SpringerBriefs in Economics

Indian Stock Market

An Empirical Analysis of Informational Efficiency

Authors: Hiremath, Gourishankar

  • ​Examines the returns behaviour in the Indian stock/equity market in the changed market environment, particularly in the context of financial market reforms that have been undertaken and are anticipated in the near future
  • Investigates the growth and efficiency of the Indian stock market in the theoretical framework of the Efficiency Market Hypothesis
  • Employs sophisticated time series econometric models and provides detailed and rigorous analysis of the movements in the Indian Stock Market
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  • ISBN 978-81-322-1590-5
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Softcover $54.99
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About this book

India is one of the major emerging economies of the world and has witnessed tremendous economic growth over the last decades. The reforms in the financial sector were introduced to infuse energy and vibrancy into the process of economic growth. The Indian stock market now has the largest number of listed companies in the world. The phenomenal growth of the Indian equity market and its growing importance in the economy is indicated by the extent of market capitalization and the increasing integration of the Indian economy with the global economy. Various schools of thought explain the behaviour of stock returns. The Efficient Market Theory is the most important theory of the School of Neoclassical Finance based on rational expectation and no-trade argument. The book investigates the growth and efficiency of the Indian stock market in the theoretical framework of the Efficiency Market Hypothesis (EMH). The main objective of the present study is to examine the returns behaviour in the Indian equity market in the changed market environment. A detailed and rigorous analysis, made with the help of the sophisticated time series econometric models, is one of the key elements of this volume. The analysis empirically tests the random walk hypothesis and focuses on issues like nonlinear dynamics, structural breaks and long memory. It uses new and disaggregated data on recent reforms and changes in the market microstructure. The data on various indices including sectoral indices help in measuring the relative efficiency of the market and understanding how liquidity and market capitalization affect the efficiency of the market.

About the authors

Gourishankar S Hiremath is Assistant Professor of Economics & Finance at Indian Institute of Technology Kharagpur (India). He previously worked at Indian Institute of Technology Jodhpur, Gokhale Institute of Politics and Economics, Pune, and ICFAI Business School (IBS)-Hyderabad. He holds a PhD in Financial Economics from University of Hyderabad, India and his areas of specialisation include Financial Markets – Indian Capital Market, International Finance, Financial and Commodity Derivatives and Applied Time Series Econometrics.  Dr. Hiremath has published several research papers in leading journals and in National and International conference proceedings. He has done research for National Bank for Agriculture and Rural Development (NABARD) and Climate Works Foundation, New Delhi. He is a member of Panel of Experts, Young Entrepreneurs Incentive Scheme of Rajasthan Financial Corporation sponsored by Council of State Industrial Development and Investment Corporations of India.

Table of contents (6 chapters)

  • Introduction

    Hiremath, Gourishankar S.

    Pages 1-17

  • Random Walk Characteristics of Stock Returns

    Hiremath, Gourishankar S.

    Pages 19-39

  • Nonlinear Dependence in Stock Returns

    Hiremath, G. S.

    Pages 41-57

  • Mean-Reverting Tendency in Stock Returns

    Hiremath, Gourishankar S

    Pages 59-83

  • Long Memory in Stock Returns: Theory and Evidence

    Hiremath, Gourishankar S.

    Pages 85-98

Buy this book

eBook $39.99
price for USA (gross)
  • ISBN 978-81-322-1590-5
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $54.99
price for USA
  • ISBN 978-81-322-1589-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Indian Stock Market
Book Subtitle
An Empirical Analysis of Informational Efficiency
Authors
Series Title
SpringerBriefs in Economics
Copyright
2014
Publisher
Springer India
Copyright Holder
The Author(s)
eBook ISBN
978-81-322-1590-5
DOI
10.1007/978-81-322-1590-5
Softcover ISBN
978-81-322-1589-9
Series ISSN
2191-5504
Edition Number
1
Number of Pages
XIX, 124
Number of Illustrations and Tables
7 b/w illustrations
Topics