Indian stock market : an empirical analysis of informational efficiency / Gourishankar S. Hiremath.
Series: Springer briefs in economicsPublication details: New Delhi : Springer, 2014.Description: xix, 124 p. : illustrations ; 24 cmISBN:- 9788132215899
- 332.64254 23 H668
| Item type | Current library | Call number | Status | Date due | Barcode | Item holds | |
|---|---|---|---|---|---|---|---|
| Books | ISI Library, Kolkata | 332.64254 H668 (Browse shelf(Opens below)) | Available | 136507 |
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| 332.642 D389 Stock markets, investments and corporate behavior : a conceptual framework of understanding / | 332.642 V857 Information and learning in markets the impact of market microstructure | 332.6420285 W246 High-frequency trading and probability theory / | 332.64254 H668 Indian stock market : | 332.64254 SB SEBI Bulletin | 332.64254 SB SEBI Bulletin | 332.64254 SB SEBI Bulletin |
Includes index.
1. Introduction --
2. Random Walk Characteristics of Stock Returns --
3. Nonlinear Dependence in Stock Returns --
4. Mean-Reverting Tendency in Stock Returns --
5. Long Memory in Stock Returns: Theory and Evidence --
6. Long Memory in Stock Market Volatility.
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.
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