Loading...
Effect of Sub-Prime Crisis on the Efficiency of Indian Stock Market - An Empirical Study
The Indian stock market is represented by Bombay Stock Exchange (BSE) and National Stock Exchange (NSE). Competition between NSE and BSE and the free entry and exit for the economic agents who trade on these exchanges have improved the operational as well as informational efficiency of the stock mar...
| Main Author: | |
|---|---|
| Format: | Journal Article |
| Published: |
Abhigyan
2012
|
| Subjects: |
| LEADER | 02875nam a22001337a 4500 | ||
|---|---|---|---|
| 999 | |c 119827 |d 119827 | ||
| 100 | |a NP Singh |9 46765 | ||
| 245 | |a Effect of Sub-Prime Crisis on the Efficiency of Indian Stock Market - An Empirical Study | ||
| 260 | |b Abhigyan |c 2012 | ||
| 300 | |b Vol 29 No. 4 (January – March 2012) | ||
| 520 | |a The Indian stock market is represented by Bombay Stock Exchange (BSE) and National Stock Exchange (NSE). Competition between NSE and BSE and the free entry and exit for the economic agents who trade on these exchanges have improved the operational as well as informational efficiency of the stock markets. While the overall efficiency of stock market can be viewed in terms of allocation, operations and information, in common parlance the stock market efficiency is measured in terms of informational efficiency. In efficient market where information is freely available, the price of a share approximate to its intrinsic value. So, an efficient market is defined as the market where there are large numbers of rational profit maximizers, actively competing with one another trying to predict future market values of individual securities, and where important current information is almost freely available (Fama). The Efficient Market Hypothesis (EMH) as employed by Fama (1970) postulated that asset prices fully reflect the information contained in a specified information set. The intuitive idea behind this concept of efficiency is that investors process information that is available to them and take positions in response to that information as well as to their specific preferences. The market aggregates all this information and reflects it in For India, the last decade has been the period of a long chain of favorable events and performances, like high GDP growth rate, increase in corporate performances, stock market touching all time high level and increase in Indian economy’s integration with world financial markets. But, there was a catastrophic event that shocked almost the whole world including India i.e. sub-prime crisis. The present study is focused to test the weak form (informational) efficiency of Indian stock markets during the select period from 23rd September, 2006 to 22nd September 2010, and the effect of sub-prime crisis on the informational efficiency of Indian stock markets i.e. Sensex and Nifty using parametric and non-parametric tests like Jarque Bera, K-S test, ACF test and LB statistics, run test and unit root test. From the data analysis, we conclude that the random walk hypothesis for Nifty and Sensex is rejected during the whole period of study. However, the weak form efficiency has increased post sub-prime crisis. | ||
| 650 | |a EFFICIENT MARKET HYPOTHESIS; |a PARAMETRIC; |a NON-PARAMETRIC; |a RANDOM WALK |9 46766 | ||
| 942 | |c JA | ||
| 952 | |0 0 |1 0 |4 0 |7 0 |9 116583 |a MGUL |b MGUL |c JA |d 2016-11-28 |l 0 |r 2016-11-28 |w 2016-11-28 |y JA | ||