(1998), Indian Stock Market: Is it Informationally efficient? Prajnan, 25: 473-485.īalvers, R., Wu, Y., and Gilliland, E (2000), Mean Reversion Across National Stock Markets and Parametric Contrarian Investment Strategies, Journal of Finance, 55: 745-772.īanerjee, A., Lumsdaine, R. (1996), Stock Market Efficiency: A Review of Indian Evidence. University of Hyderabad, Hyderabad, India.Īmanulla, S. (1997), ‘Asset Price Behaviour and Stock Market Efficiency’. G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency Event Studies Insider TradingĪmanulla, S. G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing Trading Volume Bond Interest Rates G - Financial Economics > G1 - General Financial Markets Multiple Structural Breaks, Mean Reversion Random Walk,Efficient Market Hypothesis, Oil Price Shocks, Global Economic Crisis, Indian Stock Market, BSE, NSEĬ - Mathematical and Quantitative Methods > C5 - Econometric ModelingĬ - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics Item Type:ĭo stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test Measures particularly external shocks to improve the efficiency of the market. The results call for appropriate policy and regulatory Vulnerable to external events than the liquid indices. TheĮvidences of structural breaks and mean-reverting tendency indicate possibility to predict the future returns.įurther, it is observed that small indices with less liquidity and lower market capitalization are more Recession, erratic fluctuations in exchange rates, and sub-prime crisis followed by global meltdown. The endogenously searched significant structural breaks occurred in the years 2000, 2003, 2006,Ģ0 for most of the indices indicating respectively rise in international oil prices, global This implies violation of efficient market hypothesis in Mean-reverting tendency in the Indian stock returns. The studyįound significant structural breaks in the returns series of all selected indices and thus provide evidence of ![]() ![]() Present paper carries out multiple structural breaks test and uses new and disaggregated data set. This paper re-examines the issue of mean-reversion in Indian equity market.
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