Whereas in the strong form, nobody can outperform the market by any means as stock Thus, nobody can use fundamentalĪnalysis to make extra profits (Marcus et al., 2011). Information is already integrated in current stock prices. In the semi strong form, impact of all public as well as historically available Nonetheless, fundamental analysis and insider trading can be employed to make abnormal Technical analysis cannot be used for making abnormal profits (Marcus et al., 2011). In this form, all historical data is incorporated in the current stock prices (Marcus et al., 2011). The random walk hypothesis, which proclaims that stock prices fluctuate in a randomĪnd independent manner, is coherent with the weak form of market efficiency. Markets canīe classified into three levels of efficiency appertaining to the availability of relevant Relevant information comprises of past, public and private information. Information on stock prices as well as future distribution of stock prices.
There should be complete consensus between all market participants on the implication of the available Market participants can access information freely and easily.ģ. Fama also stated that the following conditions are to be met forĢ. The security prices quickly adjust to the new information as readily that isĪvailable” (Fama, 1970). Prices of individual securities, and where all relevant information is almost freely available Maximization, avidly competing with each other and attempting to predict future market Fama describesĮfficient market as “A market with large number of rational individuals, with a goal of profit Intrinsic value and hence, investors cannot earn any abnormal returns. According to EMH, stocks always trade at an unbiased estimate of their Investment theory and thereby states that stock prices, at all instances, exhibit all the available The Efficient Market Hypothesis (EMH) is a vital component of the modern Hence, it can be inferred that monsoon effect is present in the Indian stock market.ĮMH, Monsoon Effect, Anomaly, ADF Test, EGARCH Models Introduction Monsoon effect was found in indices tracking top performing 50 stocks and 500 stocks listed in NSE. No significant change was detected during the monsoon months for Midcap 100 and Nifty Smallcap 100. There was also a significant increase in the volatility during the month of September. The returns of Nifty 50 and Nifty 500 indices during the month of September were significantly higher. The results substantiate the fact that monsoon effect is present in the Indian equity market.
Nifty 50, Nifty Smallcap 100, Nifty Midcap 100 and Nifty 500 over a period of sixteen years (April 2002 to March 2018) were collected and analysed.
Eve the anomaly 2 of 3 series#
Daily time series data of closing price of four major indices i.e. This paper deals with identifying the presence of monsoon effect in the Indian stock market using EGARCH model as well as the impact on the volatility of returns of the selected indices during the monsoon months in India.
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