Market Efficiency and Integration: An Examination of Indian Stock Market
This paper examines the efficiency and integration of the Indian stock market. The weak form of efficiency has been tested by studying the stationarity characteristics of theMSCI Stock Price Index of India. For testing the semi-strong form of efficiency and integration of the Indian Stock Market wit...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Universiti Utara Malaysia
2003-08-01
|
| Series: | The International Journal of Banking and Finance |
| Online Access: | https://www.e-journal.uum.edu.my/index.php/ijbf/article/view/8333 |
| _version_ | 1797958126821965824 |
|---|---|
| author | Chandra Shekhar Bhatnagar |
| author_facet | Chandra Shekhar Bhatnagar |
| author_sort | Chandra Shekhar Bhatnagar |
| collection | DOAJ |
| description | This paper examines the efficiency and integration of the Indian stock market. The weak form of efficiency has been tested by studying the stationarity characteristics of theMSCI Stock Price Index of India. For testing the semi-strong form of efficiency and integration of the Indian Stock Market with the macro phenomenon of emerging stock markets of the world, the causality between the MSCI Stock Price Index of India and the MSCI EMF Index has been studied. The results point out that the Indian Stock Market is efficient in its weak sense. However, the same is not true for the semi-strong form of market efficiency. Therefore, the utility of a forecasting model having the macro phenomenon (MSCI EMF Index in the present case) as a forecasting variable cannot be ruled out.
|
| first_indexed | 2024-04-11T00:15:29Z |
| format | Article |
| id | doaj.art-891dde507d7244aaa8460479cff5ca18 |
| institution | Directory Open Access Journal |
| issn | 2811-3799 2590-423X |
| language | English |
| last_indexed | 2024-04-11T00:15:29Z |
| publishDate | 2003-08-01 |
| publisher | Universiti Utara Malaysia |
| record_format | Article |
| series | The International Journal of Banking and Finance |
| spelling | doaj.art-891dde507d7244aaa8460479cff5ca182023-01-09T03:08:56ZengUniversiti Utara MalaysiaThe International Journal of Banking and Finance2811-37992590-423X2003-08-0112Market Efficiency and Integration: An Examination of Indian Stock MarketChandra Shekhar Bhatnagar0The University of the West IndiesThis paper examines the efficiency and integration of the Indian stock market. The weak form of efficiency has been tested by studying the stationarity characteristics of theMSCI Stock Price Index of India. For testing the semi-strong form of efficiency and integration of the Indian Stock Market with the macro phenomenon of emerging stock markets of the world, the causality between the MSCI Stock Price Index of India and the MSCI EMF Index has been studied. The results point out that the Indian Stock Market is efficient in its weak sense. However, the same is not true for the semi-strong form of market efficiency. Therefore, the utility of a forecasting model having the macro phenomenon (MSCI EMF Index in the present case) as a forecasting variable cannot be ruled out. https://www.e-journal.uum.edu.my/index.php/ijbf/article/view/8333 |
| spellingShingle | Chandra Shekhar Bhatnagar Market Efficiency and Integration: An Examination of Indian Stock Market The International Journal of Banking and Finance |
| title | Market Efficiency and Integration: An Examination of Indian Stock Market |
| title_full | Market Efficiency and Integration: An Examination of Indian Stock Market |
| title_fullStr | Market Efficiency and Integration: An Examination of Indian Stock Market |
| title_full_unstemmed | Market Efficiency and Integration: An Examination of Indian Stock Market |
| title_short | Market Efficiency and Integration: An Examination of Indian Stock Market |
| title_sort | market efficiency and integration an examination of indian stock market |
| url | https://www.e-journal.uum.edu.my/index.php/ijbf/article/view/8333 |
| work_keys_str_mv | AT chandrashekharbhatnagar marketefficiencyandintegrationanexaminationofindianstockmarket |