The Effect of Seasonality over Stock Exchanges in India

2017 ◽  
Vol 4 (1) ◽  
pp. 65-72 ◽  
Author(s):  
Ved Prakash Bansal
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Arima Model ◽  
Regression Equation ◽  
Stock Exchanges ◽  
Monthly Return ◽  
Indian Stock Market ◽  
Return Data

This study investigated to examine stock market seasonality effect in Indian stock market for Bombay Stock Exchange (BSE) 100. The monthly return data of BSE 100 for the period from April, 2001 to March, 2016 was used for analysis. After examining the stationarity of the return series and correlogram, regression equation & ARIMA model is used to find the monthly effect in stock returns in India. The results confirmed the existence of seasonality in stock returns in India.

Do Indian stock market sentiments impact contemporaneous returns?

2018 ◽  
Vol 7 (3) ◽  
pp. 332-346
Author(s):  
Divya Aggarwal ◽  
Pitabas Mohanty
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Temporal Dynamics ◽  
Stock Exchange ◽  
Principal Component ◽  
Stock Index ◽  
Content Type ◽  
Investor Sentiments ◽  
Indian Stock Market ◽  
The Impact

Purpose The purpose of this paper is to analyse the impact of Indian investor sentiments on contemporaneous stock returns of Bombay Stock Exchange, National Stock Exchange and various sectoral indices in India by developing a sentiment index. Design/methodology/approach The study uses principal component analysis to develop a sentiment index as a proxy for Indian stock market sentiments over a time frame from April 1996 to January 2017. It uses an exploratory approach to identify relevant proxies in building a sentiment index using indirect market measures and macro variables of Indian and US markets. Findings The study finds that there is a significant positive correlation between the sentiment index and stock index returns. Sectors which are more dependent on institutional fund flows show a significant impact of the change in sentiments on their respective sectoral indices. Research limitations/implications The study has used data at a monthly frequency. Analysing higher frequency data can explain short-term temporal dynamics between sentiments and returns better. Further studies can be done to explore whether sentiments can be used to predict stock returns. Practical implications The results imply that one can develop profitable trading strategies by investing in sectors like metals and capital goods, which are more susceptible to generate positive returns when the sentiment index is high. Originality/value The study supplements the existing literature on the impact of investor sentiments on contemporaneous stock returns in the context of a developing market. It identifies relevant proxies of investor sentiments for the Indian stock market.

scholarly journals Adaptive Market Hypothesis: Evidence from the Vietnamese Stock Market

2019 ◽  
Vol 12 (2) ◽  
pp. 81 ◽  
Author(s):  
Dzung Phan Tran Trung ◽  
Hung Pham Quang
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Ho Chi Minh City ◽  
Stock Exchanges ◽  
Ratio Test ◽  
Time Varying ◽  
Variance Ratio ◽  
Variance Ratio Test ◽  
The Relationship

This paper aims to test the adaptive market hypothesis in the two main Vietnamese stock exchanges, namely Ho Chi Minh City Stock Exchange (HSX) and Hanoi Stock Exchange (HNX), by measuring the relationship between current stock returns and historical stock returns. In particular, the tests employed are the automatic variance ratio test (“AVR”), the automatic portmanteau test (“AP”), the generalized spectral test (“GS”), and the time-varying autoregressive (TV-AR) approach. The empirical results validate the adaptive market hypothesis in the Vietnamese stock market. Furthermore, the results suggest that the evolution of HSX has served as an important factor of the adaptive market hypothesis.

Volatility of Indian Stock Market: An Emperical Evidence

2008 ◽  
Vol 4 (4) ◽  
pp. 53-61 ◽  
Author(s):  
Aman Srivastava
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
Stock Exchanges ◽  
Garch Models ◽  
Indian Stock Market ◽  
Class Models

The purpose of this paper is to apply the GARCH-class models to two major stock exchanges of Indian stock markets. The study includes main indices of Bombay Stock Exchange (SENSEX) and that of National stock exchange (NIFTY). GARCH-class models have been applied to analyze the characteristics of the volatility of Indian stock market. The findings suggest that both the Indian stock exchanges have significant ARCH effects and it is appropriate to use ARCH/GARCH models to estimate the process and also demonstrated that there are leverage effects in the markets. That means the investors in those markets are not grown well and they will be heavily influenced by information (good or bad) very easily.

scholarly journals CONTAGION EFFECT ANTAR NEGARA ASEAN-5

2018 ◽  
Vol 3 (2) ◽  
pp. 203
Author(s):  
R Adisetiawan ◽  
Ahmadi Ahmadi
Keyword(s):  
Granger Causality ◽  
Mutual Influence ◽  
Stock Exchange ◽  
Granger Causality Test ◽  
Stock Exchanges ◽  
Contagion Effect ◽  
Causality Test ◽  
Monthly Return ◽  
Return Data

This study was conducted to determine whether there is a contagion effect on the stock exchanges among ASEAN-5 countries (Indonesia, Singapore, Malaysia, Thailand and Philippines) during 2001.1 - 2018.5 period using the monthly return data of the five ASEAN-5 stock exchanges. This study uses granger causality test to see the direction of mutual influence that indicates the existence of contagion effect. The results revealed that the Indonesian stock exchange has a mutually influential relationship with the Thai stock exchange.

scholarly journals DAILY VARIATION AND PREDICTING STOCK MARKET RETURNS FOR THE FRANKFURTER BÖRSE (STOCK MARKET)

2008 ◽  
Vol 9 (3) ◽  
pp. 189-198 ◽  
Author(s):  
Jeffrey E. Jarrett ◽  
Janne Schilling
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Exchange ◽  
Arima Model ◽  
Unit Root Test ◽  
Unit Roots ◽  
Stock Market Returns ◽  
Daily Stock Returns

In this article we test the random walk hypothesis in the German daily stock prices by means of a unit root test and the development of an ARIMA model for prediction. The results show that the time series of daily stock returns for a stratified random sample of German firms listed on the stock exchange of Frankfurt exhibit unit roots. Also, we find that one may predict changes in the returns to these listed stocks. These time series exhibit properties which are forecast able and provide the intelligent data analysts’ methods to better predict the directive of individual stock returns for listed German firms. The results of this study, though different from most other studies of other stock markets, indicate the Frankfurt stock market behaves in similar ways to North American, other European and Asian markets previously studied in the same manner.

Impact of Stock Splits and Rights Issue Announcements on Market Price: Evidence from India

2016 ◽  
Vol 7 (2) ◽  
Author(s):  
Babitha Rohit ◽  
Prakash Pinto ◽  
Shakila B.
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Market Price ◽  
Abnormal Returns ◽  
Market Model ◽  
Stock Splits ◽  
Indian Stock Market ◽  
Rights Issue ◽  
The Impact

The current paper studies the impact of two events i.e stock splits and rights issue announcement on the stock returns of companies listed on the Bombay Stock Exchange. The study consists of a sample of 90 announcements for stock splits and 29 announcements for rights issue during the period 2011-2014. Market model is used to calculate the abnormal returns of securities. Positive Average Abnormal Returns were observed for the two events on the day their announcements, however they are not statistically significant. The study concludes that the Indian stock market is efficient in its semi-strong form.

scholarly journals Liquidity and Asset Pricing: Evidence from Indian Stock Market

2020 ◽  
Vol 4 (1) ◽  
pp. 109-116
Author(s):  
Sharad Nath Bhattacharya ◽  
Mousumi Bhattacharya ◽  
Sumit Kumar Jha
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Stock Returns ◽  
Risk Premium ◽  
Negative Impact ◽  
Stock Exchange ◽  
Systematic Risk ◽  
Liquidity Premium ◽  
Significant Negative Impact ◽  
Indian Stock Market

In this research article, we present a liquidity premium based asset pricing model and test it in the Indian stock market. Using high-frequency data of stocks listed in the National Stock Exchange, we show that observed illiquidity has a significant negative impact on realized stock returns even after controlling for the up and down market, volatility, and effects of derivatives trading. The illiquidity measure is modified for its time variations, and then the modified measure is used to assess its impact on returns. Using a cross-section of stocks, we show the year wise results of the model and extend it to show that it has some role in explaining returns across industries. Findings show that the down market has contemporaneous systematic risk at higher levels, and the market risk premium is higher in down markets. Finance, utility and real estate sector companies have higher systematic risk in both up and down market and investors of these sectors has relatively higher expected higher returns in comparison to companies from the rest of the segments.

scholarly journals Volatility Nexus Between Stock Market and Macroeconomic Variables in Bangladesh: an Extended GARCH Approach

2017 ◽  
Vol 64 (2) ◽  
pp. 233-243 ◽  
Author(s):  
Md. Abu Hasan ◽  
Anita Zaman
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Market Returns ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
General Index ◽  
Indian Stock Market ◽  
The Garch Model

Abstract This paper examines the volatility of the Bangladesh stock market returns in response to the volatility of the macroeconomic variables employing monthly data of general index of Dhaka Stock Exchange (DSE) and four macroeconomic variables (Call Money Rate, Crude Oil Price, Exchange Rate and SENSEX of Bombay Stock Exchange) from January 2001 to December 2015. The results of GARCHS models reveal that the volatility of DSE return is significantly guided by the volatility of macroeconomic variables, such as, exchange rate and SENSEX. Specifically, volatility of the DSE is expected to 19% increase by 1% increase of exchange rate. Moreover, the volatility of the Bangladesh stock market returns is expected to dampen down by 2% with an increase in the volatility of Indian stock market of 1%. Thus, we can comment that adding exchange rate or stock returns of India in the GARCH model provides significant knowledge about the behaviour of the DSE volatility.

Efficiency of the Indian Stock Market : An Empirical Study

1995 ◽  
Vol 20 (2) ◽  
pp. 43-52 ◽  
Author(s):  
M S Belgaumi
Keyword(s):  
Correlation Analysis ◽  
Stock Market ◽  
Serial Correlation ◽  
Stock Exchange ◽  
Weak Form ◽  
Stock Exchanges ◽  
Independence Assumption ◽  
Share Prices ◽  
Short Period ◽  
Indian Stock Market

Based on an analysis of 70 companies listed in the ‘A’ list category on the Bombay Stock Exchange, this paper by Belgaumi is an attempt to test the weak form efficiency of the Indian stock market. By subjecting the weekly share prices to Serial Correlation Analysis and Runs Test, the author finds that the Indian stock exchanges are efficient in the weak form and that the independence assumption regarding the movements of share prices over short period holds good.

scholarly journals Information Content Of Dividend Announcements: An Investigation Of The Indian Stock Market

2011 ◽  
Vol 10 (5) ◽  
pp. 49
Author(s):  
Shania Taneem ◽  
Ayse Yuce
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Information Content ◽  
Stock Exchange ◽  
General Procedure ◽  
Developed Countries ◽  
Share Price ◽  
Dividend Policies ◽  
Dividend Announcements ◽  
Indian Stock Market

According to the dividend information content hypothesis, dividend changes trigger stock returns because they reflect changes in managements assessment of a firms future profitability. This hypothesis has motivated a considerable amount of theoretical and empirical research. The general procedure used in prior research begins with classifying the dividend change announcement into either favorable or unfavorable. Dividend policy of companies operating in the emerging markets is very different from the widely accepted dividend policies operating in the developed countries. The purpose of this research is to examine the information content of dividend announcements and price movements in the emerging Indian stock market. The paper investigates the information content and market reaction to dividend announcements using data from the developing Indian market. We focus on the information content of dividend policies through the share price reaction of 82 companies in India that are listed in the Bombay Stock exchange.

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