Open AccessCo-Movement and Index Changes - Evidence from The Emerging Indian Stock Market
Author(s) -
Srikanth Parthasarathy
Publication year - 2011
Publication title -
asian journal of finance and accounting
Language(s) - English
Resource type - Journals
ISSN - 1946-052X
DOI - 10.5296/ajfa.v3i1.835
Subject(s) - index (typography) , stock market index , stock market , emerging markets , economics , stock (firearms) , financial economics , benchmark (surveying) , capitalization weighted index , econometrics , finance , computer science , geography , cartography , context (archaeology) , archaeology , world wide web
This study investigates the return co-movement around the benchmark Nifty index changes for the period 1999-2010 in the Indian stock market. We find evidence of significant increase in co-movement between the added stocks and the Nifty index subsequent to additions to the benchmark Nifty index. On the contrary stocks deleted from the Nifty index do not evidence decreased co-movement between the deleted stocks and the Nifty index. We have employed various methodologies used by Vijh(1994), Barberis et al(2002) and Greenwood and Sosner (2002) and the results suggest that the information related views explain the Nifty index changes in the emerging Indian stock market.