Conventionally, stock markets were considered extremely efficient in reflecting information about individual stocks and the market as a whole. The accepted view was that neither technical analysis nor fundamental analysis could enable an investor to achieve returns greater than those of the market portfolio as the stock prices reflected all new information without delay. The changing times have witnessed attenuation in the universality of the dominance of the efficient market hypothesis, with the rise in the belief that stock prices are at least partially predictable. Various market anomalies are in trend and discussion since the past few decades, proving the existence of these non-random patterns, viz. calendar effects or because of various company announcements. The current research attempts to examine the attacks on the efficient market hypothesis, i.e. anomalies, with special reference to month of the year effect anomaly, using ANOVA.