© 2015, IJARCSMS All Rights Reserved 173 | P a g e ISSN: 232 7782 (Online) 1 Computer Science and Management Studies  International Journal of Advance Research in Volume 3, Issue 2, February 2015 Research Article / Survey Paper / Case Study Available online at: www.ijarcsms.com Indian Stock Market Anomalies: A Literature Review J. Sudarvel 1 Ph.D Research Scholar Department of Management Studies and Research, Karpagam University, Coimbatore- 641021 Tamilnadu, India Dr. R. Velmurugan 2 Associate Professor Department of Commerce, Karpagam University, Coimbatore- 641021, Tamilnadu, India Abstract: This study investigates the existing literature in the field of Indian Stock Market Anomalies. The focus of the literature survey is to review these various stock market anomalies that were experimental over time in different stock indices in India. The Anomalies analysed in this literature survey include the Day-of-the week-effect, Weekend Effect, Turn of the Month Effect, Semi-Month Effect, Holiday Effect, and January Effect. Indian stock market indices have been studied and analysed to find evidence for the existence of these anomalies in Indian stock markets. Keywords: Anomalies, Day-of-the week-effect, Weekend Effect, Turn of the Month Effect, Semi-Month Effect, Holiday Effect, and January Effect. I. INTRODUCTION The Efficient Market Hypothesis (EMH) states that all stocks are properly priced, and that abnormal returns cannot be earned by searching for mispriced stocks. Furthermore, future stock prices follow a random walk pattern, they cannot be predicted. However, there does seem to be some market patterns that can lead to abnormal returns, thus violating the efficient market hypothesis, particularly the semi-strong EMH, which predicates that abnormal returns cannot be earned by learning all of the available public information on companies and their stocks, and any other variables that may affect stock prices, such as economic factors. Hence, the semi-strong EMH would seem to negate the value of fundamental analysis. Market Anomalies are market patterns that do seem to lead to abnormal returns more often than not, and since some of these patterns are based on information in financial reports, market anomalies present a challenge to the semi-strong form of the EMH, and indicate that fundamental analysis does have some value for the individual investor. 1. Prices should react quickly and precisely to new arriving info into the stock market; 2. Price changes should be random and unpredictable (prices follow a random walk); 3. It is impossible to find profitable trading strategies on risk-adjusted basis; 4. Knowledgeable investors do not perform better than average investors. II. STOCK MARKET ANOMALIES In the context of security markets, EMH explains how the share prices should behave in an efficient market. As EMH states that in an active market which consists of a large number of well-informed and objective investors, stocks will be appropriately priced by reflecting all available information. If so, no one can beat the market except by taking a higher risk.