Are Indian stock returns predictable?

Narayan, Paresh Kumar; Bannigidadmath, Deepa

doi:10.1016/j.jbankfin.2015.05.001

Cited by 135 publications

(66 citation statements)

References 38 publications

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“…Moreover, this study may be extended to other emerging or developed market for making a comparison between these markets. Furthermore, some studies have explored the determinants of prices to predict prices in emerging markets Narayan and Bannigidadmath, 2015). Therefore, determinants of price discovery could be explored such as bid-ask spread, trading volume, volatility of returns, order-imbalances, impact of industry sector, firm size, macroeconomic announcements, etc.…”

Section: Conclusion and Future Scopementioning

confidence: 99%

Price discovery in Indian stock index futures market: new evidence based on intraday data

Inani

2017

IJICBM

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This study revisits price discovery process in Indian stock index futures market for spot and futures of S&P CNX Nifty, by using high-frequency one-minute time-interval data for the period from January 2011 to August 2015 to gain fresh insights. Stationarity and cointegration tests reveal that spot and futures prices are I (1) and cointegrated. Three different econometric methodologies -component share method of Gonzalo and Granger (1995), information share method of Hasbrouck (1995), and modified information share of Lien and Shrestha (2009) have been employed to determine the extent of price discovery contribution by spot and futures markets. The results reveal that futures market is performing its price discovery function which satisfies the transaction cost hypothesis. Also, these results support the notion that futures market is more efficient vis-à-vis spot market in India. Price discovery is a main function of futures market and has implications for asset pricing, portfolio allocation, investment strategy formation, and market efficiency. This study might be helpful for regulators and policymakers to form market structure policies and guidelines for equity markets.

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Section: Conclusion and Future Scopementioning

confidence: 99%

Price discovery in Indian stock index futures market: new evidence based on intraday data

Inani

2017

IJICBM

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“…Our paper test how managers can increase shareholder's wealth (Harvey, 1995;Dicle et al, 2010;Hjalmarsson, 2010;Gupta and Modise, 2012;Narayan and Bannigidadmath, 2015;Narayan et al, 2015b;Westerlund et al, 2015;Fama and French, 1988;Lamont, 1998;Welch and Goyal, 2008;Rapach et al, 2010 andGupta et al, 2014). We measure firm value by Tobin's Q and market to book ratios.…”

Section: Resultsmentioning

confidence: 99%

How Can We Increase Shareholder' Wealth? An Empirical Validation from European Countries

Hatem

2017

BER

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This paper tests the determinants of shareholder's wealth. Our study examined three countries: Russia, Sweden and the United Kingdom. The samples contains 69 firms for every country observed over a period of 4 years from 2007 to 2010. Firm value is measured by two ratios: Tobin's Q ratio obtained as the sum of market capitalisation, long term debt and short term capital structure divided by total assets, and market to book ratio measured as market value equity over shareholder's equity. The descriptive statistics manipulate that firms in Sweden and the United Kingdom have higher Tobin's Q and market to book ratios, respectively. We found evidence about the hypothesis of tax savings on firm value. Firms with higher values of performance have higher market equity values. We manipulated to a significant relationship between firm value and size when we consider, only Tobin's Q ratio, as dependant variable. More cash means high stocks prices for firms in Sweden and the United Kingdom. In the British and Swedish markets, older firms have less value.

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“…The literature on stock return predictability is vast but mixed. Examples of this include, among many, Campbell and Shiller (1988), Fama and French (1988), Goyal and Welsh (2003), Ang and Bekaert (2007), Campbell and Thompson (2008), Cochrane (2008), Kellard et al (2010), Park (2010), McMillan and Wohar (2013), Narayan and Bannigidadmath (2015), Phan et al (2015) and Bannagadadmath and Narayan (2016). Within this literature there is a significant subset that examines the ability of predictability to vary across regimes of behaviour, including explicit non-linear models.…”

Section: Introductionmentioning

confidence: 99%

Stock Return Predictability: The Role of Inflation and Threshold Dynamics

McMillan

2016

SSRN Journal

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This paper argues that the nature of stock return predictability varies with the level of inflation. We contend that the nature of relations between economic variables and returns differs according to the level of inflation, due to different economic risk implications. An increase in low level inflation may signal improving economic conditions and lower expected returns, while the opposite is true with an equal rise in high level inflation. Linear estimation provides contradictory coefficient values, which we argue arises from mixing coefficient values across regimes. We test for and estimate threshold models with inflation and the term structure as the threshold variable. These models reveal a change in either the sign or magnitude of the parameter values across the regimes such that the relation between stock returns and economic variables is not constant. Measures of in-sample fit and a forecast exercise support the threshold models. They produce a higher adjusted R-squared, lower MAE and RMSE and higher trading related measures. These results help explain the lack of consistent empirical evidence in favour of stock return predictability and should be of interest to those engaged in stock market modelling as well as trading and portfolio management.

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Are Indian stock returns predictable?

Cited by 135 publications

References 38 publications

Price discovery in Indian stock index futures market: new evidence based on intraday data

Price discovery in Indian stock index futures market: new evidence based on intraday data

How Can We Increase Shareholder' Wealth? An Empirical Validation from European Countries

Stock Return Predictability: The Role of Inflation and Threshold Dynamics

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