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

Allen Roy, S Amanulla and B Kamaiah
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Allen Roy: Institute for Social and Economic Change

No 51, Working Papers from Institute for Social and Economic Change, Bangalore

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.

Keywords: Stock Market; Stock Prices; Stock Market Integration; Market Efficiency (search for similar items in EconPapers)
Pages: 24 pages
Date: 1999
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