Interdependence and Dynamic Interactions Among Fundamental Factors and Stock Prices: Evidence from Indian Stock Market

2012 ◽  
Author(s):  
Sony Thomas
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Dynamic Interactions ◽  
Indian Stock Market

Prior Return Effect in Indian Stock Market: An Intra-day Analysis

2015 ◽  
Vol 5 (1) ◽  
Author(s):  
Vanita Tripathi ◽  
Shalini Aggarwal
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
High Frequency ◽  
Good News ◽  
High Frequency Data ◽  
Short Term ◽  
Fund Managers ◽  
News Events ◽  
Return Effect ◽  
Indian Stock Market

In a first of this kind, this paper examines the issue of prior return effect in Indian stock market in intra-day analysis using high frequency data. We document that in Indian stock market, security returns exhibit a reversal in their direction within few minutes of extreme price rises as well as price falls. However the speed with which the correction takes place is slightly different for good news events and bad news events. Indian investors tend to be optimistic as they immediately bring stock prices up following unjustified price falls but take time to bring stock prices down following unjustified price rises. These findings lend a further support to short-term overreaction literature. More importantly, these findings serve as a proof of predictability of the direction of future stock prices and consequent returns on an intra-day basis. It forwards important investment implications for traders, fund managers, and investors at large.

Bull and Bear Phases: An Empirical Perusal of Indian Stock Market NSE and BSE Stock Markets?

2016 ◽  
Vol 6 (2) ◽  
Author(s):  
Sunaina Kanojia ◽  
Neha Arora
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Prices ◽  
Time Series Data ◽  
Series Data ◽  
Bear Market ◽  
Bull Markets ◽  
Indian Stock Market ◽  
Increases In Risk ◽  
Considerable Support

In general, any one known to stock market is acquainted with the phenomenon of bull and bear phases, but whether the traders or investors put air to these phases while making a decision to buy, sell, or stay invested. The present paper attempts to identify and analyze the two most popular market phases, i.e. bull and bear, for better investment decisions with the use of Bry and Boschan Algorithm and time series data. Further, it seeks to analyze the distributional characteristics of the variances in stock returns and search evidence of asymmetries, if any, in volatility under different market conditions which may help to shed light on the bull and bear phases of Indian equity market. The study arrange for evidence that in bull markets, stock prices run far ahead of earnings and for fairly long periods of time. The paper indicates 12 bull and bear phases in the Sensex and Nifty during the sample period of 19 years with the associated factors responsible for the shift of bull and bear market phases. The results provide considerable support for the view that markets choose to ignore adverse possibilities and react with zest to favorable possibilities and market declines can partly be explained by increases in risk.

Understanding Distribution Pattern of Banking Sector Stock Prices in Indian Stock Market

2010 ◽  
Vol 6 (3) ◽  
pp. 88-98
Author(s):  
Praloy ◽  
Sooraj ◽  
Archana ◽  
Rinu ◽  
Charul ◽  
...  
Keyword(s):  
Stock Market ◽  
Distribution Pattern ◽  
Stock Prices ◽  
Banking Sector ◽  
Indian Stock Market

Impact on Stock Price by the Inclusion to and Exclusion from CNX Nifty Index

2012 ◽  
Vol 13 (1) ◽  
pp. 39-50 ◽  
Author(s):  
M. Selvam ◽  
G. Indhumathi ◽  
J. Lydia
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Price ◽  
Research Study ◽  
Stock Exchange ◽  
Valuation Effect ◽  
Index Maintenance ◽  
Indian Stock Market ◽  
The Impact ◽  
Indian Perspective

Changes in an index are a regular phenomenon and they take place due to the inclusion and exclusion of stocks from the index. The inclusion or exclusion of stocks creates great impact on the value of the firm. However, these changes are simply a short-lived event with no permanent valuation effect. The present research study analyzed the impact of the inclusion into and exclusion of certain stocks from National Stock Exchange (NSE) S&P CNX Nifty index with Indian perspective. The study provides evidence on whether the announcements of Nifty index maintenance committee have any information content. This will also demonstrate the efficiency of Indian stock market with particular reference to NSE. The study revealed that on an average, no permanent effects were observed on stock prices. It is also found from the study that the NSE reacted unfavourably to the inclusion and exclusion of stocks and it is impossible to earn any excess returns where the particular stocks are included or excluded from the index.

scholarly journals Market Efficiency of Indian Capital Market: An Event Study Around the Announcement of Results of Lok Sabha Election 2019

2020 ◽  
Vol 12 (1) ◽  
pp. 60
Author(s):  
Nazreen Parveen Ali ◽  
Ashit Saha
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Stock Prices ◽  
Public Information ◽  
Market Model ◽  
Event Window ◽  
Share Prices ◽  
Indian Stock Market ◽  
The Impact ◽  
Adf Test

Market efficiency categorizes a stock market into three sections based on the reaction of share prices to private and public information. This paper mainly deals with reactions of stock market dynamics to information in political events considering the impact of result announcement of the Lok Sabha Elections 2019 on the Indian Stock market as reflected in the behaviour of share prices. Taking BSE 100 as the proxy market, daily closing stock prices of the 30 companies listed in BSE SENSEX was used. An estimation window of 120 trading days was taken prior to the event window. The standard Market model was applied to calculate the AAR and CAAR during the event window of 21 days. Further the Augmented Dickey Fuller (ADF) Test for unit root is applied to measure the stationary of the variables and the presence of ARCH/GARCH effect is tested to understand the volatility during the study period. The Runs Test was used to test the randomness of AAR and the paired sample t test was applied to check the impact of the event on the volume of trading. Consistent negative returns were observed following the event. But the absence of volatility and the insignificant results indicated that market efficiency Indian Stock Market is in a semi strong form.

Bull and Bear Phases: An Empirical Perusal of Indian Stock Market NSE and BSE Stock Markets?

GIS Business ◽  
2016 ◽  
Vol 11 (5) ◽  
pp. 11-24
Author(s):  
Sunaina Kanojia ◽  
Neha Arora
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Prices ◽  
Time Series Data ◽  
Series Data ◽  
Bear Market ◽  
Bull Markets ◽  
Indian Stock Market ◽  
Increases In Risk ◽  
Considerable Support

In general, any one known to stock market is acquainted with the phenomenon of bull and bear phases, but whether the traders or investors put air to these phases while making a decision to buy, sell, or stay invested. The present paper attempts to identify and analyze the two most popular market phases, i.e. bull and bear, for better investment decisions with the use of Bry and Boschan Algorithm and time series data. Further, it seeks to analyze the distributional characteristics of the variances in stock returns and search evidence of asymmetries, if any, in volatility under different market conditions which may help to shed light on the bull and bear phases of Indian equity market. The study arrange for evidence that in bull markets, stock prices run far ahead of earnings and for fairly long periods of time. The paper indicates 12 bull and bear phases in the Sensex and Nifty during the sample period of 19 years with the associated factors responsible for the shift of bull and bear market phases. The results provide considerable support for the view that markets choose to ignore adverse possibilities and react with zest to favorable possibilities and market declines can partly be explained by increases in risk.

Indication of Overreaction with or without Stock Specific Public Announcements in Indian Stock market

2014 ◽  
Vol 39 (3) ◽  
pp. 35-50 ◽  
Author(s):  
Sitangshu Khatua ◽  
H K Pradhan
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Market Integration ◽  
Information Diffusion ◽  
Abnormal Returns ◽  
Present Sample ◽  
Global Issues ◽  
Reversal Effect ◽  
Public Announcements ◽  
Indian Stock Market

Stock market overreacts to both anticipated and unanticipated stock-specific news. But even in the absence of any firm-specific news, evidences of extreme price changes have been observed in the stock market. This particular phenomenon creates the need of further study to examine the existence of overreaction even if there is no specific public news in the market. The present study tries to find out how stocks overreact in the case of unspecified events in comparison to specified news in the Indian stock market. Specified events can be monitored up to a certain extent because of their known and repetitive nature. The magnitude of uniqueness of the unspecified events increases uncertainty. Information diffusion is more asymmetric, which leads to more stock market overreaction. The study also examines whether there is a relationship between the magnitude of price reversals and the magnitude of gain or loss in the stock market return. Significant cumulative abnormal returns are found, indicating the existence of an overreaction effect. It is also found that the magnitude of price reversal is inversely proportional to the stock return during the event period. The overreaction effect continues up to about two days after the event date, for the present sample. Thus, the study provides an understanding of overreaction effects, which would enable investors to prepare trading strategies for higher returns. It can be said that the Indian stocks show strong overreaction and reversal effect. It shows that a trading strategy can be used to make contrarian profit from the overreaction and reversal exhibited by the Indian stocks. An investor could buy the largest percentage losers stocks or sell largest percentage gainers stocks, then sell the former one and buy the latter one after two trading days. In this way, the optimum utilization of overreaction effects may increase investors' return. Overreaction is more prominent in the case of unspecified events rather than specified events. Stock prices overreact to private news but underreact to subsequent public announcements. Overreaction increases due to information asymmetry and leakage. In the case of any macro/global issues, overreaction is also more because of market integration and globalization.

Sports sentiment and behavior of stock prices: a case of T-20 and IPL cricket matches

2019 ◽  
Vol 11 (3) ◽  
pp. 266-276 ◽  
Author(s):  
Gourishankar S. Hiremath ◽  
Hari Venkatesh ◽  
Manish Choudhury
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Prices ◽  
Negative Impact ◽  
Positive Impact ◽  
Moving Average ◽  
Stock Market Returns ◽  
Content Type ◽  
And Behavior ◽  
Indian Stock Market

Purpose The purpose of this paper is to examine whether the emotions and sentiments related to the outcome of the sporting event influence the investment making process. Design/methodology/approach This study uses the data on stock prices of firms sponsoring the Indian premier league (IPL) teams and data on Indian stock market. The event-study frameworks along with autoregressive moving average and GMM regression are employed to empirical quantify the impacts of the performance of the IPL teams on the stock market returns of the sponsors’ stocks and response of Indian stock market to the outcome of T-20 international matches. Findings The paper finds that the team winning IPL title in a season has a positive impact on the returns of the sponsors’ stocks of a particular team, whereas loss of team has a negative impact on returns. The outcome of the cricket matches played by team India in the T-20 has a negligible effect on the Indian stock market. Practical implications The finding of the study implies the coexistence of emotions and rationality at different points in time and the relevance of adaptive market hypothesis to explain such time-varying behavior. Originality/value The present investigation is first of its kind to test whether the performance of the IPL cricket team can influence the stock returns of the sponsors. This research shows that sentiment related to sports event such as cricket influences the decision-making process and thus affects underlying stock prices.

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