By Gourishankar S. Hiremath (auth.)
India is without doubt one of the significant rising economies of the realm and has witnessed great monetary progress during the last a long time. The reforms within the monetary region have been brought to infuse strength and vibrancy into the method of monetary development. The Indian inventory marketplace now has the most important variety of indexed businesses on the earth. the outstanding development of the Indian fairness industry and its turning out to be significance within the economic system is indicated via the level of marketplace capitalization and the expanding integration of the Indian financial system with the worldwide financial system. numerous faculties of suggestion clarify the behaviour of inventory returns. The effective marketplace concept is an important concept of the college of Neoclassical Finance according to rational expectation and no-trade argument. The booklet investigates the expansion and potency of the Indian inventory industry within the theoretical framework of the potency marketplace speculation (EMH). the most target of the current examine is to ascertain the returns behaviour within the Indian fairness marketplace within the replaced industry setting. a close and rigorous research, made with the aid of the delicate time sequence econometric types, is likely one of the key parts of this quantity. The research empirically checks the random stroll speculation and makes a speciality of matters like nonlinear dynamics, structural breaks and lengthy reminiscence. It makes use of new and disaggregated facts on fresh reforms and adjustments out there microstructure. the information on a number of indices together with sectoral indices assist in measuring the relative potency of the marketplace and figuring out how liquidity and marketplace capitalization impact the potency of the market.
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Extra info for Indian Stock Market: An Empirical Analysis of Informational Efficiency
5 concludes with a summary of the main findings. 2 Review of Previous Work Literature on random walk characters of stock returns and EMH is truly abundant. 1 Bachelier (1900) is perhaps the first who theorized the concept of market efficiency. d) because of randomness of information and possible unsystematic patterns in noise trading. In other words, the mathematical expectation of the speculation is zero. Osborne (1959) also provides a similar argument. The seminal works of Samuelson (1965) and Fama (1965, 1970) triggered much interest in this area.
The plots of autocorrelation function of indices are given in Fig. 1which clearly display that autocorrelations even up to 15 lags are significant. 2. It is evident from test statistics that the null hypothesis of no serial correlation cannot be rejected at any conventional significance level for CNX IT and CNX 500 index returns and thus indicate random walk behavior. 00 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 Fig. 0002* 15 15 15 15 15 15 15 15 15 15 15 15 15 15 Note The Ljung-Box (LB) Q statistic is given in the table up to 15th order autocorrelation for all series.
Researchers have examined the efficient market hypothesis (EMH) and random walk characterization of returns and alternatives to random walk. In an informationally efficient market, current prices quickly absorbs information and hence such a mechanism does not provide scope for an investor to make abnormal returns (Fama 1970). In respect of empirical evidence, earlier studies have found evidence in favor of random walk hypothesis (RWH) (Working 1960; Fama 1965; G. S. 1007/978-81-322-1590-5_2, Ó The Author(s) 2014 19 20 2 Random Walk Characteristics of Stock Returns Niederhoffer and Osborne 1966).
Indian Stock Market: An Empirical Analysis of Informational Efficiency by Gourishankar S. Hiremath (auth.)