检验印度股市的市场效率:来自孟买证券交易所大盘指数的证据

R. Elangovan, Francis Gnanasekar Irudayasamy, Satyanarayana Parayitam
{"title":"检验印度股市的市场效率:来自孟买证券交易所大盘指数的证据","authors":"R. Elangovan, Francis Gnanasekar Irudayasamy, Satyanarayana Parayitam","doi":"10.1108/jefas-04-2021-0040","DOIUrl":null,"url":null,"abstract":"PurposeDespite volumes of research on the efficient market hypothesis (EMH) over the last six decades, the results are inconclusive as some studies supported the hypothesis, and some studies rejected it. The study aims to examine the market efficiency of the Indian stock market.Design/methodology/approachFor analysis, nine Bombay Stock Exchange (BSE) broad market indices were selected covering the study period from 01 January 2011 to 31 December 2020. The data collected for this study are daily open, high, low and closing prices of selected indices. The tools used in this study are: (1) unit root test to check the stationarity of time series, (2) descriptive statistics, (3) autocorrelation and (4) runs test.FindingsThe empirical findings of the study reveal that BSE broad market indices do not follow a random walk and Indian stock market is as weak-form inefficient.Research limitations/implicationsThe findings from this study provide several avenues for future research. One of the research implications is that anomalies in the statistical results by different academicians in the finance area need to be explained by future researchers.Practical implicationsInvestment companies need to understand that extraordinary skills are required to beat the market to make abnormal returns. In an inefficient market where securities do not reflect the complete available information, it is challenging for the investment brokers to convince the customers about the portfolios they recommend to the public that the rate of return would be more than expected.Social implicationsAs economic growth is related to the growth in the financial sector, developing countries like India depend on the accuracy of the information. In the presence of asymmetric information, the fluctuations in the stock market would have serious harmful consequences on the economy.Originality/valueAmid several controversies surrounding the EMH testing, this study is a modest attempt to provide evidence that the Indian stock market is in weak-form inefficient. However, it is essential to link investors' behaviour and trends observed in the financial sector to fully understand the implications of EMH.","PeriodicalId":53491,"journal":{"name":"Journal of Economics, Finance and Administrative Science","volume":"20 1","pages":""},"PeriodicalIF":2.3000,"publicationDate":"2022-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Testing the market efficiency in Indian stock market: evidence from Bombay Stock Exchange broad market indices\",\"authors\":\"R. Elangovan, Francis Gnanasekar Irudayasamy, Satyanarayana Parayitam\",\"doi\":\"10.1108/jefas-04-2021-0040\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"PurposeDespite volumes of research on the efficient market hypothesis (EMH) over the last six decades, the results are inconclusive as some studies supported the hypothesis, and some studies rejected it. The study aims to examine the market efficiency of the Indian stock market.Design/methodology/approachFor analysis, nine Bombay Stock Exchange (BSE) broad market indices were selected covering the study period from 01 January 2011 to 31 December 2020. The data collected for this study are daily open, high, low and closing prices of selected indices. The tools used in this study are: (1) unit root test to check the stationarity of time series, (2) descriptive statistics, (3) autocorrelation and (4) runs test.FindingsThe empirical findings of the study reveal that BSE broad market indices do not follow a random walk and Indian stock market is as weak-form inefficient.Research limitations/implicationsThe findings from this study provide several avenues for future research. One of the research implications is that anomalies in the statistical results by different academicians in the finance area need to be explained by future researchers.Practical implicationsInvestment companies need to understand that extraordinary skills are required to beat the market to make abnormal returns. In an inefficient market where securities do not reflect the complete available information, it is challenging for the investment brokers to convince the customers about the portfolios they recommend to the public that the rate of return would be more than expected.Social implicationsAs economic growth is related to the growth in the financial sector, developing countries like India depend on the accuracy of the information. In the presence of asymmetric information, the fluctuations in the stock market would have serious harmful consequences on the economy.Originality/valueAmid several controversies surrounding the EMH testing, this study is a modest attempt to provide evidence that the Indian stock market is in weak-form inefficient. However, it is essential to link investors' behaviour and trends observed in the financial sector to fully understand the implications of EMH.\",\"PeriodicalId\":53491,\"journal\":{\"name\":\"Journal of Economics, Finance and Administrative Science\",\"volume\":\"20 1\",\"pages\":\"\"},\"PeriodicalIF\":2.3000,\"publicationDate\":\"2022-04-05\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Economics, Finance and Administrative Science\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1108/jefas-04-2021-0040\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Economics, Finance and Administrative Science","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1108/jefas-04-2021-0040","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 1

摘要

尽管在过去的六十年中对有效市场假说(EMH)进行了大量的研究,但结果并不确定,因为一些研究支持这一假说,而一些研究则拒绝这一假说。本研究旨在检验印度股票市场的市场效率。设计/方法/方法为进行分析,选择了9个孟买证券交易所(BSE)广泛市场指数,涵盖2011年1月1日至2020年12月31日的研究期间。本研究收集的数据是所选指数的每日开盘价、最高价、最低价和收盘价。本研究使用的工具有:(1)检验时间序列平稳性的单位根检验,(2)描述性统计,(3)自相关,(4)运行检验。研究的实证结果表明,BSE大盘指数不遵循随机漫步,印度股市是弱形式的低效。研究的局限性/启示本研究的发现为未来的研究提供了几个途径。该研究的一个启示是,不同学者在金融领域的统计结果的异常需要由未来的研究人员解释。实际意义投资公司需要明白,要想跑赢市场,获得不寻常的回报,就需要非凡的技能。在一个没有效率的市场中,证券不能反映完整的可用信息,投资经纪人很难说服客户相信他们向公众推荐的投资组合的回报率会高于预期。由于经济增长与金融部门的增长有关,印度等发展中国家依赖于信息的准确性。在信息不对称的情况下,股票市场的波动会对经济产生严重的有害后果。在围绕有效市场假说测试的几个争议中,本研究是一个适度的尝试,以提供证据证明印度股票市场处于弱形式低效状态。然而,将投资者的行为与金融领域观察到的趋势联系起来,以充分理解有效市场假说的含义,这一点至关重要。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
Testing the market efficiency in Indian stock market: evidence from Bombay Stock Exchange broad market indices
PurposeDespite volumes of research on the efficient market hypothesis (EMH) over the last six decades, the results are inconclusive as some studies supported the hypothesis, and some studies rejected it. The study aims to examine the market efficiency of the Indian stock market.Design/methodology/approachFor analysis, nine Bombay Stock Exchange (BSE) broad market indices were selected covering the study period from 01 January 2011 to 31 December 2020. The data collected for this study are daily open, high, low and closing prices of selected indices. The tools used in this study are: (1) unit root test to check the stationarity of time series, (2) descriptive statistics, (3) autocorrelation and (4) runs test.FindingsThe empirical findings of the study reveal that BSE broad market indices do not follow a random walk and Indian stock market is as weak-form inefficient.Research limitations/implicationsThe findings from this study provide several avenues for future research. One of the research implications is that anomalies in the statistical results by different academicians in the finance area need to be explained by future researchers.Practical implicationsInvestment companies need to understand that extraordinary skills are required to beat the market to make abnormal returns. In an inefficient market where securities do not reflect the complete available information, it is challenging for the investment brokers to convince the customers about the portfolios they recommend to the public that the rate of return would be more than expected.Social implicationsAs economic growth is related to the growth in the financial sector, developing countries like India depend on the accuracy of the information. In the presence of asymmetric information, the fluctuations in the stock market would have serious harmful consequences on the economy.Originality/valueAmid several controversies surrounding the EMH testing, this study is a modest attempt to provide evidence that the Indian stock market is in weak-form inefficient. However, it is essential to link investors' behaviour and trends observed in the financial sector to fully understand the implications of EMH.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
Journal of Economics, Finance and Administrative Science
Journal of Economics, Finance and Administrative Science Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)
CiteScore
5.10
自引率
20.80%
发文量
23
审稿时长
12 weeks
期刊介绍: The Universidad ESAN, with more than 50 years of experience in the higher education field and post graduate studies, desires to contribute to the academic community with the most outstanding pieces of research. We gratefully welcome suggestions and contributions from business areas such as operations, supply chain, economics, finance and administration. We publish twice a year, six articles for each issue.
期刊最新文献
At what age do Mexicans suffer the most financial stress? Editorial: ESAN's 60th anniversary, second special section on business economics in Ibero-America and editorial transition SMEs growth and profitability, productivity and debt relationships Spillovers between cryptocurrencies, gold and stock markets: implication for hedging strategies and portfolio diversification under the COVID-19 pandemic The specific factors of heterogeneity characterizing investors' beliefs
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1