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Kamaiah, B.
- On the Random Walk Characteristics of Stock Returns in India
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Affiliations
1 Department of Economics, University of Hyderabad, Hyderabad - 500046
2 Department of Economics, University of Hyderabad, Hyderabad - 500046, IN
1 Department of Economics, University of Hyderabad, Hyderabad - 500046
2 Department of Economics, University of Hyderabad, Hyderabad - 500046, IN
Source
Artha Vijnana: Journal of The Gokhale Institute of Politics and Economics, Vol 51, No 1 (2009), Pagination: 85-96Abstract
An attempt is made in this paper to examine whether stock returns in two premier stock exchanges in India namely, Bombay Stock Exchange (BSE) and National Stock Exchange (NSE) follow a random walk. Towards this end, data on major indices during the period 1997 to 2009 are analyzed by using nonparametric Runs and BDS tests. The findings of the study reveal that the stock returns do not follow a random walk during the sample period.- Asset Price Behaviour in Indian Stock Market: Is Conditional CAPM Relevant?
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Authors
S. Amanulla
1,
B. Kamaiah
1
Affiliations
1 Department of Economics, University of Hyderabad, Hyderbad - 500 046, IN
1 Department of Economics, University of Hyderabad, Hyderbad - 500 046, IN
Source
Artha Vijnana: Journal of The Gokhale Institute of Politics and Economics, Vol 39, No 4 (1997), Pagination: 421-456Abstract
The present study attempts to test the validity of the Conditional Capital Assel Pricing Model (CAPM) in the context of Indian stock market. The Autoregressive Conditional Heteroscedastic (ARCH) process, as well as, its variants such as ARCH-in-Mean (ARCH-M), Generalised Autoregressive Conditional Heteroscedastic (GARCH) and GARCH-in Mean (GARCH-M), Me employed to ascertain whether the CAPM -with these process can explain asset price behaviour of Indian stock market better. The results based on the monthly return of 53 stocks traded in the Bombay Stock Exchonge (BSE) during the period 1987: 1-1994:5 reveal that the conditional CAPM performs well under empirical scrutiny.- Information Arrivals, Stock Price Variability and Market Efficiency in Indian Stock Market
Abstract Views :351 |
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Authors
Affiliations
1 The Department of Economics, University of Hyderabad, Hyderabad 500 046, IN
1 The Department of Economics, University of Hyderabad, Hyderabad 500 046, IN
Source
Artha Vijnana: Journal of The Gokhale Institute of Politics and Economics, Vol 38, No 1 (1996), Pagination: 20-33Abstract
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.- Market Integration as an Alternative Test of Market Efficiency: A Case of Indian Stock Market
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Artha Vijnana: Journal of The Gokhale Institute of Politics and Economics, Vol 37, No 3 (1995), Pagination: 215-230Abstract
Using the principle that market integration refutes market efficiency, an attempt is made in this paper to examine the Indian stock market efficiency by using two market integration approaches, viz., the Ravallion, and Cointegration and error correction approaches. The data used are the RBI monthly aggregate share indices relating to the all India, and five selected regional stock exchanges, viz., Bombay, Calcutta, Madras, Delhi and Ahmedabad, during the period 1980-1993. The results show that there is no evidence in favour of market efficiency of Bombay, Madras and Calcutta stock exchanges while contrary evidence is found in case of Delhi and Ahmedabad.- Wagner's Law in Developing Countries: Evidence from Time Series Analysis
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Artha Vijnana: Journal of The Gokhale Institute of Politics and Economics, Vol 37, No 3 (1995), Pagination: 231-250Abstract
The objective of this study is to verify Wagner's law in the context of a group of twenty developing countries with the aid of elasticity, casuaity, cointegration and error-correction approaches. The cointegration tests confirm the presence of long-run relationship between national income and government expenditure in most of the sample countries. Though the evidences from elasticity, Granger causality test and error-correction models are somewhat mixed, the overall weight of the findings is in favour of the law. This revealation, however, is significant especially when several previous studies have questioned the validity of the law by relying exclusively on the Granger tests.- On Testing the Exogeneity Specification Underlying the Monetary Approach to Balance of Payments: The Indian Case
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Artha Vijnana: Journal of The Gokhale Institute of Politics and Economics, Vol 35, No 2 (1993), Pagination: 133-149Abstract
The Monetary Approach to Balance of Payments (MABP) has triggered off a controversy over fundamental proposition of exogeneity of price level, real income, interest rate, money multiplier and changes in domestic credit with respect to reserve flows. The present study investigates into the validity of the exogeneity assumptions under-lying the monetary model in three different ways. Firstly, a simultaneous estimation of the reserve flow and sterilization equations is made to confirm the absence of sterilization. Secondly, using three causality tests viz., the Granger, Sims and Multiple Rank F tests, bi-variate causality is examined. Finally, a multivariate systems test of causality within the framework of a Complete Dynamic Simultaneous Equation Model (CDSEM) is applied to test the joint exogeneity of the right hands side variables in the reserve flow equation. The findings of the study which are based on Indian annual data relating to the period 1950-90, by and large, do not support the exogeneity specification. While the causality tests collectively fail to provide any definite pattern of pair-wise causality, the OLS and 3SLS estimates of the reserve flow and sterilization equations, and Wald and likelihood ratio tests of the CDSEM, clearly reject the exogeneity assumptions.- Sterilisation Adoption and Socio - Demographic Factors : Some Evidence form NSS Data of Andhra pradesh
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Artha Vijnana: Journal of The Gokhale Institute of Politics and Economics, Vol 36, No 2 (1994), Pagination: 93-112Abstract
This paper highlights primarily the role of socio-demographic factors in Influencing sterilization adoption in Andhra Pradesh and its regions. Since sterilization adoption is defined to be a binary choice variable, three qualitative choice models viz., logit, probit and Tobit are formulated and estimated. The evidences, based on the 42nd Round of NSS data, reveal that socio-demographic factors such as duration of marriage. number of ch iIdren and presence of an educated aduIt female in the family, play an Important role in sterilization adoption in Andhra Pradesh.- Causality between Tax Revenue and Expenditure of Indian States
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Artha Vijnana: Journal of The Gokhale Institute of Politics and Economics, Vol 33, No 4 (1991), Pagination: 335-344Abstract
The classical axiom of a balanced budget as a virtue of sound Government collapsed under the onslaught of Great Depression of the 1930s. At that juncture, Keynes recommended deficit budgeting as an important tool for the revival of an economy. Eversince, deficit budgeting is being advocated as a means of financing economic development by both developing and developed countries. However, the problem of rising budget deficit over the years in most countries has aroused a lot of concern among economists and policy makers. The presentation of a budget has also been anxiously awaited by all classes of people in anticipation of a rise, cut or introduction of a new tax by the Government.- Work Participation Behaviour of Married Women with Living Husbands: A Case of Rural and Urban Pondicherry
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