Bhatnagar, Chandra Shekhar (2003) Market Efficiency and Integration: An Examination of Indian Stock Market. International Journal of Banking and Finance (IIJBF), 1 (2). pp. 15-48. ISSN 1675-7227

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Abstract

This paper examines the efficiency and integration of the Indian stock market. The weak form of efficiency has been tested by studying the stationarity characteristics of theMSCI Stock Price Index of India. For testing the semi-strong form of efficiency and integration of the Indian Stock Market with the macro phenomenon of emerging stock markets of the world, the causality between the MSCI Stock Price Index of India and the MSCI EMF Index has been studied. The results point out that the Indian Stock Market is efficient in its weak sense. However, the same is not true for the semi-strong form of market efficiency. Therefore, the utility of a forecasting model having the macro phenomenon (MSCI EMF Index in the present case) as a forecasting variable cannot be ruled out.

Item Type:	Article
Subjects:	H Social Sciences > HG Finance
Divisions:	School of Economics, Finance & Banking
Depositing User:	Mrs. Norazmilah Yaakub
Date Deposited:	11 Nov 2018 00:42
Last Modified:	11 Nov 2018 00:42
URI:	https://repo.uum.edu.my/id/eprint/25122

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