This research paper studied the impact of foreign investments on Indian equity market. For achieving such objective, the monthly data have been collected for BSE Sensex, NSE nifty and Foreign Equity Investments during year 2005 to 2016.... more
This research paper studied the impact of foreign investments on Indian equity market. For achieving such objective, the monthly data have been collected for BSE Sensex, NSE nifty and Foreign Equity Investments during year 2005 to 2016. For data analysis and interpretation, various statistical tools have been used such as Augmented Dickey Fuller (ADF) Test, Granger Causality Test, Johansen Co-integration Test and Vector Error Correction Model. To conclude, foreign investments do not cause the movement of Indian equity market but the reverse present. Further, there is no long run causality from Indian equity market to foreign investments.
Market efficiency of Indian stock market based on the daily return of NSE Nifty and BSE Sensex form 1 January 1994 to 31 December 2015 is tested by applying Unit root, Autocorrelation, Run test and Variance ratio methodologies for seven... more
Market efficiency of Indian stock market based on the daily return of NSE Nifty and BSE Sensex form 1 January 1994 to 31 December 2015 is tested by applying Unit root, Autocorrelation, Run test and Variance ratio methodologies for seven sub-periods based on the trends and patterns in the movements of Indian market. The unit root tests like ADF and PP proved that the Indian stock market is non-stationary and contains a unit root. The auto correlation results are also revealed high degree of dependence on previous prices, which means that previous prices are related with current prices. The strong autocorrelation behaviour of the variable leads to non stationarity situation in data series, which means that the stock market movements are not in predictable manner. The run test results also proved that there is no randomness in Indian stock market. The results from the sub periods for each test are also giving the results which support the whole study period results. It clearly proved real behaviour of Indian stock market. From the results, it is clear that the Indian stock market does not follow random walk and it is in inefficient in its weak form. KEY WORDS :-Market efficiency, Weak form, Dependency behaviour of Market, Independent Movements, Random Movements.
