Efficiency of India's Capital Market -- An Empirical Analysis

Efficiency of India's Capital Market -- An Empirical Analysis
Author: P. K. Mishra
Publisher:
Total Pages:
Release: 2016
Genre:
ISBN:
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The concept of efficient market hypothesis is gaining importance in the aftermath of integration of India's economy with world economies. With the increasing relevance of FIIs, an informationally efficient capital market holds far reaching implications for its stable growth as well as for the economic growth of the political economy of a country. Thus, the understanding of efficiency of capital market of India in the dynamics of the stock markets is essential. There is sufficient evidence in favour of capital market efficiency in developed markets. But the same is often not valid in emerging markets. This paper studies the efficient market hypothesis in its weak form in the frame work of random walk model for NSE in India from 2001 to 2008. The ADF, DF-GLS, and PP tests are used to examine stock market efficiency. The results support that the stock markets of India do not follow random walk, rejecting the weak form efficient market hypothesis.

Indian Stock Market

Indian Stock Market
Author: Gourishankar S. Hiremath
Publisher: Springer Science & Business Media
Total Pages: 135
Release: 2013-10-28
Genre: Business & Economics
ISBN: 8132215907
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India is one of the major emerging economies of the world and has witnessed tremendous economic growth over the last decades. The reforms in the financial sector were introduced to infuse energy and vibrancy into the process of economic growth. The Indian stock market now has the largest number of listed companies in the world. The phenomenal growth of the Indian equity market and its growing importance in the economy is indicated by the extent of market capitalization and the increasing integration of the Indian economy with the global economy. Various schools of thought explain the behaviour of stock returns. The Efficient Market Theory is the most important theory of the School of Neoclassical Finance based on rational expectation and no-trade argument. The book investigates the growth and efficiency of the Indian stock market in the theoretical framework of the Efficiency Market Hypothesis (EMH). The main objective of the present study is to examine the returns behaviour in the Indian equity market in the changed market environment. A detailed and rigorous analysis, made with the help of the sophisticated time series econometric models, is one of the key elements of this volume. The analysis empirically tests the random walk hypothesis and focuses on issues like nonlinear dynamics, structural breaks and long memory. It uses new and disaggregated data on recent reforms and changes in the market microstructure. The data on various indices including sectoral indices help in measuring the relative efficiency of the market and understanding how liquidity and market capitalization affect the efficiency of the market.

An Empirical Analysis of Semi-Month and Turn of the Month Effects in Indian Stock Market

An Empirical Analysis of Semi-Month and Turn of the Month Effects in Indian Stock Market
Author: Dr. P. Nageswari Sathish
Publisher:
Total Pages: 1
Release: 2020
Genre:
ISBN:
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The efficiency of the capital market raises various issues all over the world. Earlier research studies give evidence that the capital markets are informational efficient and hence, cannot outperform the market consistently on the basis of price change predictions. However, some researchers have also brought into light seasonal effects/calendar anomalies in the developed markets. This paper investigates one such anomaly (Semi-month and Turn of the month effects) in an emerging Indian Capital Market. The S&P CNX Nifty and BSE Sensex Index data have been collected and analyzed for a period of six years from 1st January 2005 to 31st December 2010. The analysis of the study found that the semi-month and turn of the Month Effect not exists in Indian Stock Market during the study period.

Analysis of Market Efficiency for Indian Capital Market

Analysis of Market Efficiency for Indian Capital Market
Author: Dhirendra Pratap Ray
Publisher:
Total Pages:
Release: 2008
Genre:
ISBN:
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This paper analyze the how efficient is the Indian Capital Market and describes what kind of form of efficiency Indian Capital Market follows.The research shows that in spite of the Market Index not showing Random Walk property, it is very much possible that individual securities within the index may exhibit this property. Thus, terming markets efficient or non-efficient solely on the basis of index may give wrong results. It also shows that the Indian Capital Market is financially quite strong and the regulatory mechanisms in place have ensured that in spite the booming growth, the market has remained efficient and there is no unfair advantage to any person.

Indian Capital Markets

Indian Capital Markets
Author: T. P. Madhusoodanan
Publisher: Uti Institute of Capital Market AI
Total Pages: 300
Release: 1998
Genre: Capital market
ISBN:
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Papers presented at the 1st Capital Markets Conference, held during 26-27 December, 1997, at UTI Institute of Capital Markets, Navi Mumbai.

Indian Capital Market

Indian Capital Market
Author: Shirin Rathore
Publisher:
Total Pages: 426
Release: 2003-01-01
Genre: Capital market
ISBN: 9788126114863
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The Indian Capital Market Has Witnessed Major Transformation And Structural Change During The Past One Decade As A Result Of On Going Economic Reforms Initiated By The Government Of India Since 1991. These Reforms Have Been Aimed At Improving Market Efficiency, Enhancing Transparency, Checking Unfair Trade Practices And Bringing The Indian Capital Market Up To International Standards. The Reforms Have Brought About Changes In Institutional Character Of The Market; Regulatory Environment In Which It Functions; Investors Profile And Technology Of The Market.This Volume Has Brought Together Empirical Researches Carried Out On Various Aspects Of The Indian Capital Market During The Past Decade. It Includes, Inter- Alia Research Studies Relating To " Ipos" Corporate Governance" E-Marketplaces For Financial Products" Market Efficiency And Anomalies " Market Micro Structure" Mutual Funds Performance" Financial DerivativesThe Papers Have Been Contributed By Well-Known Persons From Both Academia And Industry. The Book Will Be Useful Of Research Scholars, Students Pursuing Professional Courses Such As M.B.A., M.F.C., M.B.E., M.I.B. And Other Related Programmes, Practitioners And Policy Makers.

Capital Market Development and Investor's Response

Capital Market Development and Investor's Response
Author: Dr. Manjri Damele
Publisher: K.K. Publications
Total Pages: 240
Release: 2021-08-05
Genre: Business & Economics
ISBN:
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Indian capital market has undergone fast changes particularly since the initiation of new economic and financial reforms in the year 1992. In the Indian economy, moving in the direction of privatization, deregulation, liberalization and globalization, the role of capital and capital market can be overemphasized. A well-organized capital market is supposed to perform disciplinary, allocative and investor protective functions effectively and efficiently. This will lead to effective channelization of foreign as well as domestic capital flow for the overall economy's growth and development. However, few studies that have been done on the Indian Capital Market have left many essential issues untouched. This book in its attempt to fill this vacant empirically investigates the role of the capital market in economic development, various indicators of the development of the capital market in India, efficiency and seasonality in the capital market, volatility in the market and Investors' perception about Indian capital market, etc. The book has been divided into eight chapters. CONTENTS Preface 1. Captial MARKET 11 Functions, Perfect Capital Market, Capital Market and Economic Growth, Studies on Capital Market, Objectives of the Study 2. Capital Market Development 37 Theories of Capital Market, Indicators of Capital Market Development, Regulation & Regulatory Body, the structure of Capital Market in India 3. Research Methodology 73 Hypotheses, Indicators Selected for the Study, Period of the The study, The Sample, The Database, Statistical Tools, Methods of Investigation and Analysis 4. Capital Market Development in India 89 The trend in Capital Market, Trend in Capital Market Indicators, Composite Index of Capital Market, Development: SINDEX, Capital Market Development and Economic Growth, Weak Form Efficiency, Day of the Week , Effect & Monthly Effect 5. MP Stock Exchange 155 MP Stock Exchange, Management of Stock Exchange, Members, Growths and Turnover on MP Stock Exchange, Annual Report of MP Stock Exchange 6. Investors’ Response to Capital Market 171 Empirical Evidences on Sample Investors, Empirical Evidence on Investors, Investments & Trading Activities, The Changing Patterns of Investment & Trading Preferences, Investors' Share Portfolio Practices 7. SEBI & Investors' Response 201 Surveillance By SEBI, Investigation by SEBI, Investors Perceptions about the regulation of Capital Market in India, Major Policy Initiatives and Developments in the Capital Market 8. Contemporary Relevance & Suggestions 229

Indian Capital Markets

Indian Capital Markets
Author:
Publisher:
Total Pages: 492
Release: 2000
Genre: Capital market
ISBN:
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Papers presented at 2nd Capital Markets Conference held during December 23-24, 1998 at UTI Institute of Capital Markets, Navi Mumbai.

Market Efficiency in India

Market Efficiency in India
Author: Satish kumar
Publisher:
Total Pages: 12
Release: 2018
Genre:
ISBN:
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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.