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Testing the Efficiency of Indian Options Market

Author : Anirban Ghatak

Publisher : GRIN Verlag

Page : 72 pages

File Size : 19,62 MB

Release : 2019-02-26

Category : Business & Economics

ISBN : 3668885990

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Book Description

Master's Thesis from the year 2014 in the subject Business economics - Investment and Finance, grade: A, University of Calcutta, language: English, abstract: The present study is conducted to test the efficiency of Indian options market. Very few studies have been conducted to test the efficiency of Indian derivatives market and especially Indian options market. This study is essential for testing the price discovery of the Indian options market. This study is motivated by lack of evidence and fills this gap by providing hitherto unavailable evidence on efficiency of the Indian options market. The purpose of the study is to test the efficiency of Nifty stock options. The study is done using trading data for 1 month. Market efficiency is tested by examining the validity of the put-call parity and of the hedging strategy. Black-Scholes model of option pricing is used to determine the fair option prices in this study. In case of mispricing of options contracts, hedging test is conducted to ascertain whether above normal returns are possible by taking advantage of the mispricing. In hedging test returns are calculated after the trader closes his position in the spot market. These returns are then compared to risk-free returns. When transaction costs are not taken into account, the hedging returns were more than the risk free returns for some stocks which showed that the market is inefficient. But after transaction costs are considered these returns became negative and ascertained that the market is efficient. Put-call parity test in the absence of the transaction costs showed that options market is inefficient. However in the presence of these costs, the hypothesis of market efficiency is accepted. The present study will help to get useful insights so that the options markets can be made more efficient as healthy financial markets are backbone of any financially healthy country. Furthermore, financial markets should be efficient and efficiency helps to prevent any kind of frauds in the financial markets.



Indian Stock Market

Author : Gourishankar S. Hiremath

Publisher : Springer Science & Business Media

Page : 135 pages

File Size : 17,54 MB

Release : 2013-10-28

Category : Business & Economics

ISBN : 8132215907

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Book Description

India is one of the major emerging economies of the world and has witnessed tremendous economic growth over the last decades. The reforms in the financial sector were introduced to infuse energy and vibrancy into the process of economic growth. The Indian stock market now has the largest number of listed companies in the world. The phenomenal growth of the Indian equity market and its growing importance in the economy is indicated by the extent of market capitalization and the increasing integration of the Indian economy with the global economy. Various schools of thought explain the behaviour of stock returns. The Efficient Market Theory is the most important theory of the School of Neoclassical Finance based on rational expectation and no-trade argument. The book investigates the growth and efficiency of the Indian stock market in the theoretical framework of the Efficiency Market Hypothesis (EMH). The main objective of the present study is to examine the returns behaviour in the Indian equity market in the changed market environment. A detailed and rigorous analysis, made with the help of the sophisticated time series econometric models, is one of the key elements of this volume. The analysis empirically tests the random walk hypothesis and focuses on issues like nonlinear dynamics, structural breaks and long memory. It uses new and disaggregated data on recent reforms and changes in the market microstructure. The data on various indices including sectoral indices help in measuring the relative efficiency of the market and understanding how liquidity and market capitalization affect the efficiency of the market.



Handbook of Evidence Based Management Practices in Business

Author : Satyendra Kumar Sharma

Publisher : Taylor & Francis

Page : 725 pages

File Size : 14,84 MB

Release : 2023-05-25

Category : Business & Economics

ISBN : 1000935159

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Book Description

This book is a collection of selected high-quality research papers presented at the 4th International Conference on Evidence-Based Management (ICEBM) 2023, held at Birla Institute of Technology & Science, Pilani, Rajasthan, India, during February 24–25, 2023. It has 76 chapters written by various scholars focusing on evidence-based management practices in different functional areas of management with the application of theory and empirical techniques. This book will be helpful to practitioners, academics, scholars, and policymakers.



S. Ganesan, Justin Paul

Author :

Publisher : Allied Publishers

Page : 292 pages

File Size : 30,70 MB

Release :

Category :

ISBN : 9788177648416

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Portfolio Construction, Measurement, and Efficiency

Author : John B. Guerard, Jr.

Publisher : Springer

Page : 480 pages

File Size : 49,48 MB

Release : 2016-09-23

Category : Business & Economics

ISBN : 3319339761

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Book Description

This volume, inspired by and dedicated to the work of pioneering investment analyst, Jack Treynor, addresses the issues of portfolio risk and return and how investment portfolios are measured. In a career spanning over fifty years, the primary questions addressed by Jack Treynor were: Is there an observable risk-return trade-off? How can stock selection models be integrated with risk models to enhance client returns? Do managed portfolios earn positive, and statistically significant, excess returns and can mutual fund managers time the market? Since the publication of a pair of seminal Harvard Business Review articles in the mid-1960’s, Jack Treynor has developed thinking that has greatly influenced security selection, portfolio construction and measurement, and market efficiency. Key publications addressed such topics as the Capital Asset Pricing Model and stock selection modeling and integration with risk models. Treynor also served as editor of the Financial Analysts Journal, through which he wrote many columns across a wide spectrum of topics. This volume showcases original essays by leading researchers and practitioners exploring the topics that have interested Treynor while applying the most current methodologies. Such topics include the origins of portfolio theory, market timing, and portfolio construction in equity markets. The result not only reinforces Treynor’s lasting contributions to the field but suggests new areas for research and analysis.



IBPS CRP Clerk XI Mains Exam 2022 | 1900+ Solved Questions (8 Full-length Mock Tests + 2 Previous Year Papers)

Author : EduGorilla Prep Experts

Publisher : EduGorilla Community Pvt. Ltd.

Page : 545 pages

File Size : 18,47 MB

Release : 2022-08-03

Category : Education

ISBN : 9355562136

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Book Description

• Best Selling Book in English Edition for IBPS CRP Clerk XI Mains Exam with objective-type questions as per the latest syllabus given by the IBPS. • Compare your performance with other students using Smart Answer Sheets in EduGorilla’s IBPS CRP Clerk XI Mains Exam Practice Kit. • IBPS CRP Clerk XI Mains Exam Preparation Kit comes with 10 Tests (8 Full-length Mock Tests + 2 Previous Year Papers) with the best quality content. • Increase your chances of selection by 14X. • IBPS CRP Clerk XI Mains Exam Prep Kit comes with well-structured and 100% detailed solutions for all the questions. • Clear exam with good grades using thoroughly Researched Content by experts.





Efficiency and Anomalies in Stock Markets

Author : Wing-Keung Wong

Publisher : Mdpi AG

Page : 232 pages

File Size : 39,23 MB

Release : 2022-02-17

Category : Business & Economics

ISBN : 9783036530802

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Book Description

The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.



Agricultural Policy Analysis

Author : Jeevika Weerahewa

Publisher : Springer Nature

Page : 492 pages

File Size : 39,5 MB

Release : 2022-04-09

Category : Technology & Engineering

ISBN : 9811632847

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Book Description

This book is centred around various interwoven topics which are fundamental to policy analysis in agriculture. Key concepts and tools that are fundamental for the analysis of agricultural policies and programmes are presented. Key concepts introduced include, the role of the state in a market economy with examples from the Sri Lankan and other developing economies, the international trade environment, and conceptual frameworks for analysing important domestic and international trade policies. It also highlights interconnections among agriculture, development, policy and illustrates the extent to which the agricultural sector contributes in achieving economic growth objectives, equity and equality objectives and environmental objectives. The book takes the readers through the nature of agricultural markets in developing countries, with special emphasis on Sri Lanka, and illustrates how the degree of competitiveness is measured at various market levels using multiple indices and methods. Several tools, with accompanying case studies, for the analysis of policies and programmes are detailed. These tools include the GTAP model, gravity models, extended benefit cost analysis, and linear programming. Tools and models are applied to the analysis of trade policies and agreements, marketing policies, environmental services, extension programmes, land tenure reforms and climate change adaptations. Case studies in relation to the agri-food policy and strategy response to COVID-19 Pandemic are also covered. This book is of interest to public officials working in agricultural planning and agricultural policy, teachers, researchers, agro-economists, capacity builders and policymakers. Also the book serves as additional reading material for undergraduate and graduate students of agriculture, development studies, and environmental sciences. National and international agricultural scientists, policy makers will also find this to be a useful read.



Information Efficiency and Anomalies in Asian Equity Markets

Author : Qaiser Munir

Publisher : Routledge

Page : 271 pages

File Size : 46,47 MB

Release : 2016-10-04

Category : Business & Economics

ISBN : 1317270290

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Book Description

The efficient market hypothesis (EMH) maintains that all relevant information is fully and immediately reflected in stock prices and that investors will obtain an equilibrium rate of return. The EMH has far reaching implications for capital allocation, stock price prediction, and the effectiveness of specific trading strategies. Equity market anomalies reflect that the market is inefficient and hence, contradicts the EMH. This book gathers both theoretical and practical perspectives, by including research issues, methodological approaches, practical case studies, uses of new policy and other points of view related to equity market efficiency to help address the future challenges facing the global equity markets and economies. Information Efficiency and Anomalies in Asian Equity Markets: Theories and evidence is an insightful resource that will be useful for students, academics and professionals alike.