Testing The Efficiency Of Indian Options Market
DOWNLOAD
Download Testing The Efficiency Of Indian Options Market PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Testing The Efficiency Of Indian Options Market book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Testing The Efficiency Of Indian Options Market
DOWNLOAD
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.
Tests Of Pricing Efficiency Of The Indian Index Options Market
DOWNLOAD
Author : Vijayakumar Narayanamoorthy
language : en
Publisher:
Release Date : 2013
Tests Of Pricing Efficiency Of The Indian Index Options Market written by Vijayakumar Narayanamoorthy and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
In this paper, we examined if the Black and Scholes model is a good descriptor of option pricing in the Indian context. We use data for Standard Poor CRISIL NSE Index 50 (S&P CNX Nifty index) options from 1st January, 2004 to 31st December, 2005. We operationalise the Black and Scholes model using two alternative measures of volatility: 1. Historical volatility and 2. Weighted implied volatility. Employing the historical volatility measure, we find that both call and put options are fairly priced in India subject to the trading asymmetry condition in the spot market. However, weighted implied volatility measure grossly underestimates option values resulting in large and positive pricing errors. Thus, option pricing in India seems to be conditionally efficient and historical volatility does a good job as a measure of true volatility of the underlying asset. Our work contributes to the options market literature for an emerging market and hence is pertinent for academicians, market practitioners and financial regulators.
Testing Market Efficiency Of Indian Stock Market
DOWNLOAD
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
DOWNLOAD
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.
Efficiency Of Indian Stock Market
DOWNLOAD
Author : Anand Pandey
language : en
Publisher:
Release Date : 2003
Efficiency Of Indian Stock Market written by Anand Pandey and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
Market efficiency has an influence on the investment strategy of an investor because if market is efficient, trying to pickup winners will be a waste of time. In an efficient market there will be no undervalued securities offering higher than deserved expected returns, given their risk. On the other hand if markets are not efficient, excess returns can be made by correctly picking the winners. In this paper, an analysis of three popular stock indices is carried out to test the efficiency level in Indian Stock market and the random walk nature of the stock market by using the run test and the autocorrelation function ACF (k) for the period from January 1996 to June 2002.The study carried out in this paper has presented the evidence of the inefficient form of the Indian Stock Market. From autocorrelation analyses and runs test we are able to conclude that the series of stock indices in the India Stock Market are biased random time series. The auto correlation analysis indicates that the behavior of share prices does not confirm the applicability of the random walk model in the India stock market. Thus there are undervalued securities in the market and the investors can always excess returns by correctly picking them.
Short Sales Restrictions And Efficiency Of Emerging Option Market
DOWNLOAD
Author : Thadavillil Jithendranathan
language : en
Publisher:
Release Date : 2014
Short Sales Restrictions And Efficiency Of Emerging Option Market written by Thadavillil Jithendranathan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Using Indian index options, this paper investigates the effect of short-sales restrictions on the pricing and informational efficiency of derivative markets in emerging countries. Results indicate that there are violations of the put-call parity as well as the boundary conditions, indicating pricing inefficiency in the derivative market when there are restrictions on short-sales. However, volume-volatility relationship of the Indian market is similar to that of the developed markets which suggests that investors in India are using the derivative market for efficient hedging strategies.
Specific Form Tests Of Efficiency Of The Stock Options Market
DOWNLOAD
Author : Goran Andersson
language : en
Publisher:
Release Date : 1998
Specific Form Tests Of Efficiency Of The Stock Options Market written by Goran Andersson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
It is not possible to reject the hypothesis of efficient markets by using general form tests involving boundary conditions. Specific form tests performed in this paper imply that a mispriced option is found by comparing a theoretical price to the market price. A theoretically riskless position in this option and/or this stock is created. The return on this position is evaluated.
Market Efficiency In India
DOWNLOAD
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.
Trading Range Breakout Test On Daily Stocks Of Indian Markets
DOWNLOAD
Author : Uttam B. Sapate
language : en
Publisher:
Release Date : 2017
Trading Range Breakout Test On Daily Stocks Of Indian Markets written by Uttam B. Sapate and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
In the financial literature Efficient Market Hypothesis (EMH) has been one of the dominant topics. An implication of weak-form of efficiency/random walk is that the trading rules will not generate economic profits. The purpose of this study is to analyze results of application of trading range breakout (TRB) test on daily stock prices of Indian Markets, thus investigating its efficiency at the weak form level (Fama,1970). The results from the trading rule tests indicated that the technical trading rules do not yield statistically significant forecasting power. It means that forecasting of returns based on trading rules cannot be employed to earn abnormal returns.
Handbook Of Evidence Based Management Practices In Business
DOWNLOAD
Author : Satyendra Kumar Sharma
language : en
Publisher: Taylor & Francis
Release Date : 2023-05-25
Handbook Of Evidence Based Management Practices In Business written by Satyendra Kumar Sharma and has been published by Taylor & Francis this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-05-25 with Business & Economics categories.
This book is a collection of selected high-quality research papers presented at the 4th International Conference on Evidence-Based Management (ICEBM) 2023, held at Birla Institute of Technology & Science, Pilani, Rajasthan, India, during February 24–25, 2023. It has 76 chapters written by various scholars focusing on evidence-based management practices in different functional areas of management with the application of theory and empirical techniques. This book will be helpful to practitioners, academics, scholars, and policymakers.