利用动量和反向效应对印度股市有效市场假说弱形式的检验

Q4 Business, Management and Accounting

International Journal of Business and Globalisation Pub Date : 2023-01-01 DOI:10.1504/ijbg.2023.134387

Ramandeep Kaur, Rubeena Bajwa

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引用次数: 0

摘要

本研究旨在分析印度股票市场的效率。投资组合(动量和反向)是在11年的研究期间构建的，即从2006年4月到2017年3月，使用BSE 500上市股票的月度回报。计算了不同输赢组合的平均累积异常收益(MCAR)。投资组合的表现是在形成期和持有期分别为3个月、6个月、12个月和36个月的基础上分析的。采用序列相关、单位根、运行检验、方差比检验等方法对弱形式效率进行了检验。结果表明，所有单一排序的投资组合都可能产生异常收益。该研究的总体结果证实，通过纯粹关注过去的价格信息，印度投资者能够在股票市场上获得异常回报。该研究的结果将成为正在利用或努力利用动量和反向投资策略的投资组合经理的潜在来源。

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A test of the weak form of efficient market hypothesis in Indian Stock Market using momentum and contrarian effect

The current study intended to analyse efficiency of Indian Stock Market. The portfolios (momentum and contrarian) were framed over the 11 years study period, i.e., from April 2006 to March 2017 using monthly returns of BSE 500 listed stocks. The mean cumulative abnormal returns (MCAR) of different winner and loser portfolios were calculated. Portfolio performance was analysed on the basis of formation and holding periods being set at 3, 6, 12 and 36 months. Weak form efficiency was tested by using serial correlation, unit root, runs test and variance ratio test etc. The findings indicated that all single sorted portfolios could generate abnormal returns. Overall results of the study verified that by focussing purely on the past price information, Indian investors were able to earn abnormal returns in the stock market The results of the study will be a potential source for portfolio managers who are utilising or endeavouring to utilise to use the momentum and contrarian investment strategy.

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来源期刊

International Journal of Business and Globalisation Business, Management and Accounting-Business, Management and Accounting (all)

CiteScore

0.70

自引率

0.00%

发文量

期刊介绍： IJBG proposes and fosters discussion on various aspects of business and globalisation, including the physical environment and poverty. Topics covered include: - Internationalisation of SMEs - Cross-cultural business - Globalisation and poverty - Business ethics in the global environment - Emerging economies - Immigrant minorities in business - Indigenous enterprises and the global economy - International tourism - Eco-tourism - Sustainable development - Environmental degradation - The impact of oil and gas - Human mobility in a globalised world - Competition in a global economy - Localisation/glocalisation strategies within contemporary globalisation.