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Amanulla, S.
- 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 :353 |
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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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