Testing the adaptive market hypothesis and its determinants for the Indian stock markets

Gourishankar Hiremath and Seema Narayan ()

Finance Research Letters, 2016, vol. 19, issue C, 173-180

Abstract: We examine the adaptive market hypothesis using the Generalized Hurst exponent, derived using fixed and rolling windows. We find that the Indian stock market is moving towards efficiency. We also ascertain a positive and significant link between the Indian market's efficiency gap and financial crises, other international shocks and major domestic policy and crisis-related events. Net foreign institutional investment increases the efficiency gap, although the impact is less for international events. Foreign institutional investment and market microstructure factors do not influence efficiency in an emerging market. This evidence would benefit a stock market liberalization policy review.

Keywords: Time-varying efficiency; Adaptive market hypothesis; Financial liberalization; Economic crisis; Market microstructure; International capital flows; India (search for similar items in EconPapers)
JEL-codes: C12 G12 G14 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612316301271
Full text for ScienceDirect subscribers only

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:eee:finlet:v:19:y:2016:i:c:p:173-180

DOI: 10.1016/j.frl.2016.07.009

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().