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Indian Stock Market: A Test of a Semi-Strong form Efficienty

Author

Listed:
  • Allen Roy

    (Institute for Social and Economic Change)

  • S Amanulla
  • B Kamaiah

Abstract

This paper attempts to test the stock market efficienty (in a semi-strong form) by investigating the relationsship between aggregate stock returns and a number of important macro variables including fiscal and monetary policy actions using the VAR methodology. This exercise is carried out using a set of Indian monthly data spanning over 1990:01 - 1998:12. Based on the Impulse Response functions and the Runkle-style confidence bands, the findings of the study suppor that the Indian Stock market is efficient with regard to the monetary and fiscal policy variables.

Suggested Citation

  • Allen Roy & S Amanulla & B Kamaiah, 1999. "Indian Stock Market: A Test of a Semi-Strong form Efficienty," Working Papers 51, Institute for Social and Economic Change, Bangalore.
    • Handle: RePEc:sch:wpaper:51
    as

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    File URL: http://www.isec.ac.in/Indian_stock_market_Price_integration_and_market_efficiency.pdf
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