Influence of Yamaganda on Stock Trading behaviour

among Nifty200 stocks: Using minute-wise data

Dhamodharan K Balasubramanian P Deepti Mohan
Amrita School of Business Amrita School of Business Amrita School of Business
Amrita Vishwa Vidyapeetham Amrita Vishwa Vidyapeetham Amrita Vishwa Vidyapeetham
Amrita University Amrita University Amrita University
Coimbatore, India Coimbatore, India Coimbatore, India
dhamodharank23@gmail.com bala@amrita.edu deepti.eee@gmail.com

Abstract—This paper analyses the influence of Yamaganda II. LITERATURE REVIEW

period in investor’s decision to trade, based on the relationship
between Yamaganda timing and Stock trading volume using
minute by minute data by combining tick data of Nifty 200
companies traded at India’s National Stock Exchange (NSE) for
the period of one year from July 1, 2014 to June 30, 2015 (This
period consists of 245 Trading days). Yamaganda is an Indian
cultural variable; it is a time period defined in the astrology
which is considered inauspicious. The study is done on
Yamaganda period, Non-Yamaganda period, Pre-Yamaganda
period (half an hour before Yamaganda Period) & Post-
Yamaganda Period (half an hour after Yamaganda period). The
analysis shows that this cultural variable has very less impact on
the Trading decisions of investors. A separate test done only on
Tuesday (in order to eliminate day of the week effect and further
the absence of Yamaganda period in the trading hours of
Wednesday and Thursday) also shows that this cultural variable
has very less impact on the Trading decisions of the investors.
Keywords—Yamaganda; Day of the week effect; tick-by-tick data;
Nifty 200 companies.
I. INTRODUCTION
The study on impact of Astrology and Cultural variables on
the stock market is very less. According to Indian culture, a day
is divided into eight equal parts between sunrise and sunset,
which are of one and a half hours each. These periods are
considered either good or bad; Activities done based on those
periods bring good or bad results overcoming all other external
factors. This paper attempts to study the impact of one such
period called ‘Yamaganda’ with respect to investor’s decision
to invest. There is a belief that any activity done during this
period invites death and hence this cultural variable is
considered inauspicious.
Literatures reveals that the lunar effect, Day of the week
effect and other seasonality are prevalent in making decisions
to invest. There is very few research done on cultural variables
that effect on daily basis such as Rahu Kala, Yamaganda, and
Gulikai. This study studies if Yamaganda period has any
significant effect on investor’s decision to trade. The study uses
minute wise data between the period July 1, 2014 to June 30,
2015 for Nifty200 companies.
Yuanet al (2006) analyzed the relationship between lunar
phases and stock market returns of 48 countries. The findings
show that the stock returns are lower on the days around the
full moon than on the days around new moon. The magnitude
of the return difference is 3% to 5% per annum.
Nath and Dalvi (2004) examined the day of the week effect
on Indian Equity market between 1999 and 2003 using high
frequency and end of the day data. The study shows that
Monday and Wednesday were more significant before the
introduction of rolling settlement in January 2002 and post
introduction Friday has become more significant.
Herbst (2007) contributed to the study of whether lunar
cycle influences stock prices or its volatility. The results show
that there is no lunar influence either on stocks returns or on
stock price volatility in the Dow Jones Industrial Average.
Dichevand Janes (2001) studied the lunar cycle effect in
stock returns. They found pervasive results that the returns
around the new moon are about twice the returns around the
full moon. But there was no reliable information regarding the
lunar cycle effect in return volatility and in trading volume.
Chanet al (1996) analyzed seasonality and cultural
influence on four Asian markets (KLSE, BSE, SES, and SET).
All the four markets exhibits the day of the week effect
whereas only KLSE and SES shows month of the year effect.
The study also proves that the cultural holidays have stronger
effect than the state holidays.
Ajayi et al (2004) studied the day of the week effect in
11European emerging markets to fill the gap in analyzing the
day of the week anomaly in the markets that are emerging. The
results shows that there is no consistent day of the week
pattern.
Chukwuogor-Ndu (2006) examined the financial trends in
fifteen emerging and developed European markets and they
found the presence of day of the week effect between 1997 and
2004.
Berument and Kiymaz(2001) analyzed the day of the week
effect on stock market volatility by using S&P500 market
index between the period 1973 and 1997. The results showed
the presence of day of the week effect.
 Sivakumar and Sathyanarayanan (2007) analyzed the if(x._1>y._1) (x._1,x._2,x._3+y._3) else
investor’s belief in Indian cultural variable Rahu Kala on the (y._1,y._2,x._3+y._3)
stock market activity and movement using high frequency data }
obtained from BSE. The study shows that this cultural variable val wRDD = rRDD.sortByKey()
has impact on the stock market. Stock market is dull during the wRDD.cache
Rahu Kala period compared to all other periods and shows a val cRDD = wRDD.map{ e =>
downward movement during the Rahu Kala period. val((ds,ts,st),(id,pr,vol)) = e
Sankararaman et al (2009) studied the relationship between ds+"|"+ts+"|"+id+"|"+st+"|"+pr+"|"+vol
various variables of Astrology and investment decisions. The }
study based on survey of group of investors shows that cRDD.saveAsTextFile("hdfs://spark-
majority of them believe in astrological aspects like Rahu server:5055/user/spark/NSE-MIN-DT-NEW")
Kalam, Yama Kandam, Ashtami and Navami and non- exit
believers also do not prefer to invest during these periods.
C. Research Framework
In this paper, we analyze the influence of Yamaganda Aday is divided into eight equal parts of one and a half
period in investor’s decision to invest, based on the relationship hours each. Yamaganda is one among those periods.
between Yamaganda timing and Stock trading volume using Yamaganda period differs on dailybasis. The Yamaganda
minute-by-minute data of Nifty 200 companies traded at timing for entire week is given in Table 1.
India’s National Stock Exchange (NSE),between July 1, 2014
and June 30, 2015. Table 1. Yamaganda Timings for days of the week

III. METHODOLOGY Day Yamaganda

A. Data
High frequency NSE tick data is used in this paper. More MONDAY 10:30 – 12:00
than one crore transactions take place daily. Thus, the tick data
for 245 trading days is huge and processing is difficult. Hence, TUESDAY 09:00 – 10:30
Spark software is used. Spark is used to combine the tick by
tick data into minute by minute data. WEDNESDAY 07:30 – 09:00
From the minute wise data, data for Nifty200 companies are THURSDAY 06:00 – 07:30
extracted. Thus, 5.68 crore observations are converted to 1.64
crore observations. Nifty200 companies on January 2017 and FRIDAY 15:00 – 16:30
during the period of data(1st July, 2014 - 30th June, 2015) has
188 companies in common. Hence this paper is limited to those SATURDAY 13:30 – 15:00
188 companies.
The data has variables such as Date, Time, Trade ID, SUNDAY 12:00 – 13:30
Symbol, Price, and Volume Traded. As previously said
Yamaganda differs on daily basis. Hence, Day variable is
added to the corresponding Date variable. To segregate the data As NSE’s trading time is from 9 AM to 3.30 PM,
into Yamaganda, Non-Yamaganda, Pre-Yamaganda, and Post- Yamaganda time interval does not fall on trading hours of
Yamaganda periods a new variable is added with values 1, 2, 3, Wednesday and Thursday
and 4 respectively. This final data is separated into individual To study the impact of Yamaganda on trading volume the
files based on the Symbol variable (Symbol of the company). following Hypothesis have been constructed.
B. Code H1: Average trading volume during Yamaganda period is
Menon et al (2016), Abinayaet al (2016) used Spark for significantly different from that of Non-Yamaganda period.
amalgamation of high frequency tick by tick data into minute
by minute data using Spark for thesame data set. The code that H2: Average trading volume during the Yamaganda period
was used to convert tick data into minute wise data is as is significantly different from that of Pre-Yamaganda period
follows: (i.e., Half an hour before Yamaganda).

val fsRDD = sc.textFile("hdfs://spark-
server:5055/user/spark/NSE-DT/*/*.trd/part*")
val finalRDD = fsRDD.map { t =>
val s = t.split('|')
val (ds,id,st,ts,pr,vol) =
(s(0),s(1),s(2),s(4).substring(0,5),s(5).toFloat,s(6).toFloat)
((ds,ts,st),(id,pr,vol))
} The code used for segregating the data into Yamaganda,
val rRDD = finalRDD.reduceByKey{ (x,y) =>
H3: Average trading volume during Yamaganda period is
significantly different from that of Post-Yamaganda period
(i.e., Half an hour after Yamaganda).
A t-Test is done, to check if there is any significant
difference between Yamaganda and other time periods.
D. Data Sorting
Non-Yamaganda, Pre-Yamaganda, and Post-Yamaganda
periods are as follows: (The code is given only for Friday. number of companies with high trading volume during
Similarly, it can be done for other days). different time periods is shown in Fig 2.This data shows that
105 companies have high average traded volume during the
Sub yama() Yamaganda period, 23 companies during the Non-Yamaganda
Dim cel As Range, lop As Range Period, 24 companies during the Pre-Yamaganda period, and
Set lop = Range("B2:B100000") 36 companies during the Post-Yamaganda period.
For Each cel In lop
Table 2Paired t-Test: Yamaganda and Non-Yamaganda
If cel.Value = "FRIDAY" Then
If cel.Offset(0, 10).Value > 0.38541 And cel.Offset(0,
Non-
10).Value < 0.60416701 Then Yamaganda Yamaganda
cel.Offset(0, 7).Value = 2
Mean 5651.81 5035.36
ElseIf cel.Offset(0, 10).Value > 0.6048609 And
Variance 59117647.71 49226469.47
cel.Offset(0, 10).Value < 0.6251 Then
Observations 188 188
cel.Offset(0, 7).Value = 3
Pearson Correlation 0.967648084
ElseIf cel.Offset(0, 10).Value > 0.625693 And cel.Offset(0,
Hypothesized Mean
10).Value < 0.666668 Then Difference 0
cel.Offset(0, 7).Value = 1 Df 187
End If t Stat 4.256647
End If P(T<=t) one-tail 0.000016
Next
t Critical one-tail 1.653043
End Sub
P(T<=t) two-tail 0.000033
IV. ANALYSIS AND FINDINGS t Critical two-tail 1.972731
The results of the study are as follows. IBM SPSS statistics
23 is used to find the average trading volume. Table 3 Paired t-Test: Yamaganda and Pre-Yamaganda

Yamaganda Pre-Yamaganda
Average Traded Volume Mean 5651.81 4996.74
5800.00 5651.81 Variance 59117647.71 46966080.51
5600.00 Observations 188 188
5400.00 5035.36 5119.28 Pearson Correlation 0.963596557
5200.00 4996.74
5000.00 Hypothesized Mean
4800.00 Difference 0
4600.00 df 187
t Stat 4.217878
P(T<=t) one-tail 0.000019
t Critical one-tail 1.653043
P(T<=t) two-tail 0.000038
t Critical two-tail 1.972731

Figure 1. Mean of average traded volume Table 4Paired t-Test: Yamaganda and Post-Yamaganda

105 Yamaganda Post-Yamaganda

120
100 Mean 5651.81 5119.28
80 Variance 59117647.71 49903922.96
60 Observations 188 188
36
40 23 24 Pearson Correlation 0.963594479
20 Hypothesized Mean
0 Difference 0
df 187
t Stat 3.502986
P(T<=t) one-tail 0.000288
t Critical one-tail 1.653043
P(T<=t) two-tail 0.000576
t Critical two-tail 1.972731

Figure 2 Companies with high trading Volume based on different periods
Mean of average traded volumes is shown in Fig. 1.The
results shows that average volumes traded during the
Yamaganda period is higherthan all the other periods. The
The t-Test results for difference in average traded volume
between Yamaganda & Non-Yamaganda, Yamaganda & Pre-
Yamaganda, and Yamaganda & Post-Yamaganda period is
summarized in Table 2, 3, 4 respectively.Since P-value is less
than 0.05 for all cases, the null hypothesis is rejected at the the Non-Yamaganda Period, 0 companies during the Pre-
given confidence interval. Thus, average trading volume at Yamaganda period (Since there is no Pre-Yamaganda period
Yamaganda period is significantly different from average duringtrading hours of Tuesday),and 12 companies during the
trading volume at Non-Yamaganda, Pre-Yamaganda, and Post- Post-Yamaganda period.
Yamaganda periods. Table 5Paired t-Test: Yamaganda and Pre-Yamaganda (Only Tuesday)
The results suggest that the Yamaganda period in not an
influencing factor on investors trading behaviour. Non-
Yamaganda Yamaganda
Nath and Dalvi (2004) empirically tested the day of the Mean 6423.73 4814.66
week effect on Indian stock market and found that Fridays and Variance 93123369.33 45245573.48
Mondays are subjected to day of the week anomaly. Further,
Observations 188 188
Wednesday and Thursday do not have Yamaganda
Pearson Correlation 0.844390182
periodduring the trading hours. Also,during the period of our
Hypothesized Mean
study, trading on Saturday happened only on February 28,
Difference 0
2015. Hence we are eliminating all these days of the week and
df 187
considering only Tuesday to further validate our test result.
t Stat 4.114757
P(T<=t) one-tail 0.000029
Average Trading volume on t Critical one-tail 1.653043
P(T<=t) two-tail 0.000058
Tuesday t Critical two-tail 1.972731
7000.00 6423.73
6000.00 4814.66 Table 6 Paired t-Test: Yamaganda and Pre-Yamaganda (Only Tuesday)
5000.00 4031.85
4000.00
Post-
3000.00
2000.00 Yamaganda Yamaganda
1000.00 0.00 Mean 6423.73 4031.85
0.00 Variance 93123369.33 31447002.61
Observations 188 188
Pearson Correlation 0.85944083
Hypothesized Mean
Difference 0
df 187
t Stat 5.838480361
P(T<=t) one-tail 1.1454E-08
Figure 3 Mean Traded Volume (Only Tuesday) t Critical one-tail 1.653042889
P(T<=t) two-tail 2.2908E-08
t Critical two-tail 1.972731033
160 137
140
120 The t-Test results for difference in average trading volumes
100
80 between Yamaganda & Non-Yamaganda, and Yamaganda &
60 39
40 Post-Yamaganda period on Tuesday eliminating all the other
0 12
20 days is shown in Table 5, 6 respectively. Since P-value is less
0 than 0.05, null hypothesis is rejected. This signifies that on
Tuesday, average trading volume at Yamaganda period is
significantly different from average trading volume during
Non-Yamaganda and Post-Yamaganda period.

This further strengthens our suspicion that investors are

Figure 4Companies with high trading Volume based on different periods
(Tuesday)
Mean of average traded volume on Tuesday is shown in
Fig. 3.The results shows that average traded volume on
Tuesday during the Yamaganda period is higher than all the
other periods. Fig.4 shows the number of companies having
high trading volumes during various periods. From the fig.4, it
is observed that 137 companies have high average traded
volume during the Yamaganda period, 39 companies during
either not aware of or are not worried about the Yamaganda
period and continue to trade during this period.
V. CONCLUSION
This paper analyses the influence of Yamaganda period on
trading decision of stock market investors. Analysis shows that
this cultural variable Yamaganda does not affect the decision of
investors on stock trading. Average traded volume during the
Yamaganda period is high when compared to all other periods.
Out of 188companies taken into consideration 105 companies
have high trading volume during the Yamaganda period and t-
Test result shows that the Yamaganda period is significantly [11] Berument, H., & Kiymaz, H. (2001). The day of the week effect on
different from the other three periods taken into consideration. stock market volatility. Journal of economics and finance, 25(2), 181-
193.
A separate test done only on Tuesday, in order to eliminate
day of the week effect and absence of Yamaganda period in the [12] Abinaya, P., Kumar, V. S., Balasubramanian, P., & Menon, V. K. (2016,
trading hours of Wednesday and Thursday, also shows that this September). Measuring stock price and trading volume causality among
Nifty50 stocks: The Toda Yamamoto method. In Advances in
cultural variable has very less impact on the trading decisions
Computing, Communications and Informatics (ICACCI), 2016
of the investors.The results show that 137 companies have high International Conference on (pp. 1886-1890). IEEE.
average trading volume during the Yamaganda period (which
is higher when compared to 105 companies having high
average trading volume in the previous case) and t-Test result
shows that this period is significantly different from other
periods taken into consideration. This implies that the investors
are either not aware of Yamaganda period or they do not give
importance to this cultural variable during the time of trading.
LIMITATIONS
The study is focused only on Nifty200 companies and for a
very short duration from July 2014 to June 2015.Further, the
result observed may be due to the fact that this cultural variable
is more known and influential among investors from states of
Southern India than those from Northern India and our study
using NSE stock market data fails to capture this.
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