IDEAS home Printed from https://ideas.repec.org/p/sch/wpaper/50.html
   My bibliography  Save this paper

Indian Stock Market Price Integration and Market Efficiency

Author

Listed:
  • S Amanulla

    (Institute for Social and Economic Change)

  • B Kamaiah

Abstract

The main purpose of this paper is to test market effieicenty in a semi-strong form by employing price integration approaches such as the modified Ravallion model and cointegration tests. This paper also investigates whether India stock market is an effieienct processor of macro-information by applying a casuality test. The data used in this study are the monthly stock returns of 53 stocks traded in the Bombay Stock Exchange (BSE), two stock market price indices, viz., the BSE Sensitive Index and the BSE National Index of industrial production (IIP) and general price level (WPI) for the periond 1987:1 - 1994:5. the results from price integration tests support that the Indian Stock market is efficient in a semi-strong form. The evidence from the causality test, however, provides only marginal support for market efficiency.

Suggested Citation

  • S Amanulla & B Kamaiah, 1999. "Indian Stock Market Price Integration and Market Efficiency," Working Papers 50, Institute for Social and Economic Change, Bangalore.
    • Handle: RePEc:sch:wpaper:50
    as

    Download full text from publisher

    File URL: http://www.isec.ac.in/Forest_use_and_Management.pdf
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sch:wpaper:50. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: B B Chand (email available below). General contact details of provider: https://edirc.repec.org/data/iseccin.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.