this study rigorously examines whether this market surge, which poses a potential challenge to the Efficient Market Hypothesis (EMH), is observable in the Indian context. Furthermore, the paper explores the dissemination of firm-specific trading patterns to identify characteristics of companies that have consistently delivered positive returns during this period over multiple years. The findings reveal that larger stock portfolios in the Indian market consistently benefit from the Year-End Market Surge effect, delivering higher abnormal returns compared to smaller portfolios. These results provide important insights into the role of firm size in capturing the benefits of this seasonal market anomaly.