Abstract:
Empirical studies have revealed a broad variation of the seasonal anomalies in the stock market. The existence
of the stock market anomalies help investors to earn abnormal returns and they are playing significant importance
for both investors and the researchers who are currently engaging in financial market decision making. However,
the concept of Stock Market Anomalies is still novel to a developing country like Sri Lanka where the financial
market was not relatively dynamic. As a result the study examines the monthly effect with respect to the stock
price and the return in the Colombo Stock Exchange (CSE) using the All Share Price Index (ASPI) during the
period of 1st of January 2005 to 31st of January 2019. The monthly effect is tested using Ordinary Least Square
(OLS) Regression model. The results of the study indicate the presence of a statistically significant positive effect
on stock prices in June and October as well as significantly negative effect during the months of May and
December. Further, the study identified a significant negative May and December effects for the stock returns in
CSE during the sample period. Findings of this study will help both Sri Lankan and international investors to
make profitable investment strategies and to plan their investment portfolios.
