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Information Arrivals, Stock Price Variability and Market Efficiency in Indian Stock Market


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1 The Department of Economics, University of Hyderabad, Hyderabad 500 046, India
     

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The present paper examines whether the Indian stock market is an efficient processor of macro information or not. The data used are the monthly RBI share price indices of all India, Bombay, Calcutta, Madras, Ahmedabad and Delhi during the period 1981-84 to 1994-95. The causality framework is employed to ascertain whether share price variability can explain the arrival of macro information such, as money supply, income and price level. The results of Granger (1969) and Geweke, Meese and Dent (1983) tests show mixed evidences i.e., while the regional stock markets are efficient in processing money supply, they are not efficient in processing the other two macro variables.
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  • Information Arrivals, Stock Price Variability and Market Efficiency in Indian Stock Market

Abstract Views: 437  |  PDF Views: 1

Authors

S. Amanulla
The Department of Economics, University of Hyderabad, Hyderabad 500 046, India
Arun Kumar Giri
The Department of Economics, University of Hyderabad, Hyderabad 500 046, India
B. Kamaiah
The Department of Economics, University of Hyderabad, Hyderabad 500 046, India

Abstract


The present paper examines whether the Indian stock market is an efficient processor of macro information or not. The data used are the monthly RBI share price indices of all India, Bombay, Calcutta, Madras, Ahmedabad and Delhi during the period 1981-84 to 1994-95. The causality framework is employed to ascertain whether share price variability can explain the arrival of macro information such, as money supply, income and price level. The results of Granger (1969) and Geweke, Meese and Dent (1983) tests show mixed evidences i.e., while the regional stock markets are efficient in processing money supply, they are not efficient in processing the other two macro variables.


DOI: https://doi.org/10.21648/arthavij%2F1996%2Fv38%2Fi1%2F115971