This book delineates the Calendar Anomalies in the Indian Stock Market. The Market Efficiency explains the relationship between Information and the Share Prices in the market. The Calendar Anomalies are the best-known examples of inefficiencies in the Capital Markets. The Information Transmission Mechanism ensures that the stock returns across all days of the weeks and months are equal and the Market Participant, the Rational Financial Decision Maker, cannot earn any extra-normal profits. It is important to note that there are variations in Volatility of Stock Returns by the Day-of-the Week,...