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Indian stock market : an empirical analysis of informational efficiency / Gourishankar S. Hiremath.

By: Series: Springer briefs in economicsPublication details: New Delhi : Springer, 2014.Description: xix, 124 p. : illustrations ; 24 cmISBN:
  • 9788132215899
Subject(s): DDC classification:
  • 332.64254 23 H668
Contents:
1. Introduction -- 2. Random Walk Characteristics of Stock Returns -- 3. Nonlinear Dependence in Stock Returns -- 4. Mean-Reverting Tendency in Stock Returns -- 5. Long Memory in Stock Returns: Theory and Evidence -- 6. Long Memory in Stock Market Volatility.
Summary: The book investigates the growth and efficiency of the Indian stock market in the theoretical framework of the Efficiency Market Hypothesis (EMH). The main objective of the present study is to examine the returns behaviour in the Indian equity market in the changed market environment. A detailed and rigorous analysis, made with the help of the sophisticated time series econometric models, is one of the key elements of this volume. The analysis empirically tests the random walk hypothesis and focuses on issues like nonlinear dynamics, structural breaks and long memory. It uses new and disaggregated data on recent reforms and changes in the market microstructure. The data on various indices including sectoral indices help in measuring the relative efficiency of the market and understanding how liquidity and market capitalization affect the efficiency of the market.
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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Books ISI Library, Kolkata 332.64254 H668 (Browse shelf(Opens below)) Available 136507
Total holds: 0

Includes index.

1. Introduction --
2. Random Walk Characteristics of Stock Returns --
3. Nonlinear Dependence in Stock Returns --
4. Mean-Reverting Tendency in Stock Returns --
5. Long Memory in Stock Returns: Theory and Evidence --
6. Long Memory in Stock Market Volatility.

The book investigates the growth and efficiency of the Indian stock market in the theoretical framework of the Efficiency Market Hypothesis (EMH). The main objective of the present study is to examine the returns behaviour in the Indian equity market in the changed market environment. A detailed and rigorous analysis, made with the help of the sophisticated time series econometric models, is one of the key elements of this volume. The analysis empirically tests the random walk hypothesis and focuses on issues like nonlinear dynamics, structural breaks and long memory. It uses new and disaggregated data on recent reforms and changes in the market microstructure. The data on various indices including sectoral indices help in measuring the relative efficiency of the market and understanding how liquidity and market capitalization affect the efficiency of the market.

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