The paper attempts to establish short-run as well as long-run relationship among crude oil consumption, international crude oil prices, GDP, domestic crude oil production, coal production and exchange rate in India. The study employs vector error correction model over the time span from 2001 to...

This paper has examined the Samuelson’s hypothesis which states that the price volatility increases as thecontract nears its maturity. It has also examined the BCSS hypothesis which provides that negativecovariance between the spot price and net cost of carry explains the maturity effect. The...

The Size effect is one of the prominent anomalies which have been observed in the stock markets around the world. The present study attempts to find out if the portfolio of small stocks yields higher returns vis-a-vis the portfolio of large stocks and whether the size effect is present in the...

This paper has examined the Samuelson’s hypothesis which states that the price volatility increases as the contract nears its maturity. It has also examined the BCSS hypothesis which provides that negative covariance between the spot price and net cost of carry explains the maturity...

This paper examines the weak form efficiency of the companies included in the BSE 100 index as on March 31, 2001 by applying serial correlation and run test. The analysis has been done for three years, i.e., 1998-1999, 1999-2000 and 2000-2001 taking the sample of share prices from April 1 to...

The weak form of efficient market hypothesis states that the share prices neither have a long memory nor a short memory. Long memory is characterized by non-periodic dependence in a financial time series over a long span of time. This paper examines the long memory of the Indian stock market by...