Download or read book Indian Stock Market Anomalies written by J. Sudarvel and published by LAP Lambert Academic Publishing. This book was released on 2019-05-15 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock market plays a vital role for the economic development of a country, by properly channeling the funds for productive purpose. The proposition that a wellregulated stock market extends significant economic services is now widely accepted and recognized by various academicians. Stock market assists economy as well as individual investors by mobilizing the scarce resources and allocation in those sectors, which employ them optimally. Stock market assists individual investors by providing continuous market for securities. From economic point of view, a well-developed stock market has been considered requisite for economic growth as well as improvements in country's productivity. The progress of a country can be judged by ascertaining the stock market indicators like liquidity, asset pricing and turnover. In addition, by ensuring a free and fair trading of stocks and performance of pricing mechanism, by ensuring a suitable return on investment will ensure viable investment opportunities, in the stock markets acts as a driving force for channeling savings into profitable investment and hence, ensures an optimal allocation of capital.
Download or read book The Handbook of Equity Market Anomalies written by Leonard Zacks and published by John Wiley & Sons. This book was released on 2011-08-24 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.
Download or read book Indian Stock Market Anomalies written by J. Sudarvel and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Study of Calendar Anomalies in Indian Stock Markets written by Neeraj Amarnani and published by . This book was released on 2014 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock market anomalies can be broadly categorized as calendar, fundamental and technical anomalies. Calendar anomalies however are among the most discussed issues in the financial literature. This is because these anomalies are the primary contributors towards the abnormalities in the stock returns. Calendar anomalies are basically defined as an irregular pattern of stock returns which are based on a calendar year. This paper attempts to determine the existence of calendar anomalies, namely, Day of the week effect, Turn of the month effect and Month of the year effect in Indian stock market. Daily data of Sensex and Nifty for the period of 1993-2013 is analyzed using different statistical techniques. The tests indicate absence of significant day of the week effect and month of the year effect, while significant turn of the month effect is observed. There are multiple hypotheses associated with anomalies, but only turn of the month stands valid for Indian context.
Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Download or read book Momentum and Overreaction Effect a Study of Indian Stock Market written by Maheshwari Supriya and published by Independent Author. This book was released on 2022-12-03 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The search and investigation of stock market anomalies have always been a popular area of research among the academicians. The Efficient Market Hypothesis (EMH) that was once very well accepted and adored the most dominant place in the traditional finance theories, somehow, in recent times, the validity of the same has been questioned. The evidence of various stock market anomalies that document excess profit making opportunities resulted in critical re-examination of EMH. Probably the two most famous anomalies that have attracted the interest of both academicians and practitioners are the ones that are based on stocks return continuation (known as momentum effect) and long-term stock returns reversal (known as overreaction effect). Ever since DeBondt and Thaler (1985) and Jegadeesh and Titman (1993) drew attention towards the overreaction and momentum effect, these have remained as some of the most hotly debated anomalies in the academic literature. The investment strategies based on such continuation and long-term return reversal effects are commonly known as momentum and contrarian strategies, respectively. Both momentum and long-term reversal effect were found to persist in a majority of the out-of-sample tests using data from the U.S. as well as other developed stock markets across different time periods. Initially, most of the early investigations were based on the U.S. stock market, but gradually the investigation for the same spread out internationally to other developed stock markets. As a result, there exists a vast majority of literature supporting momentum and contrarian profitability in majority of the developed markets.
Download or read book An Empirical Analysis of Calendar Anomalies in Stock Returns Evidence from India written by Dr. Sitaram Pandey and published by Book Rivers. This book was released on 2022-03-09 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Month of The Year Anomalies in Stock Markets written by Gagan Deep Sharma and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Judging the importance of existence of calendar anomalies in the stock market to the investors, the paper attempts to find out monthly anomalies in the market. The presence of seasonal effects in monthly returns in the Indian market has been reported by many researchers in the past. This study attempts to examine whether the month-of-the-year anomaly still exists in the Indian Stock Market. For this purpose, two indices, S&P CNX Nifty and S&P CNX Nifty Junior and top nine companies (according to market capitalisation) from both the indices have been selected. The daily closing prices of the respective indices and stocks have been taken and the logarithm return of these prices has been calculated. Line charts and unit-root test are applied to check the stationary nature of the series. The Dummy Variable Regression Model has been applied on the returns to find out any statistically significant deterrent month in the year. The paper observes that both the indices and some of the selected companies reflect the month-of-the-year anomalies in the Indian Stock Market. Mainly, the monthly anomaly is found at the end of a quarter for the given period.
Download or read book An Empirical Study on Value Investing in Indian Stock Market written by Aggarwal Priti and published by Independent Author. This book was released on 2022-12-13 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock market anomalies have always been a hot topic of debate between scholars and investment practitioners. And the fascination is not new. It all started with the Great Depression of the 1930s when the stock markets crashed steeply. Since then, the academician of the world has gotten into a rat race of developing theories to determine the true value of common stocks. These pricing theories became the cheese slice for investors who wanted to chase abnormal returns by utilizing the knowledge of stock mispricing.
Download or read book Indian Stock Market and Investors Strategy vol 1 written by Dr.Priya Rawal and published by Dr.Priya Rawal. This book was released on 2015-10-06 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock Market is the mitigation of risk through the spreading of investments across multiple entities, which is achieved by the pooling of a number of small investments into a large bucket. Stock Market is the most suitable investment for the common man as it offers an opportunity to invest in a diversified, professionally managed portfolio at a relatively low cost.
Download or read book China s Rise And Internationalization Regional And Global Challenges And Impacts written by Filip Abraham and published by World Scientific. This book was released on 2020-04-15 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt: 2018 marks the 40th anniversary of the start of China's reform and opening up policy, which created China's growth miracle with an annual average growth rate of around 9.5 percent. China's rapid rise and internationalization has also generated profound impacts both regionally and globally. This edited book aims to bring together academics and researchers at policy institutions to discuss ongoing research on a wide range of theoretical and empirical issues related to China's rapid rise and internationalization from both regional and global perspectives.
Download or read book Calendar Anomalies in the Indian Stock Market written by Anokhi Parikh and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the month-of-the-year and day-of-the-week effect in the Indian stock market, during the period 1998-2007. The Standard GARCH model, GARCH-in-Mean, Exponential GARCH and Threshold ARCH models have been employed to test for calendar anomalies using the monthly and daily stock returns of the National Stock Exchange Index. The results confirm the presence of a significant 'December effect' in the Indian stock market even after taking time varying volatility into account. However, the 'Wednesday effect' detected by the Ordinary Least Squares model disappeared when time varying volatility was considered. The other findings of the study confirm that there are no information asymmetries in the Indian stock market as seen in the results produced by the EGARCH and TARCH models. An abridged version of this paper has been published by the National Stock Exchange of India Limited.
Download or read book Information Efficiency and Anomalies in Asian Equity Markets written by Qaiser Munir and published by Taylor & Francis. This book was released on 2016-10-04 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient market hypothesis (EMH) maintains that all relevant information is fully and immediately reflected in stock prices and that investors will obtain an equilibrium rate of return. The EMH has far reaching implications for capital allocation, stock price prediction, and the effectiveness of specific trading strategies. Equity market anomalies reflect that the market is inefficient and hence, contradicts the EMH. This book gathers both theoretical and practical perspectives, by including research issues, methodological approaches, practical case studies, uses of new policy and other points of view related to equity market efficiency to help address the future challenges facing the global equity markets and economies. Information Efficiency and Anomalies in Asian Equity Markets: Theories and evidence is an insightful resource that will be useful for students, academics and professionals alike.
Download or read book Seasonal Anomalies in Indian Stock Markets written by Anvita Sharma and published by . This book was released on 2015 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper primarily studies the possible existence of the January Effect or the Turn-Of-The-Year Effect in the Indian stock markets and the study proceeds on two propositions. First, if the January anomaly is ascribed to the tax-related selling, it should be clearly evident in the month of April in the Indian context. Second, if the phenomenon is due to some other reason then it should make itself visible in the month of January in Indian market given its interrelationship with international markets.This study also explores the chances of other common seasonal anomalies discrediting the efficient market hypothesis in the Indian market viz., Other January Effect and Beginning of the month and End of the month effect. This study has used CNX 500, S&P CNX Nifty, CNX Nifty Junior, CNX mid cap and CNX small cap indices of National Stock Exchange of India (NSE). Statistical techniques like dummy variable regression analysis, ARIMA modeling, parametric and non-parametric tests, etc. have been used to fulfill the objective of the study.The findings of the study exhibit a significantly pronounced April Effect in CNX smallcap and CNX midcap indices, with relatively much lower return in March (although statistically not significant). These findings are consistent with the tax-loss-selling hypothesis.An interesting finding of the study, which is apparently unique, is the presence of statistically significant and strongly positive December effect in all the studied indices.
Download or read book Capital Markets and Investment Decision Making written by Raj S. Dhankar and published by Springer. This book was released on 2019-04-25 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses capital markets and investment decision-making, focusing on the globalisation of the world economy. It presents empirically tested results from Indian and Southwest Asian stock markets and offers valuable insights into the working of Indian capital markets. The book is divided into four parts: the first part examines capital-market operations, particularly clearance and settlement processes, and stock market operations. The second part then addresses the functioning of global markets and investment decisions; more specifically it explores calendar anomalies, dependencies, overreaction effect, causality effect and stock returns volatility in South Asia, U.S. and global stock markets as a whole. Part three covers issues relating to capital structure, values of firm and investment strategies. Lastly, part four discusses emerging issues in finance like behavioral finance, Islamic finance, and international financial reporting standards. The book fills the gap in the existing finance literature and helps fund managers and individual investors make more accurate investment decisions.
Download or read book Market Anomalies in the BRIC Countries Stock Market Evidence for Size and Price to Book Effects written by Julian Anschütz and published by GRIN Verlag. This book was released on 2016-10-28 with total page 83 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2016 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, RWTH Aachen University (Faculty of Business and Economics), course: Corporate Finance, language: English, abstract: In order to fill a gap in the research on developing equity markets, especially emerging markets, this study deals with market anomalies in the BRIC countries, specifically focusing on identifying the anomalies size and price-to-book effect. However, the reason for an analysis regarding stock market anomalies in the BRIC countries is not exclusively limited to the lack of contemporary studies on this topic. The emerging markets in general, and, specifically, the BRIC stock markets are very interesting and valuable objects for respective examinations, since they still provide an enormous growth potential. The markets naturally show a high volatility. This study’s approach is to explain the established market anomalies and point at factors, which may enforce size and price-to-book effects in each BRIC country. Therefore, after presenting the BRIC concept in chapter 2, the standard method to estimate the stock return, the Capital Asset Pricing Model (CAPM), is introduced in chapter 3 in order to identify possible weaknesses and certain anomalies, which have been identified in the research. The most common anomalies will be introduced in chapter 4. Subsequently, an alternative method to explain the stock return, the Fama / French three-factor model is discussed as a possibility to identify further risk factors, which can invalidate anomalies with respect to the CAPM, in chapter 5. Furthermore, a brief overview on previous studies, which include valuation anomalies in the respective countries, is given in chapter 6. In the empirical part of chapter 7, each country is analyzed individually with respect to size and price-to-book effects. However, the study applies the same empirical analysis for each stock market in order to obtain comparable results, choosing a timespan, which covers the maximum period for which sufficient data is available in all stock markets. Two approaches are used per country. The first, to identify the mentioned stock market anomalies, the second to explain the cross-section of stock returns by means of three proxies for risk, namely systematic risk in form of CAPM-beta, size and book-to-market equity ratio. The empirical part of this examination investigates the time frame from January 1996 until June 2015 and uses a total sample of 6,054 stocks throughout the four stock markets. In the conclusion, the study’s results are summarized and findings presented.
Download or read book Indian Stock Market written by Gourishankar S. Hiremath and published by Springer Science & Business Media. This book was released on 2013-10-28 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
