The Efficient Market Hypothesis (EMH) has been one of the dominant topics in the financial research literature. The main purpose of this study is to explore the existence of return continuation in the Indian Stock Markets, thus investigating its efficiency at the weak form level (Fama,1970)....

A Financial markets around the world have seen a high degree of volatility in last 5 years and hence, after recent financial crisis in USA, followed by debt crisis in Europe have forced academicians and portfolio managers to re-evaluate the degree of integration between different financial...

This study is carried out to understand the volatility behavior of the Indian stock market, taking into account the NSE as the role model. Historical volatility levels of CNX Nifty are computed using classical, range-based and drift independent volatility measures. It could be concluded that...

The paper examines the relationship between stock market valuation and output growth at the firm level. Specifically, it aims at understanding the impact of firms' stock market valuation and stock liquidity on the growth of real output. The sample for the study includes panel data of Indian...

We estimate the Cyclically Adjusted PE ratio (CAPE) for equity indices in the Indian market. We find the average CAPE ratio of the Indian market is lower than that of the US. Judging the market valuation level based on a long-term moving average of CAPE, we find that the CAPE has remained above...

In this paper, we compare the performance of Inclan and Tiao's (IT) (1994) and Sanso, Arago and Carrion's (AIT) (2004) iterated cumulative sums of squares (ICSS) algorithms by means of Monte Carlo simulation experiments for various data-generating processes with conditional and unconditional...