Artha Vijnana: Journal of The Gokhale Institute of Politics and Economics

S. Amanulla ¹, B. Kamaiah ¹

Affiliations
1 Department of Economics, University of Hyderabad, Hyderbad - 500 046, IN

Abstract

The present study attempts to test the validity of the Conditional Capital Assel Pricing Model (CAPM) in the context of Indian stock market. The Autoregressive Conditional Heteroscedastic (ARCH) process, as well as, its variants such as ARCH-in-Mean (ARCH-M), Generalised Autoregressive Conditional Heteroscedastic (GARCH) and GARCH-in Mean (GARCH-M), Me employed to ascertain whether the CAPM -with these process can explain asset price behaviour of Indian stock market better. The results based on the monthly return of 53 stocks traded in the Bombay Stock Exchonge (BSE) during the period 1987: 1-1994:5 reveal that the conditional CAPM performs well under empirical scrutiny.

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S. Amanulla ¹, Arun Kumar Giri ¹, B. Kamaiah ¹

Affiliations
1 The Department of Economics, University of Hyderabad, Hyderabad 500 046, IN

Abstract

The present paper examines whether the Indian stock market is an efficient processor of macro information or not. The data used are the monthly RBI share price indices of all India, Bombay, Calcutta, Madras, Ahmedabad and Delhi during the period 1981-84 to 1994-95. The causality framework is employed to ascertain whether share price variability can explain the arrival of macro information such, as money supply, income and price level. The results of Granger (1969) and Geweke, Meese and Dent (1983) tests show mixed evidences i.e., while the regional stock markets are efficient in processing money supply, they are not efficient in processing the other two macro variables.

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S. Amanulla , B. Kamaiah

Abstract

Using the principle that market integration refutes market efficiency, an attempt is made in this paper to examine the Indian stock market efficiency by using two market integration approaches, viz., the Ravallion, and Cointegration and error correction approaches. The data used are the RBI monthly aggregate share indices relating to the all India, and five selected regional stock exchanges, viz., Bombay, Calcutta, Madras, Delhi and Ahmedabad, during the period 1980-1993. The results show that there is no evidence in favour of market efficiency of Bombay, Madras and Calcutta stock exchanges while contrary evidence is found in case of Delhi and Ahmedabad.

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