Prior Return Effect in Indian Stock Market: Some Empirical Evidence

2014 ◽  
Author(s):  
Vanita Tripathi ◽  
Shalini Aggarwal
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Return Effect ◽  
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.

Day Of The Week Effect: Empirical Evidence From Indian Stock Market

Paradigm ◽  
2004 ◽  
Vol 8 (2) ◽  
pp. 9-13 ◽  
Author(s):  
Mohit Gupta ◽  
Navdeep Aggarwal
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Day Of The Week ◽  
Indian Stock Market

scholarly journals Month-of-the-Year Effect: Empirical Evidence from Indian Stock Market

2022 ◽  
Author(s):  
Rajesh Elangovan ◽  
Francis Gnanasekar Irudayasamy ◽  
Satyanarayana Parayitam
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Year Effect ◽  
Indian Stock Market
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