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- W3148596152 abstract "This paper re-examines the issue of mean-reversion in Indian equity market. Unlike earlier studies, the present paper carries out multiple structural breaks test and uses new and disaggregated data set. The study found significant structural breaks in the returns series of all selected indices and thus provide evidence of mean-reverting tendency in the Indian stock returns. This implies violation of efficient market hypothesis in India. The endogenously searched significant structural breaks occurred in the years 2000, 2003, 2006, 2007 and 2008 for most of the indices indicating respectively rise in international oil prices, global recession, erratic fluctuations in exchange rates, and sub-prime crisis followed by global meltdown. The evidences of structural breaks and mean-reverting tendency indicate possibility to predict the future returns. Further, it is observed that small indices with less liquidity and lower market capitalization are more vulnerable to external events than the liquid indices. The results call for appropriate policy and regulatory measures particularly external shocks to improve the efficiency of the market." @default.
- W3148596152 created "2021-04-13" @default.
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- W3148596152 date "2010-01-01" @default.
- W3148596152 modified "2023-09-23" @default.
- W3148596152 title "Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test" @default.
- W3148596152 hasPublicationYear "2010" @default.
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