Open AccessMarket Efficiency and Integration: An Examination of Indian Stock Market
Author(s) -
Chandra Shekhar Bhatnagar
Publication year - 2003
Publication title -
s and p : sound and pictures
Language(s) - English
Resource type - Journals
ISSN - 1675-722X
DOI - 10.32890/ijbf2003.1.2.8333
Subject(s) - stock market , economics , stock market index , phenomenon , stock (firearms) , macro , capitalization weighted index , stock market bubble , financial economics , market efficiency , efficient market hypothesis , index (typography) , econometrics , computer science , mechanical engineering , paleontology , physics , horse , quantum mechanics , world wide web , engineering , biology , programming language
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.