Download or read book Testing the Semi Strong Form Efficiency of Indian Stock Market written by Mariappan Raja and published by LAP Lambert Academic Publishing. This book was released on 2011-10 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present book is significant in several respects. First and foremost thing is that it is one of the few studies testing the efficiency of Indian stock market with respect to information content of corporate events announcements in India with respect to Information Technology (IT) companies. Further, this study used a very large sample containing actively traded IT companies from Bombay Stock Exchange (List A and B1). The present study used the well established event study methodologies for analyzing the efficiency of the information content of corporate events announcements. The results of the study are encouraging. The results of the present study show that the Indian capital market is efficient in the sense that its uses the information relevant for security valuation and for investment decision making. The corporate events announcements information's are captured in stock prices within a short period of few days. The results will be encouraging to finance professionals, analysts, investors, and regulatory agencies because usefulness of accounting information for investment decision making has been indicated by the results.
Download or read book Semi Strong Form Efficiency of Indian Stock Market in Post Reform Period written by Dr Madhuchhanda Lahiri and published by Walnut Publication. This book was released on 2021-06-26 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis is an elegant edifice that provides a basis on which the efficiency tests of a stock market are performed at three distinct levels: weak - form, semi-strong form and strong - form. This magnificent edifice of EMH rests on the Random Walk Theory which contends that all price changes reflect a random departure from previous prices. The weak form of the hypothesis states that prices efficiently reflect all information contained in the past series of stock prices whereas the semi-strong form efficiency contends that security prices factor in publicly available information in the market and that the price changes to new equilibrium levels are reflections of that information. The book checks the weak-form and semi-strong form efficiency of the Indian stock market by examining the behaviour of the stock prices in the Indian stock market after the introduction of the various financial sector reforms using different methodologies. By using NSE data over the period 1998-2005 - the period which witnessed some major crises, scams, intense capital market activities and introduction of many new financial instruments - the study examines the information contents of historical stock price data, quarterly earnings announcements, and stock splits. The book also checks for the presence of the Day-of- the- Week Effect in the Indian stock market and enquires whether the introduction of the various instruments and policy changes have made the Indian stock market weak-form and semi-strong form efficient i.e., whether the efficiency of the stock market has been restored in the post-reforms period compared to the situation in the pre-reform period.
Download or read book Price Earning Ratio Effect written by VDMV. Lakshmi and published by . This book was released on 2013 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: Proponents of Semi strong form of Efficient Market Hypothesis (EMH) claim that security prices fully reflect all publicly available information in a rapid and unbiased manner. Opponents of this Hypothesis question its validity by explaining various anomalies in stock markets. One such anomaly that they elucidate is Price Earning (P/E) ratio Effect, which is based on the premise that P/E ratios are indicators of the investment performance of a security and low P/E stocks have a tendency to outperform high P/E stocks even after adjusting for underlying risks.The purpose of the study is to empirically test the relationship between P/E ratios and equity returns in Indian stock market based on monthly stock returns of 90 companies during the period April 2006 - June 2012 and thereby to examine the validity of semi strong form of EMH. The study applies Jensen, Sharpe and Treynor measures, which are based on Sharpe-Linter Capital Asset Pricing Model (CAPM) to test the risk- return relationships of these portfolios and to compare whether portfolio of low P/E stocks outperforms the portfolio of High P/E stocks. The study attempts to test, if there is any statistically significant difference between the returns of such a portfolio and a simple buy and old strategy. The study also attempts to examine if there is any statistically significant difference between the returns of Lowest P/E portfolio and Highest P/E portfolio using an alternative specification of CAPM. The findings of the study explain the superior performance of low P/E portfolio to high P/E portfolio, indicating the premium associated with cheap stock.
Download or read book Information Efficiency of Indian Stock Markets written by Renuka Sharma and published by LAP Lambert Academic Publishing. This book was released on 2012-07 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is a great pleasure to present my book entitled Information Efficiency of Indian Stock Markets. 1.Information Efficiency of Indian Stock Markets - Volume I (Test of Weak Form Efficiency) 2.Information Efficiency and Indian Stock Markets- Vol. II (A Test of Semi Strong Form Efficiency) The book represents the research findings of information efficiency of Indian bourses during various market phases. Volume I of the book discusses in detail the random behavior of stock prices on Indian stock markets and tells the intensity of weak form efficiency. Volume II of the book has shown the impact of various corporate announcements on the movement of stock prices. As the emerging economies give the highest rate of return on the investment in stock market products but the existing non random character of the stock prices may result in irrational movement of the market therefore the investors need to understand the prevailing efficiency in the stock price behavior. The findings will help the reader to understand the efficiency of Indian stock markets in weak form and semi strong form of EMH.
Download or read book Stock Market Efficiency and Price Behaviour written by O. P. Gupta and published by . This book was released on 1989 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Evidence on Weak Form Efficiency of Indian Stock Market written by Asha E. Thomas and published by . This book was released on 2018 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: Efficient Market Hypothesis is an investment theory which states that it is impossible to 'beat the market' because market efficiency causes exiting share prices to always incorporate and reflect all relevant information. Stocks are always traded at their fair value on stock exchanges and so the scope of residual returns, either by purchasing undervalued stocks or by selling the stocks for inflated prices is impossible. Ever since Fama (1965) propounded his famous Efficient Market Hypothesis (EMH), a number of empirical studies have been conducted to test its validity, both in developed markets and as well as in emerging markets. The contradictory nature of the results and the change in the current market scenario encouraged the researcher to conduct a research in the market efficiency of Indian Stock Market. One cannot beat the market by using historical information on prices of securities if the market is said to be Weak Form efficient. Statistical tools like autocorrelation and run test were used to test the Weak Form market efficiency. One-sample Kolmogorov-Smirnov test was used to find out how well a data series fits a particular distribution. The null hypothesis of the study was whether the Indian Stock Market is Weak Form efficient. The results of both non-parametric (Kolmogrov -Smirnov goodness of fit test and run test) and parametric test (Auto-correlation test) provide evidence that the share prices do not follow random walk model and the significant autocorrelation co-efficient at different lags reject the null hypothesis of weak-form efficiency.
Download or read book Weak Form of Market Efficiency written by P. K. Gupta and published by . This book was released on 2010 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock market efficiency is and important parameter to gauge the efficiency of a financial system. It assumes extreme importance especially in developing countries like India. The efficiency of Indian stock markets, especially the leading stock exchange of India - the NSE, attracts the attention of researchers and analysts in view of recent fluctuations in investments levels and the global financial turmoil. The efficiency tests conducted by the researchers so far have produced contradictory results and it is precisely difficult to comment on Indian stock market efficiency with definitiveness.We found it interesting to examine the impact of various macro economic factors both on Indian and global front on Indian stock markets in relation to the rate and manner of incorporation of information, which is the concern of every economic participant in recent times. This paper therefore, attempts to seek evidence for the weak form efficient market hypothesis using the daily data for stock indices of the National Stock Exchange for the period of 1 January 2000 to 31 Oct 2008. We use Kolmogrov -Smirnov, Unit Root and run test to test weak-form efficiency.
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.
Download or read book Testing Weak Form of Efficient Market Hypothesis written by Saqib Nisar and published by . This book was released on 2017 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient market hypothesis (EMH) suggests that stock prices fully reflect all available information in the market and no investor is able to earn excess return on the basis of some secretly held private, public or historical information. Efficient market hypothesis (EMH) can be further divided into three sub hypotheses depending upon the information set involved and these are weak form efficient market hypothesis, semi strong form efficient market hypothesis and strong form efficient market hypothesis. This research has examined the weak form of efficient market hypothesis on the four major stock exchanges of South Asia that are Karachi stock exchange (KSE-100), Bombay stock exchange (BSE-SENSEX), Colombo stock exchange (CSE-MPI) and Dhaka stock exchange (DSE-GEN). Historical index values of KSE-100, BSE-SENSEX, CSE-MPI and DSE-GEN on a monthly, weekly and daily basis for a period of 14 Years (July 1997 to June 2011). We applied four different statistical tests including runs test, serial correlation (Durbin Watson test), unit root and variance ratio test. Findings suggest that none of the four major stock markets of south-Asia follows Random-walk and hence all these markets are not the weak form of efficient market.
Download or read book Investment Performance Of Equity Shares written by Hari Om Chaturvedi and published by Anmol Publications PVT. LTD.. This book was released on 1999-01-01 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Book, Based On The Doctoral Research, Analyses Stock Price Behaviour Around The Announcement Of Half-Yearly Financial Results By Companies. The Objective Has Been To Discover Investment Strategies To Beat-The-Market Using Earnings Information. The Statistical Analysis Of The Stock Price Reaction To Earnings Announcement Carried Out In This Study Has Strong Implications For Security Analysis, Portfolio Management, Efficiency Of Information Processing Market And Many Other Allied Issues. Both Academicians And Professionals Will Find This Book Interesting.
Download or read book Semi Strong Form of Efficiency of Stock Market written by Dr. Kinjal Jethwani and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment in stock market is always fraught with heavy risk. The reason for this risk is “fluctuations in stock prices.” It is the forces of demand and supply which decides the price of any stock. And the demand and supply of any stock would be on the basis of information surrounding the stock. The concept of Efficient Market Hypothesis (EMH) deals with information discounting in stock market. EMH theory narrates that one cannot make any extra ordinary profit with any type (past- Weak form of Efficiency, public- Semi strong Form of Efficiency, insider- Strong form of Efficiency) of information because it is already discounted in the market. This study, which is qualitative in nature, intends to explain the movement of stock prices with respect to arrival of public information. Various research papers are written on publicly available information and stock market. The focus of this research paper is- reviewing the literature available on publicly available information and discounting of the same stock market (Semi strong form of Efficiency).
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 An Introduction to Stock Exchange Investment written by Janette Rutterford and published by Bloomsbury Publishing. This book was released on 2017-09-16 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: The new edition of Janette Rutterford's classic textbook has been updated to take account of all practical, technical and legal developments since the last edition was published. Now enhanced by a range of student-friendly features, the focus remains on the London Stock Exchange, but a global perspective is adopted where appropriate. Also available is a companion website with extra features to accompany the text, please take a look by clicking below - http://www.palgrave.com/business/rutterford/
Download or read book Stock Market Efficiency in India written by Nivedita Mandal and published by LAP Lambert Academic Publishing. This book was released on 2014-05-26 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Indian Stock Market is witnessing heightened activities and is increasingly gaining importance to domestic and foreign investors, as well as to retail and institutional investors. In the current scenario, it is of utmost importance to know whether the Indian market is functioning efficiently, which in turn ensures the proper allocation of huge capital (in)flows to this emerging economy. This book provides in depth analysis of informational efficiency of the Indian Stock Market, in semi-strong form. It addresses the impact of company's dividend policy on market returns, with special attention to capture the asymmetric behavior of the market towards good news of dividend initiation and bad news of dividend omission announcements. This book is helpful for the investors to learn about the market they are investing in, and similarly for the company policy makers to decide upon their dividend policy keeping the investors' reactions in mind.
Download or read book Testing Weak Form of Market Efficiency of Bombay Stock Exchange and National Stock Exchange written by Rakesh Kumar Sharma and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper focuses on how the anticipation of investors regarding future returns is reflected on the share price. The precision and rapidity in which market transforms the expectation and anticipation into prices, measures the market efficiency. Weak form of market efficiency is one of the different degrees of efficient market hypothesis (EMH) that claims all past prices of a stock are reflected in today's stock price. Therefore, technical analysis cannot be used to predict and beat a market. In this the authors have worked on the weak form efficiency of the Bombay Stock Exchange (BSE) and National Stock Exchange (NSE), investigating this by using four series of tests viz. Run test, serial correlation test, unit root test and variance ratio test. These tests are performed on recent data, using the last ten years' monthly BSE and NSE data from the period from 2004 to 2014. The results wrap up that monthly returns do not follow random walks in both the stock exchanges. This applies to both BSE and NSE, hence proving them as weak and inefficient.
Download or read book Testing Market Efficiency of Indian Stock Market written by Dr. Divyang Joshi and published by . This book was released on 2019 with total page 4 pages. Available in PDF, EPUB and Kindle. Book excerpt: As long as financial markets are concerned, people tried to forecast the future movement of it. The purpose of forecast is to expect great fortunes. In reality it is an important question that “is it possible to forecast market with the historical data?” If it is possible than excess returns can be made by picking up lottery stock. This situation is called “Inefficient Market”. On the other hand if market is efficient, it is west of time to predict stock market. The main intention of this paper is to study the efficiency level in Indian Stock market and the random walk nature of the stock market by using RUN test for the period from 1st January 2001 to 31st December 2010. In this paper, 6 major indices [BSE 30, BSE 100,200,500, BSE SMALL CAP and BSE MIDCAP] are studied.
Download or read book Technical Analysis of Bonus Issues written by Neha Rohra and published by . This book was released on 2016 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bonus Issues are generally regarded as cosmetic events as they simply involve a change in the number of outstanding shares. However, many researchers have found numerous stock market effects associated with bonus issues. This paper examines the impacts of bonus issue for the Indian stock market. To capture short run/immediate effect of bonus issue announcement on the stock price and shareholders return, this study has used Market Model to calculate abnormal returns and employed both parametric and non-parametric tests on it to check the significant differences in two sample (pre- and post-announcement) data set. Further, semi-log regression equations have been estimated to support the analysis. Out of total 3 cases of bonus issues studied, two cases have shown that stock price increases significantly in the post-announcement period and, one case has shown no significant change. Moreover, we have observed increase in abnormal returns in the post period in case of two sample firms while a decrease in abnormal returns in post-announcement period has been observed for one sample firm, but these changes were found to be statistically insignificant at 5% level. Overall on the basis of majority of bonus issue results, the study concludes that bonus issue announcements have a positive effect on share price which ultimately increases the returns in the short run. We have also investigated the efficiency of Indian stock market in semi-strong form in the case of bonus issue announcements. Both, parametric and non-parametric test have been used to test for market efficiency. The finding from this research is that Indian stock market is efficient in semi-strong form in the case of bonus issue announcements.
