An Empirical Analysis of Behaviour of Stock Market Indices

Sushil Bajaj and Naman Sethi

Paradigm, 2016, vol. 20, issue 2, 216-235

Abstract: The present study aims to investigate the presence or absence of weak form market efficiency and unriddle the potential factors impacting the chaotic pattern of the stock market. The study carries the analysis by considering 12 countries’ indices categorized as developing and developed on the basis of their GDP. Five econometric tools were applied for accomplishing the objectives and it was evidenced that the American and Indian stock market are weak-form inefficient whereas most of the statistical tools adjudged three countries (i.e., Hong Kong, Singapore & South Korea) weak-form efficient. It was also unveiled in the study that settlement cycle, information disclosure, thinness of trading, trading hours, and market size could be the potential reasons impacting the weak form of efficiency of the stock market.

Keywords: Random walk hypothesis; variance ratio test; weak form of efficiency (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/0971890716670724 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:padigm:v:20:y:2016:i:2:p:216-235

DOI: 10.1177/0971890716670724

Access Statistics for this article

More articles in Paradigm
Bibliographic data for series maintained by SAGE Publications ().