Sectoral and size heterogeneity of SIP timing effects

Determine whether the performance differential between Futures and Options expiry-day Systematic Investment Plans (EXP-SIP) and first-trading-day Systematic Investment Plans (FTD-SIP) varies across equity sectors (e.g., information technology versus fast-moving consumer goods) and across market-capitalization segments (large-cap versus mid-cap) in the Indian market.

Background

The paper analyzes 22 years of Nifty 50 data and finds a short- to medium-term performance edge for SIPs executed on F&O expiry days relative to first-day-of-month SIPs, which diminishes over longer horizons. While these aggregate results are documented at the index level, the authors note a gap regarding whether such timing effects are uniform across different parts of the market.

Specifically, the authors highlight uncertainty about sectoral and size-based differences, questioning whether industries (e.g., IT vs. FMCG) and capitalization tiers (large-cap vs. mid-cap) exhibit distinct timing-related return patterns. Addressing this would clarify if the observed advantage is market-wide or concentrated in particular segments.