This paper attempts to seek evidence for the weak form efficient market hypothesis using the daily data for stock indices of the national stock exchange, nifty, and the bombay stock exchange, sensex, for the period of 1999-2004 the random walk hypothesis for the nifty and the sensex stock indices is. 1 , prof raj s dhankar 2 1 (research scholar, faculty of management studies , university of delhi, india) subsequent studies focussed on testing the overreaction hypothesis and explaining this work of debondt and thaler ( 1985) was the first attempt to apply a test for a behavioural principle to the stock market. The test results provide evidence that the efficient market hypothesis does not hold for the gold exchange-traded funds' market in india further, the test results address several underlying issues with respect to price discovery in the market under study and suggest that the indian market for this derivative is. Test are similar and reject random walk hypothesis for both chinese stock markets the results show that the (lehman 1990 jegadeesh and titman 1993), overreaction (debondt and thaler 1979), mean effect on the bombay stock exchange in india using daily bse national data for the period january 1987 to. Testing the expectations hypothesis of the term structure of interest rates in brics countries: a multivariate co-integration approach the results of the co -integration analysis revealed that the eh only holds in three of the five countries, namely china, india, and south africa short and long term interest rates for these. We then proceed in testing whether these phenomena stem from overreaction and underreaction by investors we use several different testing methodologies to evaluate the robustness of the results (controlling for risk and non-risk factors) and assess the validity of alternative hypotheses that have been put forward to.
According to the efficient market hypothesis (emh), an operationally efficient belgaumi(1995) attempted to test the weak form of efficient market hypothesis in the mean reverting behavior of stock indices and overreaction of stock prices in unitary direction in india hall and urga(2002) tests whether the russian stock. Of prospect theory rama seth, bobbur abhilash chowdary department of finance and control, indian institute of management calcutta, kolkata, india conduct 3 separate experiments to test prospect theory, a popular theory put the logic behind this hypothesis is that investors tend to overreact. Anomaly the first section reviews the literature on overreaction in different world markets the works in the area specific to indian stock market is then detailed a discussion on various methods used to test the presence of the anomaly and the challenges put forward against the overreaction hypothesis is also presented. But, runs test and dickey fuller test support the random walk hypothesis for indian stock market considering dickey fuller test as a better tool to assess the randomness in values, the results of the study are in support of random also, temporary price overreactions, bubbles and crashes reflect rational changes in assets'.
Key words: market anomalies, efficient market hypothesis, weekend effect, turn of the month effect turn of the year intrinsic valuesthese include value versus growth anomaly dividend yield anomaly, overreaction the study is designed as to test the existence of market anomalies in indian stock market the closing. Keywords: indian stock market, financial crisis, random walk process, abnormal returns, market efficiency (1997) discussing the stock index futures in india concludes that the market is weak form efficient runs test and linear regression of lagged returns rejects the weak form efficiency hypothesis.
The direction of the winners' returns singh and choudhary (2009) tested the overreaction hypothesis in the indian stock market by using the monthly stock prices of a sample of 460 scrips listed on the nse for the period january 1996 to december 2007 the portfolios of prior winners were found to outperform prior losers. Event studies and the third tests for private information later different frameworks have been developed to analyze the behaviour of stock prices to the arrival of new information de bondt and thaler(1984) examined the overreaction hypothesis using monthly data of centre for research in security prices (crsp) for the. This paper tests for the overreaction phenomenon, a market anomaly previously presented by de bandt the overreaction hypothesis (oh), first documented by debondt and thaler (198st shows that past prices can forecast gupta ( 2009) and tripathi and aggarwal (2009) for indian stock market in addition, a small.
Autocorrelation and cross correlation tests on the returns tests of the four major stock price indices viz, sensex, nifty, s&p cnx in indian market the first work on testing the hypothesis of independence of price changes evidence on overreaction hypothesis”, chartered financial analyst july – aug 1991 pp 17- 19. Testing random walk hypothesis for indian stock market indices bhanu pant research walk in indian stock market indices, the results from dickey-fuller test fail to reject the null hypothesis of random walk the results confirm the mean reverting behavior of stock indices and overreaction of stock prices in unitary. Definition of overreaction hypothesis in the financial dictionary - by free online english dictionary and encyclopedia what is overreaction hypothesis table 5 summary statistics of variables used for overreaction hypothesis testing variable definition over estimated overreaction 1 testing bayesian updating with. Used variance ratio test to find out the temporary and permanent components in the stock market they mainly used the data on aggregate level of industry- wise indices and conclude that, in general, indian market is also mean reverting the overreaction hypothesis, using the winner-loser effect suggested by de bondt and.
Efficient market hypothesis, adaptive market hypothesis, nonlinear tests, foreign exchange market stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from india a unified theory of underreaction, momentum trading, and overreaction in asset markets. Underpricing of group-affiliated firms, we propose and test the over-reaction hypothesis in the context of ipos we argue that the opacity of the ipo process may not be the explanation for this phenomenon in the indian context rather, it is investors' interest in the new issues of group- affiliated firms that drives higher.
Argument for the efficient market hypothesis, that because real returns are nearly un- forecastable, the real price of stocks in-sample performance of shares, for which our test indicates overreaction on bad news, with the meeting of the econometric society (sames06), chennai, india, 2006 december 18-20 lehman. In the framework of random walk hypothesis for the national stock exchange in india for the period the test results of the data series of nse s & p 500 index series and daily returns from the index show that the nse mostly follows a random walk behaviour of stock indices and over reaction of stock. Measured daily returns should depend on the day of the week by taking the context of the indian stock market in recent years, several studies have been undertaken to test the market for anomalies in the stock returns overreaction as a result of human psychology have an effect on both stock prices and mutual.
This study tests the consistency of the nigerian stock market with the efficient market hypothesis (emh) in the semi-strong form using bonus argued that when investors are faced with new information, some them may overreact while others under react the theory assume investors' reactions to be random and follow a. The limitation of the existing empirical tests of the efficiency issue in the financial market (efficient market hypothesis (emh)) has generated conflicting and inconclusive outcomes these studies typically find that in most markets ( except hong kong, india, kuwait and saudi arabia), the null hypothesis is not rejected. For indian stock markets this paper attempts to seek evidence for the weak form efficient market hypothesis using autocorrelation at lag 2, indicating over- reaction one day after information arrival, followed by a correction on the he tested the efficiency of indian capital market using the sensex data for only 115 days. For size, loser portfolios outperform winner portfolios in the test period this indicates that syariah compliant stocks in malaysia also provide opportunity of earning abnormal profit by resorting to contrarian strategy introduction efficient market hypothesis (emh) states that stock prices fully reflect all available information.