Market Adaptability and Evolving Predictability of Stock Returns: An Evidence from India

Springer Science and Business Media LLC - Tập 27 - Trang 605-619 - 2020
Biswabhusan Bhuyan1, Subhamitra Patra1, Ranjan Kumar Bhuian2
1Department of Humanities and Social Sciences, Indian Institute of Technology Kharagpur, Kharagpur, India
2North Orissa University, Baripada, India

Tóm tắt

This study attempts to examine the adaptive market hypothesis and evolving predictability of stock returns using four decades of daily data from the Bombay Stock Exchange (BSE) and the National Stock Exchange (NSE) in India. The recent developed automatic portmanteau ratio (AVR) and wild bootstrap automatic variance ratio (WAVR) test are used for analysis. We also estimate both the AVR and WAVR statistics in the rolling window framework to examine evolving predictability. The results revealed that BSE and NSE are informationally inefficient in the weak-form. The results of rolling window analysis suggested that the degree of predictable patterns evolves over the period due to global and regional economic and non-economic events. Further, the study compare which stock market is more efficient and found that NSE is more efficient than BSE. The findings of this study provide essential inputs to investors on trading strategies in dynamic economic situations and policymakers to formulate an appropriate policy that can make the Indian stock markets efficient.

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Springer Science and Business Media LLC

Tập 27

605-619

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