Indian stock market : an empirical analysis of informational efficiency
Author(s)
Bibliographic Information
Indian stock market : an empirical analysis of informational efficiency
（Springer briefs in economics）
Springer, c2014
- : pbk
Available at / 2 libraries
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National Graduate Institute for Policy Studies Library (GRIPS Library)
: pbk338.225||H6901336203
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Note
Includes bibliographical references and index
Description and Table of Contents
Description
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.
Table of Contents
Chapter 1. Introduction
1.1Background
1.2 Theoretical Foundations
1.2.1 Forms of efficiency
1.3 Random Walk Model
1.4 Policy Reforms, Growth and Emergence of Stock Market in India
1.5 Issues and scope of the study
1.6 Nature and Sources of Data
2 Random Walk Characteristics of Stock Returns
2.1 Introduction
2.2 Review of Previous Work
2.3 Weak Form Efficiency: Empirical Tests
2.3.1 Parametric Tests
2.3.2 Nonparametric Tests
2.4 Discussion on Empirical Results
2.5 Concluding Remarks
References
3 Nonlinear Dependence in Stock Returns
3.1 Introduction
3.2 Methodology
3.3 Empirical Results
3.4 Concluding Remarks
References
4 Mean-reverting Tendency in Stock Returns
4.1 Introduction
4.2 Review of Previous Works
4.3 Data and Methodology
4.3.1 Zivot and Andrews (1992) Sequential Break Test
4.3.2 Lee-Strazicich (2003) LM Unit Root Multiple breaks Test
4.4 Empirical Findings
4.5 Conclusion
References
5 Long Memory in Stock Returns: Theory and Evidence
5.1 Introduction
5.2 Theory of Long Memory
5.2.1 Meaning and Definitions
5.2.2 ARFIMA Model
5.3 Review of Previous Work
5.4 Testing Methods
5.4.1 Geweke and Porter-Hudak Semi parametric (GPH) Test
5.4.2 Robinson's Gaussian Semi parametric (RGSE) Test
5.4.3 Andrews and Guggenberger Bias Reduced (AGBR) Test
5.5 Empirical Evidence
5.5 Concluding Remarks
6 Long Memory in Stock Market Volatility
6.1 Introduction
6.2 Review of Previous Work
6.3 Data and Methodology
6.4 Empirical Results
6.5 Concluding Observations
References
Summary and Conclusion
Appendix
References
by "Nielsen BookData"