Speed of information adjustment in Indian stock indices

By:

PREASANNA, P KRISHNA

Contributor(s):

MENON, ANISH S

Material type:

Mixed materialsPublication details: 2014Description: 150-159Subject(s):

STOCK MARKET

NLM classification:

332.6322

In: MANAGEMENT REVIEWMSummary: This study attempts to analyse the speed at which information gets incorporated into the various stock indices in India. Four alternative speed estimators viz., the AR (1) model the ARMA (1,1) model, the ARMA (1,X) model, adnthe cross-covariance estimator were calculated to estimate the rate at which information is adjusted. The lead-lag relationships be tween indices with veried characterstics were also analysed. It was observed that the sensex and the nifty indices, the constituents ofwhich are large capitalisation stocks, led the smaller indices till 2009.

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Holdings
Item type	Current library	Call number	Vol info	Status	Date due	Barcode
Periodicals/Magazines	SSCBS Library		25/3	Available		P15244

This study attempts to analyse the speed at which information gets incorporated into the various stock indices in India. Four alternative speed estimators viz., the AR (1) model the ARMA (1,1) model, the ARMA (1,X) model, adnthe cross-covariance estimator were calculated to estimate the rate at which information is adjusted. The lead-lag relationships be tween indices with veried characterstics were also analysed. It was observed that the sensex and the nifty indices, the constituents ofwhich are large capitalisation stocks, led the smaller indices till 2009.

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