How profitable is the Indian stock market?

Narayan,PK, Ahmed,HA, Sharma,SS and KP, Prabheesh 2014, How profitable is the Indian stock market?, Pacific-Basin finance journal, vol. 30, pp. 44-61, doi: 10.1016/j.pacfin.2014.07.001.

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Title How profitable is the Indian stock market?
Author(s) Narayan,PKORCID iD for Narayan,PK orcid.org/0000-0001-7934-8146
Ahmed,HAORCID iD for Ahmed,HA orcid.org/0000-0002-0186-2564
Sharma,SSORCID iD for Sharma,SS orcid.org/0000-0002-7297-1557
KP, Prabheesh
Journal name Pacific-Basin finance journal
Volume number 30
Start page 44
End page 61
Publisher Elsevier BV
Place of publication Amsterdam, Netherlands
Publication date 2014-11
ISSN 0927-538X
Keyword(s) India
Momentum
Predictability
Profits
Sectors
Stock market
Technical trading
Summary In this paper, using a range of technical trading and momentum trading strategies, we show that the Indian stock market is profitable. We find robust evidence that investing in some sectors is relatively more profitable than investing in others. We show that sectoral heterogeneity with respect to profitability is a result of the gradual diffusion of information from the market to the sectors. Specifically, we show that while the market predicts returns of sectors, the magnitude of predictability varies with sectors. Our results are robust to a range of trading strategies. © 2014 Elsevier B.V.
Language eng
DOI 10.1016/j.pacfin.2014.07.001
Field of Research 150202 Financial Econometrics
150205 Investment and Risk Management
Socio Economic Objective 900101 Finance Services
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2014, Elsevier BV
Persistent URL http://hdl.handle.net/10536/DRO/DU:30068217

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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