{"title":"A test of the weak form of efficient market hypothesis in Indian Stock Market using momentum and contrarian effect","authors":"Ramandeep Kaur, Rubeena Bajwa","doi":"10.1504/ijbg.2023.134387","DOIUrl":null,"url":null,"abstract":"The current study intended to analyse efficiency of Indian Stock Market. The portfolios (momentum and contrarian) were framed over the 11 years study period, i.e., from April 2006 to March 2017 using monthly returns of BSE 500 listed stocks. The mean cumulative abnormal returns (MCAR) of different winner and loser portfolios were calculated. Portfolio performance was analysed on the basis of formation and holding periods being set at 3, 6, 12 and 36 months. Weak form efficiency was tested by using serial correlation, unit root, runs test and variance ratio test etc. The findings indicated that all single sorted portfolios could generate abnormal returns. Overall results of the study verified that by focussing purely on the past price information, Indian investors were able to earn abnormal returns in the stock market The results of the study will be a potential source for portfolio managers who are utilising or endeavouring to utilise to use the momentum and contrarian investment strategy.","PeriodicalId":13906,"journal":{"name":"International Journal of Business and Globalisation","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Business and Globalisation","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1504/ijbg.2023.134387","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"Business, Management and Accounting","Score":null,"Total":0}
引用次数: 0
Abstract
The current study intended to analyse efficiency of Indian Stock Market. The portfolios (momentum and contrarian) were framed over the 11 years study period, i.e., from April 2006 to March 2017 using monthly returns of BSE 500 listed stocks. The mean cumulative abnormal returns (MCAR) of different winner and loser portfolios were calculated. Portfolio performance was analysed on the basis of formation and holding periods being set at 3, 6, 12 and 36 months. Weak form efficiency was tested by using serial correlation, unit root, runs test and variance ratio test etc. The findings indicated that all single sorted portfolios could generate abnormal returns. Overall results of the study verified that by focussing purely on the past price information, Indian investors were able to earn abnormal returns in the stock market The results of the study will be a potential source for portfolio managers who are utilising or endeavouring to utilise to use the momentum and contrarian investment strategy.
期刊介绍：
IJBG proposes and fosters discussion on various aspects of business and globalisation, including the physical environment and poverty. Topics covered include: - Internationalisation of SMEs - Cross-cultural business - Globalisation and poverty - Business ethics in the global environment - Emerging economies - Immigrant minorities in business - Indigenous enterprises and the global economy - International tourism - Eco-tourism - Sustainable development - Environmental degradation - The impact of oil and gas - Human mobility in a globalised world - Competition in a global economy - Localisation/glocalisation strategies within contemporary globalisation.
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