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Al-Barkaat Journal of Finance & Management
Year : 2010, Volume : 2, Issue : 1
First page : ( 19) Last page : ( 34)
Print ISSN : 0974-7281.

Can Stock Indices Bear the News of Indian Capital Market?

Dr. Ansari Abdul Aziz, Professor & Head, Jana Samiran, Professor & Head

Department of Commerce and Business Studies. Jamia Millia Islamia. New Delhi; and Programme Manager of International Management Institute, New Delhi, Email for Correspondence: samiranjana@imLedu.

Abstract

An index bears the news of a stock market or a country where it exists. So it is a barometer of a country's economy. It is also getting used as information source in many researches. But this could be properly happen if Indian market follow random walk hypothesis. This implies that price manipulation at Indian capital market will not be possible. But since its liberalisation and gloabalisation. Indian capital markets have experienced various kinds of price rigging. Sensex at Bomaby Stock Exchange and S&P CNX Nifty at National Stock Exchange are the main two indices at Indian stock market. Authors have analysed five years daily return (from 15t January 2004 to 3 I 5t December 2008) of S&P CNX Nifty and Sensex to check the price behaviour of these two indices. Various statistical tests do not give any definite conclusion about randomness of their return.

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Keywords

Stock Indices, Noise Trader's Risk, Run Test, Variance Ratio Test.

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