Indian Stock Market: An Empirical Analysis of Informational by Gourishankar S. Hiremath (auth.)

By Gourishankar S. Hiremath (auth.)

India is likely one of the significant rising economies of the realm and has witnessed large financial progress during the last a long time. The reforms within the monetary quarter have been brought to infuse power and vibrancy into the method of monetary progress. The Indian inventory marketplace now has the biggest variety of indexed businesses on the earth. the outstanding development of the Indian fairness industry and its turning out to be value within the financial system is indicated through the level of industry capitalization and the expanding integration of the Indian financial system with the worldwide financial system. quite a few faculties of concept clarify the behaviour of inventory returns. The effective industry concept is crucial concept of the varsity of Neoclassical Finance in keeping with rational expectation and no-trade argument. The e-book investigates the expansion and potency of the Indian inventory industry within the theoretical framework of the potency industry speculation (EMH). the most goal of the current learn is to ascertain the returns behaviour within the Indian fairness industry within the replaced industry surroundings. a close and rigorous research, made with assistance from the delicate time sequence econometric types, is among the key components 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 contemporary reforms and alterations available in the market microstructure. the information on quite a few indices together with sectoral indices assist in measuring the relative potency of the marketplace and knowing how liquidity and marketplace capitalization have an effect on the potency of the market.

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The parametric results for other indices show strong autocorrelation. The non-parametric tests, which are robust to non-normality, reject random walk characteristics in Indian stock returns on NSE and BSE. The view that the likelihood of rejection of RWH in case of larger indices having higher market capitalization and higher liquidity is less than their lower counterparts is supported in case of BSE, as rejection of null is stronger in case of BSE Midcap and BSE Smallcap. However, this is not fully observed in indices traded on NSE.

J Bank Finance 17(1):175–191 Grassberger P, Procaccia I (1983) Characterization of strange attractors. Phys Rev Lett 50(5):340–346 Greib T, Reyes MG (1999) Random walk tests for Latin American equity indices and individual firms. J Finan Res 22(4):371–383 Gupta OP (1985) Behaviour of share prices in India: a test of market efficiency. National Publishing House, New Delhi Hoque HAAB, Kim JH, Pyun CS (2007) A comparison of variance ratio tests of random walk: a case of Asian emerging stock markets.

Later, the modern financial analysis observed that volatility cannot be constant as it evolves over time and shocks persist for a longer time and thus exhibits periods of unusually high or low volatility periods. However, there is a possibility that the mean-reverting hyperbolic rate of decay in the variance may be slow, thus indicating a long memory in volatility. The conventional models of volatility could not capture such persistence in volatility. In the presence of long memory in volatility, those models which use short memory such as derivative pricing, value at risk models would not be reliable.

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