Market Efficiency and Stock Market

Raj S. Dhankar ()
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Raj S. Dhankar: University of Delhi

Chapter Chapter 8 in Risk-Return Relationship and Portfolio Management, 2019, pp 131-151 from Springer

Abstract: Abstract This study examines the concept of variable efficiency (time-varying levels of efficiency) and time-varying return predictabilityTime-varying return predictability in the Indian stock marketIndian stock market , which are the implications of Adaptive Markets HypothesisHypothesis (AMHAdaptive Market Hypothesis (AMH) ). We apply linear tests to examine the time-varying dependence in two different indices of the Bombay Stock Exchange (BSE) in India, i.e. Sensex (benchmark) and BSE 500 (broad-based) Index. We utilize rolling window approach to analyse the impact of observation period, time horizon and data frequency, on the weak form level of market efficiencyMarket efficiency . The results suggest patterns that are consistent with the implications of Adaptive Markets HypothesisHypothesis for both the indices. The broad-based BSE 500 Index has been found to be more inefficient than the benchmark Sensex.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isbchp:978-81-322-3950-5_8

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DOI: 10.1007/978-81-322-3950-5_8

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