基于快速消费品行业的有效市场假说实证研究

Q4 Earth and Planetary Sciences

GIS-Business Pub Date : 2020-01-11 DOI:10.26643/gis.v15i1.17895

Nitin Tanted, Prashant T. Mistry

{"title":"基于快速消费品行业的有效市场假说实证研究","authors":"Nitin Tanted, Prashant T. Mistry","doi":"10.26643/gis.v15i1.17895","DOIUrl":null,"url":null,"abstract":"One of the highly controversial issues in the area of finance is “Efficient Market Hypothesis”. Efficient Market Hypothesis states that, “In an efficient market, all available price information is reflected in the stock prices and it is not possible to generate abnormal returns compared to other investors.” A lot of studies conducted previouslyto test the Efficient Market Hypothesis, confirmed the theory until recent years, when some academicians found it to be non-applicable in financial markets. According to them, it is possible to forecast the stock price movements using Technical Analysis. The results of various studies have been inconclusive and indefinite about the issue. This study attempted to test the efficiency of FMCG Sector stocks in India in its weak form. For the study, closing prices of top 10 stocks from Nifty FMCG index has been taken for the 5-year period ranging from 1st October 2014 to 30th September 2019. Wald-Wolfowitz Run test has been used to test the haphazard movements in the stock price movements. The results indicated that FMCG sector stocks does support the Efficient Market Hypothesis and exhibit efficiency in its weak form. Hence, it is not possible to accurately predict the price movements of these stocks.","PeriodicalId":35489,"journal":{"name":"GIS-Business","volume":"10 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2020-01-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"An Empirical Study on Efficient Market Hypothesis with reference to FMCG Sector\",\"authors\":\"Nitin Tanted, Prashant T. Mistry\",\"doi\":\"10.26643/gis.v15i1.17895\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"One of the highly controversial issues in the area of finance is “Efficient Market Hypothesis”. Efficient Market Hypothesis states that, “In an efficient market, all available price information is reflected in the stock prices and it is not possible to generate abnormal returns compared to other investors.” A lot of studies conducted previouslyto test the Efficient Market Hypothesis, confirmed the theory until recent years, when some academicians found it to be non-applicable in financial markets. According to them, it is possible to forecast the stock price movements using Technical Analysis. The results of various studies have been inconclusive and indefinite about the issue. This study attempted to test the efficiency of FMCG Sector stocks in India in its weak form. For the study, closing prices of top 10 stocks from Nifty FMCG index has been taken for the 5-year period ranging from 1st October 2014 to 30th September 2019. Wald-Wolfowitz Run test has been used to test the haphazard movements in the stock price movements. The results indicated that FMCG sector stocks does support the Efficient Market Hypothesis and exhibit efficiency in its weak form. Hence, it is not possible to accurately predict the price movements of these stocks.\",\"PeriodicalId\":35489,\"journal\":{\"name\":\"GIS-Business\",\"volume\":\"10 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-01-11\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"GIS-Business\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.26643/gis.v15i1.17895\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"Earth and Planetary Sciences\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"GIS-Business","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.26643/gis.v15i1.17895","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"Earth and Planetary Sciences","Score":null,"Total":0}

引用次数: 0

摘要

金融领域最具争议的问题之一是“有效市场假说”。有效市场假说认为，“在有效市场中，所有可获得的价格信息都反映在股票价格中，与其他投资者相比，不可能产生异常回报。”以前进行的许多研究都是为了检验有效市场假说，直到最近几年，一些学者发现它不适用于金融市场。根据他们的观点，利用技术分析预测股票价格走势是可能的。关于这个问题，各种研究的结果都是不确定和不确定的。本研究试图测试快速消费品行业股票在其弱形式在印度的效率。在这项研究中，从2014年10月1日到2019年9月30日，Nifty快速消费品指数中排名前10位的股票的收盘价已被采用。沃尔福威茨运行测试已被用于测试股票价格波动的随机性。结果表明，快速消费品板块股票确实支持有效市场假说，并以弱形式表现出效率。因此，不可能准确预测这些股票的价格走势。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

An Empirical Study on Efficient Market Hypothesis with reference to FMCG Sector

One of the highly controversial issues in the area of finance is “Efficient Market Hypothesis”. Efficient Market Hypothesis states that, “In an efficient market, all available price information is reflected in the stock prices and it is not possible to generate abnormal returns compared to other investors.” A lot of studies conducted previouslyto test the Efficient Market Hypothesis, confirmed the theory until recent years, when some academicians found it to be non-applicable in financial markets. According to them, it is possible to forecast the stock price movements using Technical Analysis. The results of various studies have been inconclusive and indefinite about the issue. This study attempted to test the efficiency of FMCG Sector stocks in India in its weak form. For the study, closing prices of top 10 stocks from Nifty FMCG index has been taken for the 5-year period ranging from 1st October 2014 to 30th September 2019. Wald-Wolfowitz Run test has been used to test the haphazard movements in the stock price movements. The results indicated that FMCG sector stocks does support the Efficient Market Hypothesis and exhibit efficiency in its weak form. Hence, it is not possible to accurately predict the price movements of these stocks.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

GIS-Business Earth and Planetary Sciences-Earth and Planetary Sciences (all)

自引率

0.00%

发文量

期刊介绍： GIS Business with ISSN no. 1430-3663 is bimonthly UGC Approved journal for publication of research papers related to planning, managment, GIS, geography, geology, geoinformatics, earth sciences, remote sensing, satellites, GPS, coodinate systems, urban planning, spatial studies, human settlements, and many more related subjects. Remote sensing is the art and science of making measurements of the earth using sensors on airplanes or satellites and geographic information system (GIS) is a computer-based tool for mapping and analyzing feature events on earth. It integrates common database operations, such as query and statistical analysis, with maps. The open access journal GIS Business is a scientific journal that includes a wide range of fields in its discipline and reports the acquisition of information about an object or phenomenon without making physical contact with the object. It allows to view and analyse multiple layers of spatially related information associated with a geographic region/location. It publishes all concerned research findings and discoveries pertaining to the ingredients and their mode of therapeutic nature to create a platform for the authors to make their contribution towards the journal.