Indian Stock Market : An Empirical Analysis of Informational Efficiency

Online-Ressource (XIX, 124 p. 7 illus, online resource)

Includes bibliographical references and index

Foreword; Preface; Contents; Abbreviations; Figures; Tables; 1 Introduction; Abstract; 1.1…Background; 1.2…Theoretical Foundations; 1.2.1 Forms of Efficiency; 1.2.1.1 Weak Form of Efficiency; 1.2.1.2 Semi-Strong Form Efficiency; 1.2.1.3 Strong Form Efficiency; 1.3…Random Walk Model; 1.4…Policy Reforms, Growth, and Emergence of Stock Market in India; 1.5…Issues and Scope of the Study; 1.6…Nature and Sources of Data; 2 Random Walk Characteristics of Stock Returns; Abstract; 2.1…Introduction; 2.2…Review of Previous Work; 2.3…Weak Form Efficiency: Empirical Tests; 2.3.1 Parametric Tests

2.3.1.1 Autocorrelation Test2.3.1.2 Lo and MacKinlay (1988) Variance Ratio Test; 2.3.1.3 Chow and Denning (1993) Multiple Variance Ratio Test; 2.3.2 Non-parametric Tests; 2.3.2.1 Runs Test; 2.3.2.2 BDS Test; 2.4…Discussion on Empirical Results; 2.5…Concluding Remarks; References; 3 Nonlinear Dependence in Stock Returns; Abstract; 3.1…Introduction; 3.2…Methodology; 3.3…Empirical Results; 3.3.1 1997--1998; 3.3.2 1998--1999; 3.3.3 1999--2000; 3.3.4 2000--2001; 3.3.5 2001--2002; 3.3.6 2002--2003; 3.3.7 2003--2004; 3.3.8 2004--2005; 3.3.9 2005--2006; 3.3.10 2006--2007; 3.3.11 2007--2008

3.4…Concluding RemarksReferences; 4 Mean-Reverting Tendency in Stock Returns; Abstract; 4.1…Introduction; 4.2…Review of Previous Works; 4.3…Data and Methodology; 4.3.1 Zivot and Andrews (1992) Sequential Break Test; 4.3.2 Lee-Strazicich (2003) LM Unit Root Multiple Breaks Test; 4.4…Empirical Findings; 4.5…Conclusion; 4.6…Variance Ratios, Structural Breaks and Nonrandom Walk Behavior in the Indian Stock Returns; References; 5 Long Memory in Stock Returns: Theory and Evidence; Abstract; 5.1…Introduction; 5.2…Theory of Long Memory; 5.2.1 Meaning and Definitions; 5.2.2 ARFIMA Model

5.3…Review of Previous Work5.4…Testing Methods; 5.4.1 Geweke and Porter-Hudak Semiparametric Test; 5.4.2 Robinson's Gaussian Semiparametric Test; 5.4.3 Andrews and Guggenberger Bias-Reduced Test; 5.5…Empirical Evidence; 5.6…Concluding Remarks; References; 6 Long Memory in Stock Market Volatility; Abstract; 6.1…Introduction; 6.2…Review of Previous Work; 6.3…Data and Methodology; 6.4…Empirical Results; 6.5…Concluding Remarks; References; Summary and Conclusion; About the Author; Index Description; Index

10.1007/978-81-322-1590-5 [DOI]

ECONIS - Online Catalogue of the ZBW