The paper studies the efficiency of the Indian equity and futures markets by applying statistical techniques to returns and volatility during trading and nontrading hours. Returns have been decomposed into trading and non-trading period returns by taking close to open, open to close and close to...

This study investigates the informational role of options open interests and volume in predicting the future stock prices in Indian market. Most of the time, the uninformed traders lose to informed traders because they neither have private information nor the sophisticated knowledge to process...

A large body of research exists on the question of market efficiency and the Capital Asset Pricing Model (“CAPM”). Numerous apparent exceptions to the CAPM have been observed, with the risk adjusted outperformance of small-cap stocks over large-cap stocks being the most commonly cited...

We analyze the stock price effects of bulk trade in India over the period 2004-2012. Using an event study model we note significant impact of bulk trades on the share prices with cumulative returns being very high around the trades for both BSE and NSE. Buy trade has significant positive...

The paper studies the impact of buy and sell recommendations issued by analysts on the stock prices of companies listed on the National Stock Exchange (NSE) of India. Event study methodology is used to compute the abnormal returns around the event window, which is taken as -10 to 10. The study...