Determining speed of Adjustment Coefficient: A Study of NSE
Published: 2013
Author(s) Name: Prashant Joshi |
Author(s) Affiliation: Professor & Head, Department of Management, Uka Tarsadia University, Bardoli, India
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Abstract
The study employs ARMA (1,1) model to estimate speed of adjustment
coefficients in S&P CNX Nifty during 2004-2013. The sub-sample analysis
reveals the evidence of overreaction in NSE during 2004-2008. The findings
suggest that prices are speedily adjusting to intrinsic values during 2009-2013 for
the stock market. It seems that the steps taken by the stock exchanges to reform
market microstructure have led to improvement in speed of adjustment
coefficients.
Keywords: Speed of adjustment, Underreaction, Overreaction
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