scholarly journals Random Walk Investigation in Indian Market with special reference to S&P Nifty – Fifty Stocks

2015 ◽  
Vol 4 (4) ◽  
pp. 52-61
Author(s):  
Tamilselvan Manickam ◽  
R Madhumitha
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Empirical Support ◽  
Weak Form ◽  
Indian Market ◽  
Price Series ◽  
Stock Market Efficiency ◽  
Indian Stock Market ◽  
Weak Form Efficiency

The competence of a financial system is entirely depending upon the stock market efficiency. The gradual growth of equity investor’s participation is inevitable to enrich the overall growth of emerging economies.Hence the necessity is felt to provide an empirical support to the investing community. For the purpose, this study attempts to examine the weak-form efficiency of Indian stock market – National Stock Exchange (NSE). The study has used the daily closing price of the Nifty fifty stocks from 3rdJanuary 2011 to 24thApril 2015. To test the weak form efficiency both parametric and non-parametric tests called Autocorrelation, Augmented Dicky Fuller test, and Runs Test were performed.  The study reveals that 39 stocks of NSE-Nifty Fifty are found to be weak form inefficient, so that the investors can formulate trading strategies to gain abnormal returns. The Index and 10 stocks are found to be weak form efficient during the study period since the price series found to be autocorrelation existence.

An Inquiry into the Persistence of Holiday Effect on Stock Markets in India: Insights and Perspectives on a Seasonal Anomaly

2021 ◽  
pp. 231971452110168
Author(s):  
Meher Shiva Tadepalli ◽  
Ravi Kumar Jain ◽  
Bhimaraya Metri
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Stock Exchanges ◽  
Indian Market ◽  
Pricing Models ◽  
Market Anomalies ◽  
Holiday Effect ◽  
Stock Market Efficiency

Asset pricing is a key area of literature in analysing and evaluating the stock market efficiency. Though various pricing models made efforts to explain the behaviour of the stocks, the existence of seasonal anomalies in the stock markets creates an opportunity for the investors to generate abnormal returns. The present article emphasizes one of such market anomalies namely, the holiday effect using indices belonging to Indian stock exchanges. Thorough research is performed by including all the prime market-capital and sectoral indices of the National Stock Exchange and the Bombay Stock Exchange. The ARIMAX methodology is adopted to observe the anomaly by considering exogenous variables representing the trading days before the exchange-mandated holidays. Further, the strength of the anomaly is analysed with the incorporation of various stock market reforms and observed to be significantly persistent among most of the Indian market indices (including both the sectoral and the market-capital based indices).

Friday the 13th effect on Indian stock market

2020 ◽  
Vol 07 (02) ◽  
pp. 2050010
Author(s):  
Tarika Singh Sikarwar ◽  
Karuna Shrivastava ◽  
Pratibha Jadon
Keyword(s):  
Stock Market ◽  
Design Methodology ◽  
Stock Exchange ◽  
Emerging Market ◽  
Indian Market ◽  
Study Results ◽  
Developed Nations ◽  
Indian Stock Market ◽  
Work Done ◽  
Practical Implications

Purpose: This paper attempts to investigate the presence of Friday the 13th Effect in the Indian stock market. Design/methodology/approach: This paper tests the presence of the Friday the 13th Effect using different sets of hypotheses for 7 days, 15 days and normal versus Friday the 13th by using statistical methods. Findings: The findings of the study do not support the presence of Friday the 13th Effect for all cases. There are few months for certain specific years where the effect was seen. Research limitations/implications: The Friday the 13th effect has been examined for two major indices of the Indian market, i.e., the Bombay Stock Exchange Index SENSEX and the National Stock Exchange Nifty Fifty Index. However, there are other major and sectoral indices as well where in the effect may be checked. Practical implications: The study results indicate that Indian stock market shows phased anomaly. The effect of Friday the 13th is seen only in some cases during certain years only. Originality/value: Friday the 13th effect has been mostly checked for developed nations and again there has been less work done with respect to this particular market anomaly. The present research is an original work done for emerging market naming India.

scholarly journals Efficient Market Hypotheses Controversy and Nigerian Stock Exchange Relations

2020 ◽  
pp. 1-13
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Stock Exchange ◽  
Unit Root Test ◽  
General Meeting ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Annual Data ◽  
Efficient Market ◽  
Price Series

This study; Nigerian Stock Exchange and Efficient Market Hypothesis was done using All Share Index (ASI) with daily data from January 02, 2014 to May 20, 2019 (1333 observations) and annual data from 1985 to 2018 (34 observations) collected from the Nigeria Stock Market fact books. The study employed three analytical methods namely the unit root test, GARCH Model and the Autocorrelation cum patial autocorrelation method for the assessment of weak form hypothesis on the daily and annual all share index in the Nigerian Stock market. The results of these evaluations indicated a significant relationship between the price series and their lagged values implying that stock price series do not follow a random walk process in Nigerian stock market. Thus, affirming that the Nigeria Stock Exchange is not efficient in weak form. In the light of this, the researchers recommend that the supervisory and regulatory authorities should strengthen the Nigerian Stock Market through palliating its regulations pertaining to transparency of information management rules such as market barriers and stringent listing requirement, publication of accounts, notices of annual general meeting and the like.

scholarly journals Weak form market efficiency test of Bangladesh Stock Exchange: an empirical evidence from Dhaka Stock Exchange and Chittagong Stock Exchange

2019 ◽  
Vol 21 (3) ◽  
pp. 285
Author(s):  
Shafir Zaman
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Empirical Evidence ◽  
Stock Markets ◽  
Stock Exchange ◽  
Investment Decision ◽  
Weak Form ◽  
Efficiency Test ◽  
Non Parametric ◽  
Weak Form Efficiency

Investors need to have an idea about stock market before making investment whether the stock markets are efficient or not to take investment decision in stock market. For that reason, measurement of market efficiency of stock market bears significance to investors. Bearing it in mind, the study is undertaken to find out the existence of weak form efficiency prevails in largest stock market of Bangladesh. In order to get perfect result Parametric and Non Parametric tests were conducted of DSE & CSE for 2013 to 2017. It was found from all tests that Dhaka and Chittagong Stock exchange are not weak form efficient. Therefore, the result of the study will act as a helping hand to researchers to find out the reason of Bangladesh stock market not being weak form efficient as well as providing measurement to make the stock market weak form efficient.

scholarly journals Market Reaction to Dividend Announcements During Pandemic: An Event Study

2021 ◽  
pp. 097226292110662
Author(s):  
Nisha Prakash ◽  
Yogesh L
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Market Reaction ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Weak Form ◽  
Primary Objective ◽  
Market Reactions ◽  
The Difference ◽  
Stock Market Reactions

This study analyses the difference in stock market reactions to dividend announcement during the pandemic. The thirty constituent stocks of Sensex, the index of Bombay Stock Exchange (BSE), is used for analysis. This allows cross-industry comparison of the market reaction. The study examines stock market reactions covering 44 days around the dividend announcement dates. The primary objective of this study is to understand whether the price adjustment linked to the dividend announcement news during the pandemic was different from the earlier years. This empirical study employs the conventional event study methodology using abnormal returns (ARs) to examine the stock market reaction to dividend announcement. The market reaction to dividend announcement was increasingly positive during the pandemic, compared to previous years. The statistical pooled t-tests showed there was a significant relationship between the pandemic and ARs. The findings also indicate that the difference in the market reaction to dividend announcement was more prominent in services stocks than that in manufacturing. Further, the results also verify the weak-form of efficiency of Indian stock exchange.

scholarly journals Weak Form Efficiency of Pakistan Stock Market using Non-Parametric Approaches

2011 ◽  
Vol 2 (6) ◽  
pp. 249-257
Author(s):  
Muhammad Irfan ◽  
Maria Irfan .
Keyword(s):  
Stock Market ◽  
Unit Root ◽  
Stock Exchange ◽  
Unit Root Test ◽  
Weak Form ◽  
Lilliefors Test ◽  
Anderson Darling ◽  
Non Parametric ◽  
Weak Form Efficiency

This paper studies the performance of Karachi Stock Exchange (KSE) of Pakistan via nonparametric approaches. The study includes the weekly open and closing prices of KSE- 100 indexes for the period of 1st January 1999 to 31st August 2009. Several non-parametric approaches including KolmogorovSmirnov test (Lilliefors test), Ryan-Joiner test (Shapiro-Wilk), Anderson-Darling test, Phillips Perron (PP) unit root test and Runs test are used to test the conviction of the KSE stock market. All non-parametric tests graphically and numerically inform us that both return series do not follow the assumption of normality and randomness, which means rejecting the hypothesis of weak form of efficiency. Generally, results from the observed analysis strongly recommend that the Karachi Stock Market of Pakistan is not efficient.

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