Volume : V, Issue : III, March - 2015

Stock Returns Following Large Price Changes of Indian Stocks: A look at EMH

Ulrich Erxleben, Waldemar Feldbusch, Dirk Schiereck

Abstract :

We examine stock returns following large price increases and declines in the Nifty 50 to test EMH for the Indian stock market. The examination period lasts from January 2001 to December 2012. Our results show underreaction followed by strong momentum effects after positive price swings and overreaction of investors after large price declines. Our findings challenge the EMH but are consistent with the Uncertain Information Hypothesis. We report no significant difference between pre and post financial crisis patterns. We, however, find some indication for effects from inside information that decrease as the Indian market matures.

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Article: Download PDF   DOI : 10.36106/ijar  

Cite This Article:

Ulrich Erxleben, Waldemar Feldbusch, Dirk Schiereck Stock Returns Following Large Price Changes of Indian Stocks: A look at EMH Indian Journal of Applied Research, Vol.5, Issue : 3 March 2015

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