Speed of information adjustment in Indian stock indices
Material type: Mixed materialsPublication details: 2014Description: 150-159Subject(s): NLM classification:- 332.6322
Item type | Current library | Call number | Vol info | Status | Date due | Barcode | |
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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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