nach oben

Erschienen in:

2013 | OriginalPaper | Buchkapitel

2. Trends in Indian Stock Market: Scope for Designing Profitable Trading Rule?

verfasst von : Gagari Chakrabarti, Chitrakalpa Sen

Erschienen in: Momentum Trading on the Indian Stock Market

Verlag: Springer India

Einloggen

Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.

search-config

KI-gestützte Suche

Aus

Abstract

This chapter explores the latent structure in the Indian stock market, along with its sectors, around the financial crisis. To understand the market structure, the study makes use of exploratory factor analysis. It also tracks the factor scores along with the cycles in the respective indexes to scrutinize the underlying market behavior. Apart from looking for the latent structure, the chapter seeks to explore the following issues: How the market has behaved over the period of study? What are the trends at sectoral level? Are they similar, or otherwise to the market trends? Are the trends independent of the selection of the stock market exchanges and whether, and how financial crisis could affect such trends? The rationale behind such analyses is to see whether there has been any discernible change in the market structure before and after the shock. A clear behavioral pattern would hint toward an inefficient market and possible scope for designing profitable portfolio mix.

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

über 102.000 Bücher
über 537 Zeitschriften

aus folgenden Fachgebieten:

Automobil + Motoren
Bauwesen + Immobilien
Business IT + Informatik
Elektrotechnik + Elektronik
Energie + Nachhaltigkeit
Finance + Banking
Management + Führung
Marketing + Vertrieb
Maschinenbau + Werkstoffe
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

über 67.000 Bücher
über 340 Zeitschriften

aus folgenden Fachgebieten:

Bauwesen + Immobilien
Business IT + Informatik
Finance + Banking
Management + Führung
Marketing + Vertrieb
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Vorheriges Kapitel Introduction

Nächstes Kapitel Possible Investment Strategies in Indian Stock Market

Abraham B, Wei W (1984) Inferences about the parameters of a time series model with changing variance. Metrika 31(1):183–194CrossRef

Aggarwal R, Inclan C, Leal R (1999) Volatility in emerging stock markets. J Finan Quant Anal 34:33–55CrossRef

Altissimo F, Corradi V (2003) Strong rules for detecting the number of breaks in a time series. J Econometrics 117(2):207–244CrossRef

Andrews DWK (1993) Tests for parameter instability and structural change with unknown change point. Econometrica 61:821–856CrossRef

Andrews DWK, Ploberger W (1994) Optimal tests when a nuisance parameter is present only under the alternative. Econometrica 62:1383–1414CrossRef

Baba Y, Engle RF, Kraft D, Kroner K (1990) Multivariate simultaneous generalized ARCH. University of California, San Diego (Unpublished manuscript)

Bai J (1994) Least squares estimation of a shift in linear processes. J Time Ser Anal 15:453–472CrossRef

Bai J (1997) Estimation of a change point in multiple regression models. Rev Econ Statist 79:551–563CrossRef

Bai J, Perron P (2003) Computation and analysis of multiple structural change models. J Appl Econom 18(1):1–22CrossRef

Banerjee A, Lumsdaine RL, Stock JH (1992) Recursive and sequential tests of the unit root and trend break hypotheses: theory and international evidence. J Bus Econ Statist 10:271–287

Baufays P, Rasson JP (1985) Variance changes in autoregressive models. In: Anderson OD (ed) Time series analysis: theory and practice, 7th edn. North Holland, New York

Bollerslev T, Engle RF, Wooldridge JM (1988) A capital asset pricing model with time varying covariances. J Pol Econ 96(1):116–131CrossRef

Brooks C, Henry OT (2000) Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia. Econ Model 17:497–513CrossRef

Cheng T (2009) An efficient algorithm for estimating a change-point. Stat Probabil Lett 79:559–565CrossRef

Chu CSJ, White H (1992) A direct test for changing trend. J Bus Econ Statist 10:189–199

Gonzalo J, Pitarakis JY (2002) Estimation and model selection based inference in single and multiple threshold models. J Econometrics 110:319–352CrossRef

Gregory AW, Hansen BE (1996) Residual-based tests for cointegration in the models with regime shifts. J Econometrics 70:99–126CrossRef

Hair JF, Black WC, Babin BJ, Anderson R (2010) Multivariate data analysis, 7th edn. Pearson Education Inc, India

Hansen BE (1990) Lagrange multiplier tests for parameter instability in non-linear models. Unpublished manuscript, University of Rochester, Rochester, New York. http://www.ssc.wisc.edu/~bhansen/paper/LMTests.pdf. Accessed 21 Sept 2010

Hansen BE (1992) Test for Instability with I(1) processes. J Bus Econ Statist 10:321–335

Hansen BE (2001) The new econometrics of structural change: dating breaks in U.S. labor productivity. J Econ Perspect 15(4):117–128CrossRef

Hsu A, Miller RB, Wichern DW (1974) On the stable Paretian behavior of stock-market prices. J Am Statistical Assoc 69(345):108–113CrossRef

Huang B, Yang C (2001) The impact of settlement time on the volatility of stock market revisited: an application of the iterated cumulative sums of squares detection method for changes of variance. Appl Econ Lett 8:665–668CrossRef

Inclan C, Tiao GC (1994) Use of cumulative sums of squares for retrospective detection of changes of variance. J Am Statistical Assoc 89:913–923

Ismail MT, Isa Z (2006) Modelling exchange rates using regime switching models. Sains Malaysiana 35(2):55–62

Karunanayake I, Valadkhani A, O’Brien M (2008) Modelling Australian stock market volatility: a multivariate GARCH approach. Economics Working Paper series, University of Wollongong, http://www.uow.edu.au/commerce/econ/wpapers.html, Accessed on 12 Aug 2010

Lumsdaine RL, Papell DH (1997) Multiple trend breaks and the unit root hypothesis. Rev Econ Statist 79:223–230CrossRef

Marcucci J (2005) Forecasting stock market volatility with regime-switching GARCH models. Stud Nonlinear 9(4). Dynam Econometrics 9(4):1–53 (Article 6)

Nelson CR, Plosser CI (1982) Trends and random walks in macroeconomic time series. J Monet Econ 10:139–162CrossRef

Perron P (1989) The great crash, the oil-price shock and the unit-root hypothesis. Econometrica 57:1361–1401CrossRef

Perron P (1990) Testing for a unit root in a time series with a changing mean. J Bus Econ Statist 8:153–162

Perron P (1997a) Further evidence on breaking trend functions in macroeconomic variables. J Econometrics 80(2):355–385CrossRef

Perron P (1997b) L’estimation de Modèles avec Changements Structurels Multiples. L’Actual Econ 73(1):457–505

Perron P, Vogelsang TJ (1992) Nonstationarity and level shifts with an application to purchasing power parity. J Bus Econ Statist 10:301–320

Sansó A, Aragó V, Carrion-i-Silvestre JLl (2004) Testing for Changes in the Unconditional Variance of Financial Time Series. Revista Econ Financiera 4:32–53

Schaller H, Norden SV (1997) Regime switching in stock market returns. Appl Finan Econ 7(2):177–191CrossRef

Scherrer W, Ribarits E (2007) On the parameterization of multivariate GARCH models. Econometric Theory 23:464–484CrossRef

Tsay RS (1988) Outliers, level shifts and variance changes in time series. J Forecast 7:1–20CrossRef

Valentinyi-Endrész M (2004) Structural breaks and financial risk management. MNB Working Papers 2004/11, Magyar Nemzeti Bank, The Central Bank of Hungary. http://english.mnb.hu/Root/Dokumentumtar/ENMNB/Kiadvanyok/mnben_mnbfuzetek/mnben_wp200411/wp2004_11v.pdf. Accessed 2 January 2009

Wilson B, Aggarwal R, Inclan C (1996) Detecting volatility changes across the oil sector. J Futures Markets 16:313–330CrossRef

Zivot E, Andrews DWK (1992) Further evidence on the great crash, the oil price shock, and the unit-root hypothesis. J Bus Econ Statist 10:251–270

Titel: Trends in Indian Stock Market: Scope for Designing Profitable Trading Rule?
verfasst von: Gagari Chakrabarti
Chitrakalpa Sen
Verlag: Springer India
Buch: Momentum Trading on the Indian Stock Market
Print ISBN: 978-81-322-1126-6

Electronic ISBN: 978-81-322-1127-3

Copyright-Jahr: 2013
DOI: https://doi.org/10.1007/978-81-322-1127-3_2