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Babu, M.
- Efficiency of Capital Markets:A Study with Special Reference to G7 Nations Stock Markets
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Authors
M. Babu
1,
C. Hariharan
2
Affiliations
1 Bharathidasan School of Management, Bharathidasan University, Tiriuchirappalli, IN
2 Bharathidasan School of Management, Bharathidasan University, Tiriuchirappalli., IN
1 Bharathidasan School of Management, Bharathidasan University, Tiriuchirappalli, IN
2 Bharathidasan School of Management, Bharathidasan University, Tiriuchirappalli., IN
Source
Asian Journal of Management, Vol 8, No 4 (2017), Pagination: 1295-1303Abstract
This study aims to explore the linkages among G7 nations’ stock market indices, namely, CAC 40, FTSE 100, FTSE MIB, GDAXI, NIKKEI 225, NYSE COMPOSITE and S&P TSX COMPOSITE during the study period from April 2004 to March 2014 by using Co integration Test, Vector Error Correction Model (VECM) and Granger Causality Test. The results of Johansen Co integration Test found that daily returns of G7 nations stock market indices were Co Integrated, The co efficient value of Vector Error Correction Model implied that the FTSE MIB, GADAXI and S&P Tesx Composite did not witness short term relationship with CAC 40 INDEX, FTSE 100, NIKKEI 225 and NYSE COMPOSITE INDEX, rest of the indices recorded short run relationship. The results of Granger Causality Test exhibited bidirectional relationship between following indices - S&P TSX COMPOSITE and CAC 40 INDEX, S&P TSX COMPOSITE and FTSE MIB, S&P TSX COMPOSITE and NYSE COMPOSITE INDEX, CAC 40 and FTSE MIB. Unidirectional causal relationship was found between FTSE 100 and GDAXI, FTSE MIB and NIKKEI 225, NIKKEI 225 and S&P TSX COMPOSITE. Finally the study concluded that G7 nations’ stock market indices recorded both Short and Long run linkages during the study period, hence international investors G7 nations' investors could go for both long run and short run diversification for reducing their investment risk in future, if investors diversify their investment in to listed companies of G7 nations' stock market indices.Keywords
G7 Indices, Integration, Garch (1, 1) Model, Johansen Co Integration Test, Vector Error Correction Model And Granger Causality Test.References
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- Guidi, F. and Ugur, M. (2014). An analysis of South-Eastern European stock markets: evidence on co-integration and portfolio diversification benefits. Journal of International Financial Markets, Institutions and Money, Vol. 30, pp. 119–136.
- Heikki Lehkonen and Kari Heimonen (2014), “Timescaledependent stock market comovement: BRICs vs. developed markets”, Journal of Empirical Finance, Vol. 28, pp - 90–103.
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- Rajkumar, G. S. (2015). “Linkages between India and three Asean stock markets: A co-integration approach” Journal of Commerce and Accounting Research, 4(1).
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- Exploring the Efficiency of Indian Capital Market with Reference to S and P BSE Bankex Stocks
Abstract Views :193 |
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Authors
M. Babu
1
Affiliations
1 Assistant Professor, Bharathidasan School of Management, Bharathidasan University, Tiruchirappalli - 620 024, Tamil Nadu, IN
1 Assistant Professor, Bharathidasan School of Management, Bharathidasan University, Tiruchirappalli - 620 024, Tamil Nadu, IN
Source
Asian Journal of Management, Vol 9, No 2 (2018), Pagination: 939-946Abstract
The investments in stock markets largely depend on the flow of market information. The information flow has got its effect in the returns of the investors. In the market efficiency analysis, it is evident that the investors cannot earn abnormal returns as the market information is available to everyone. Banking sector is considered as one of the major indicator of economic development. The performance of S and P BSE Bankex over the study period has witnessed significant volatility as many major reforms were initiated by the Reserve Bank of India. Hence the present study analysed the weak form efficiency of Indian Banking sector over the period April 2007 to March 2013 using various econometric models namely Stationarity test, Runs Test and Autocorrelation analysis. The findings evidenced the share prices of selected sample banking companies were independent. The results of the study were helpful in deciding the timing of investments in banking stocks for investors.Keywords
Autocorrelation, Banking stocks, Market Efficiency, Runs Test and Volatility.References
- Abdul Aziz Farid Saymeh (2014). "Empirical Testing for Weak form hypothesis of Emerging Capital Markets: A comparative study of Jordan's ASE and Turkey's BORSA IST". Interdisciplinary Journal of Contemporary Research in Business. Vol. 5, No. 9, pp.61-80.
- Abdus Salam (2013). "Testing on Weak form market Efficiency hypothesis: The evidence from Dhaka Stock Market yearn2004-2012". International Journal of Science and Research. Vol.2, Issue 12, pp.371-377.
- Asma Mobarek and Angelo Fiorante (2014). "The Prospects of BRIC Countries: Testing Weak- form Market Efficiency". Research in International Business and Finance. Vol.30. pp.217-232.
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- Kapil Jain and Paryul Jain (2013). "Empirical study of the Weak form of EMH on Indian Stock Market". International Journal of Management and Social Science Research. Vol.2, No.11, pp.52-59.
- Rakesh Gupta (2007). "Weak Form Efficiency in Indian Stock Market". International Business and Economics Research Journal. Vol.6, No.3, pp. 57-64.
- Shikha Mahajan and Manisha Luthra (2013). "Testing Weak form Efficiency of BSE Bankex". International Journal of Commerce, Business and Management. Vol. 2, No.5, pp.270-273.
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- Working Papers:
- Ankita Mishra et al (2014). "The Random-Walk Hypothesis on the Indian Stock Market". Monash University- Business and Economics Discussion paper 07/14.
- Text Books:
- Chris Brooks. (2008). Introductory Econometrics for Finance, (2nd Edition), Cambridge University Press, The ICMA Centre, University of Reading, London.
- Roman Kozhan. (2010). Financial Econometrics with E-Views. Ventus Publishing Aps, Denmark.
- Donald. E. Fisher and Donald. J. Jordan (2001). Security Analysis and Portfolio Management, Prentice-Hall of India, New Delhi.