Testing Market Efficiency Of Indian Stock Market
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Testing Market Efficiency Of Indian Stock Market
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Author : Dr. Divyang Joshi
language : en
Publisher:
Release Date : 2019
Testing Market Efficiency Of Indian Stock Market written by Dr. Divyang Joshi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
As long as financial markets are concerned, people tried to forecast the future movement of it. The purpose of forecast is to expect great fortunes. In reality it is an important question that “is it possible to forecast market with the historical data?” If it is possible than excess returns can be made by picking up lottery stock. This situation is called “Inefficient Market”. On the other hand if market is efficient, it is west of time to predict stock market. The main intention of this paper is to study the efficiency level in Indian Stock market and the random walk nature of the stock market by using RUN test for the period from 1st January 2001 to 31st December 2010. In this paper, 6 major indices [BSE 30, BSE 100,200,500, BSE SMALL CAP and BSE MIDCAP] are studied.
Market Efficiency In India
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Author : Dr. Satish Kumar
language : en
Publisher:
Release Date : 2015
Market Efficiency In India written by Dr. Satish Kumar and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
As long as financial markets are concerned, for many years' economists, statisticians and financial analyst have been interested in developing and testing models of stock price behaviour and their forecast. This study examines whether the Indian stock market is efficient if the stock returns follow a random walk. The study employs daily closing prices of NSE Midcap 50 Index for a time period of 15 Sept 2010-28 Nov 2014. The existence of random walk for NSE Midcap Index has been examined through autocorrelation, Q-statistics and the run test and finds that the Indian stock market was not efficient in the weak form during the testing period. The results suggest that the stock prices in India do not reflect all the information in the past stock prices and abnormal returns can be achieved by investors through exploiting the market inefficiency.
Empirical Evidence On Weak Form Efficiency Of Indian Stock Market
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Author : Asha E. Thomas
language : en
Publisher:
Release Date : 2018
Empirical Evidence On Weak Form Efficiency Of Indian Stock Market written by Asha E. Thomas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Efficient Market Hypothesis is an investment theory which states that it is impossible to 'beat the market' because market efficiency causes exiting share prices to always incorporate and reflect all relevant information. Stocks are always traded at their fair value on stock exchanges and so the scope of residual returns, either by purchasing undervalued stocks or by selling the stocks for inflated prices is impossible. Ever since Fama (1965) propounded his famous Efficient Market Hypothesis (EMH), a number of empirical studies have been conducted to test its validity, both in developed markets and as well as in emerging markets. The contradictory nature of the results and the change in the current market scenario encouraged the researcher to conduct a research in the market efficiency of Indian Stock Market. One cannot beat the market by using historical information on prices of securities if the market is said to be Weak Form efficient. Statistical tools like autocorrelation and run test were used to test the Weak Form market efficiency. One-sample Kolmogorov-Smirnov test was used to find out how well a data series fits a particular distribution. The null hypothesis of the study was whether the Indian Stock Market is Weak Form efficient. The results of both non-parametric (Kolmogrov -Smirnov goodness of fit test and run test) and parametric test (Auto-correlation test) provide evidence that the share prices do not follow random walk model and the significant autocorrelation co-efficient at different lags reject the null hypothesis of weak-form efficiency.
Market Efficiency In India
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Author : Satish kumar
language : en
Publisher:
Release Date : 2018
Market Efficiency In India written by Satish kumar and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
As long as financial markets are concerned, for many years' economists, statisticians and financial analyst have been interested in developing and testing models of stock price behaviour and their forecast. This study examines whether the Indian stock market is efficient if the stock returns follow a random walk. The study employs daily closing prices of NSE Midcap 50 Index for a time period of 15 Sept 2010 - 28 Nov 2014. The existence of random walk for NSE Midcap Index has been examined through autocorrelation, Q-statistics and the run test and finds that the Indian stock market was not efficient in the weak form during the testing period. The results suggest that the stock prices in India do not reflect all the information in the past stock prices and abnormal returns can be achieved by investors through exploiting the market inefficiency.
Testing The Semi Strong Form Efficiency Of Indian Stock Market
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Author : Mariappan Raja
language : en
Publisher: LAP Lambert Academic Publishing
Release Date : 2011-10
Testing The Semi Strong Form Efficiency Of Indian Stock Market written by Mariappan Raja and has been published by LAP Lambert Academic Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-10 with categories.
The present book is significant in several respects. First and foremost thing is that it is one of the few studies testing the efficiency of Indian stock market with respect to information content of corporate events announcements in India with respect to Information Technology (IT) companies. Further, this study used a very large sample containing actively traded IT companies from Bombay Stock Exchange (List A and B1). The present study used the well established event study methodologies for analyzing the efficiency of the information content of corporate events announcements. The results of the study are encouraging. The results of the present study show that the Indian capital market is efficient in the sense that its uses the information relevant for security valuation and for investment decision making. The corporate events announcements information's are captured in stock prices within a short period of few days. The results will be encouraging to finance professionals, analysts, investors, and regulatory agencies because usefulness of accounting information for investment decision making has been indicated by the results.
Testing The Efficiency Of Indian Options Market
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Author : Anirban Ghatak
language : en
Publisher: GRIN Verlag
Release Date : 2019-02-26
Testing The Efficiency Of Indian Options Market written by Anirban Ghatak and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-02-26 with Business & Economics categories.
Master's Thesis from the year 2014 in the subject Business economics - Investment and Finance, grade: A, University of Calcutta, language: English, abstract: The present study is conducted to test the efficiency of Indian options market. Very few studies have been conducted to test the efficiency of Indian derivatives market and especially Indian options market. This study is essential for testing the price discovery of the Indian options market. This study is motivated by lack of evidence and fills this gap by providing hitherto unavailable evidence on efficiency of the Indian options market. The purpose of the study is to test the efficiency of Nifty stock options. The study is done using trading data for 1 month. Market efficiency is tested by examining the validity of the put-call parity and of the hedging strategy. Black-Scholes model of option pricing is used to determine the fair option prices in this study. In case of mispricing of options contracts, hedging test is conducted to ascertain whether above normal returns are possible by taking advantage of the mispricing. In hedging test returns are calculated after the trader closes his position in the spot market. These returns are then compared to risk-free returns. When transaction costs are not taken into account, the hedging returns were more than the risk free returns for some stocks which showed that the market is inefficient. But after transaction costs are considered these returns became negative and ascertained that the market is efficient. Put-call parity test in the absence of the transaction costs showed that options market is inefficient. However in the presence of these costs, the hypothesis of market efficiency is accepted. The present study will help to get useful insights so that the options markets can be made more efficient as healthy financial markets are backbone of any financially healthy country. Furthermore, financial markets should be efficient and efficiency helps to prevent any kind of frauds in the financial markets.
Stock Market Efficiency And Price Behaviour
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Author : O. P. Gupta
language : en
Publisher:
Release Date : 1989
Stock Market Efficiency And Price Behaviour written by O. P. Gupta and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Efficient market theory categories.
Behaviour Of Share Prices In India
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Author : O. P. Gupta
language : en
Publisher:
Release Date : 1985
Behaviour Of Share Prices In India written by O. P. Gupta and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with Stocks categories.
Weak Form Of Market Efficiency
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Author : P. K. Gupta
language : en
Publisher:
Release Date : 2010
Weak Form Of Market Efficiency written by P. K. Gupta and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
Stock market efficiency is and important parameter to gauge the efficiency of a financial system. It assumes extreme importance especially in developing countries like India. The efficiency of Indian stock markets, especially the leading stock exchange of India - the NSE, attracts the attention of researchers and analysts in view of recent fluctuations in investments levels and the global financial turmoil. The efficiency tests conducted by the researchers so far have produced contradictory results and it is precisely difficult to comment on Indian stock market efficiency with definitiveness.We found it interesting to examine the impact of various macro economic factors both on Indian and global front on Indian stock markets in relation to the rate and manner of incorporation of information, which is the concern of every economic participant in recent times. This paper therefore, attempts to seek evidence for the weak form efficient market hypothesis using the daily data for stock indices of the National Stock Exchange for the period of 1 January 2000 to 31 Oct 2008. We use Kolmogrov -Smirnov, Unit Root and run test to test weak-form efficiency.
Semi Strong Form Efficiency Of Indian Stock Market In Post Reform Period
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Author : Dr Madhuchhanda Lahiri
language : en
Publisher: Walnut Publication
Release Date : 2021-06-26
Semi Strong Form Efficiency Of Indian Stock Market In Post Reform Period written by Dr Madhuchhanda Lahiri and has been published by Walnut Publication this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-06-26 with Antiques & Collectibles categories.
The Efficient Market Hypothesis is an elegant edifice that provides a basis on which the efficiency tests of a stock market are performed at three distinct levels: weak - form, semi-strong form and strong - form. This magnificent edifice of EMH rests on the Random Walk Theory which contends that all price changes reflect a random departure from previous prices. The weak form of the hypothesis states that prices efficiently reflect all information contained in the past series of stock prices whereas the semi-strong form efficiency contends that security prices factor in publicly available information in the market and that the price changes to new equilibrium levels are reflections of that information. The book checks the weak-form and semi-strong form efficiency of the Indian stock market by examining the behaviour of the stock prices in the Indian stock market after the introduction of the various financial sector reforms using different methodologies. By using NSE data over the period 1998-2005 - the period which witnessed some major crises, scams, intense capital market activities and introduction of many new financial instruments - the study examines the information contents of historical stock price data, quarterly earnings announcements, and stock splits. The book also checks for the presence of the Day-of- the- Week Effect in the Indian stock market and enquires whether the introduction of the various instruments and policy changes have made the Indian stock market weak-form and semi-strong form efficient i.e., whether the efficiency of the stock market has been restored in the post-reforms period compared to the situation in the pre-reform period.