EconPapers    
Economics at your fingertips  
 

A mathematical statistical pricing model for emerging stock markets

Soumitra Mallick (), Amitava Sarkar, Kalyan K Roy, Anjan Chakraborty and Tamal Duttachaudhuri

Journal of Asset Management, 2007, vol. 7, issue 5, No 5, 335-346

Abstract: Abstract This paper carries out a dynamic analysis of stock pricing in emerging economies, using a cointegration model on panel data, using ‘nested’ procedures with subsets of company groupings and time periods — taking Indian stock markets as the concrete case. It is observed that all classifications of company groupings do not result in similar observations. This helps in developing an approach to panel data estimation for financial markets without using structural equations. At the same time it develops a dynamic asset pricing model for emerging economies using India as a concrete case with net worth, profit, dividend, debt–equity ratio, interest cost and their growths as control variables.

Keywords: dynamic stock pricing; panel data model; cointegration; industry properties; Indian capital asset pricing (search for similar items in EconPapers)
Date: 2007
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://link.springer.com/10.1057/palgrave.jam.2250041 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:pal:assmgt:v:7:y:2007:i:5:d:10.1057_palgrave.jam.2250041

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/palgrave.jam.2250041

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

 
Page updated 2022-06-16
Handle: RePEc:pal:assmgt:v:7:y:2007:i:5:d:10.1057_palgrave.jam.2250041